PRESS RELEASE
NYSE: CIM    
CHIMERA INVESTMENT CORPORATION
520 Madison Avenue
New York, New York 10022
_________________________________________________________________________________________________

Investor Relations
866-315-9930
www.chimerareit.com
FOR IMMEDIATE RELEASE
CHIMERA INVESTMENT CORPORATION RELEASES 2nd QUARTER 2016 EARNINGS
•
GAAP EARNINGS OF $0.39 PER SHARE
•
CORE EARNINGS(1) OF $0.51 PER SHARE, NET OF $0.07 PER SHARE SECURITIZATION DEAL EXPENSES
•
GAAP BOOK VALUE OF $15.78 PER SHARE AND ECONOMIC BOOK VALUE(1) OF $14.65 PER SHARE
•
SPONSORED THREE RESIDENTIAL MORTGAGE LOAN SECURITIZATIONS TOTALING $5 BILLION AND RETAINED $769 MILLION OF SUBORDINATE SECURITIES
•
REDUCED $2.2 BILLION OF AGENCY MBS HOLDINGS
•
BOARD DECLARES THIRD QUARTER 2016 DIVIDEND OF $0.48 PER SHARE; EXPECTS TO MAINTAIN A $0.48 DIVIDEND FOR THE FOURTH QUARTER OF 2016
“We have significantly reduced the investment portfolio’s interest rate exposure by reducing Agency RMBS investments and related recourse repurchase borrowings and hedges. Chimera’s ability to analyze and securitize mortgage credit is a key differentiator for our Company and we have become a leader in the risk retention space” said Matthew Lambiase, Chimera’s CEO and President.
The Board of Directors of Chimera also announced the declaration of its third quarter cash dividend of $0.48 per common share. The dividend is payable October 27, 2016, to common stockholders of record on September 30, 2016. The ex-dividend date is September 28, 2016. The Board of Directors also announced that it expects to maintain a quarterly cash dividend of $0.48 per common share for the fourth quarter of 2016.
The Company distributes dividends based on its current estimate of taxable earnings per common share, not GAAP earnings. Taxable and GAAP earnings will typically differ due to items such as differences in premium amortization, accretion of discounts, unrealized and realized gains and losses, and credit loss recognition.  Portions of the dividend may be ordinary income, capital gains or a return of capital.
(1) Core earnings and economic book value are non-GAAP measures. See additional discussion on page 4.

1


Other Information

Chimera Investment Corporation is a publicly traded real estate investment trust, or REIT, that is primarily engaged in real estate finance. We were incorporated in Maryland on June 01, 2007 and commenced operations on November 21, 2007. We invest, either directly or indirectly through our subsidiaries, in RMBS, residential mortgage loans, Agency CMBS, commercial mortgage loans, real estate-related securities and various other asset classes. We have elected and believe that we are organized and have operated in a manner that enables us to be taxed as a REIT under the Internal Revenue Code of 1986, as amended, or the Code.
Please visit www.chimerareit.com and click on Investor Relations for additional information about us.
CHIMERA  INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
(dollars in thousands, except share and per share data)
(Unaudited)
 
June 30, 2016
December 31, 2015
Assets:
 
 
Cash and cash equivalents
$
67,421

$
114,062

Non-Agency RMBS, at fair value
3,491,480

3,675,841

Agency MBS, at fair value
4,481,503

6,514,824

Securitized loans held for investment, at fair value
9,212,204

4,768,416

Accrued interest receivable
109,644

66,247

Other assets
225,155

189,796

Derivatives, at fair value, net
2,832

15,460

Total assets (1)
$
17,590,239

$
15,344,646

Liabilities:
 

 

Repurchase agreements, MBS ($7.3 billion and $8.8 billion pledged as collateral, respectively)
$
5,856,263

$
7,439,339

Securitized debt, collateralized by Non-Agency RMBS  ($2.0 billion and $2.1 billion pledged as collateral, respectively)
424,596

529,415

Securitized debt at fair value, collateralized by loans held for investment ($9.2 billion and $4.8 billion pledged as collateral, respectively)
7,534,277

3,720,496

Payable for investments purchased
642,169

560,641

Accrued interest payable
60,171

37,432

Dividends payable
90,504

90,097

Accounts payable and other liabilities
10,257

11,404

Derivatives, at fair value
8,922

9,634

Total liabilities (1)
14,627,159

12,398,458






Commitments and Contingencies









Stockholders' Equity:
 

 

Preferred Stock: par value $0.01 per share; 100,000,000 shares authorized, 0 shares issued and outstanding, respectively
$
—

$
—

Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,729,765 and 187,711,868 shares issued and outstanding, respectively
1,877

1,877

Additional paid-in-capital
3,367,322

3,366,568

Accumulated other comprehensive income
907,173

773,791

Accumulated deficit
(1,313,292
)
(1,196,048
)
Total stockholders' equity
$
2,963,080

$
2,946,188

Total liabilities and stockholders' equity
$
17,590,239

$
15,344,646

(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 June 30, 2016 and December 31, 2015, total assets of consolidated VIEs were $11,401,484 and $7,031,278, respectively, and total liabilities of consolidated VIEs were $7,997,605 and $4,262,017, respectively.

2


CHIMERA  INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME
(dollars in thousands, except share and per share data)
(Unaudited)
 
 
 
 
For the Quarter Ended
For the Six Months Ended
Net Interest Income:
June 30, 2016
June 30, 2015
June 30, 2016
June 30, 2015
Interest income (1)
$
221,096

$
215,804

$
422,293

$
458,949

Interest expense (2)
83,227

66,044

146,208

126,500

Net interest income
137,869

149,760

276,085

332,449

Other-than-temporary impairments:
 

 





Total other-than-temporary impairment losses
(3,139
)
(2,208
)
(7,562
)
(3,260
)
Portion of loss recognized in other comprehensive income
(17,816
)
(24,893
)
(24,071
)
(31,656
)
Net other-than-temporary credit impairment losses
(20,955
)
(27,101
)
(31,633
)
(34,916
)
Other investment gains (losses):
 

 





Net unrealized gains (losses) on derivatives
22,100

88,028

(79,010
)
92,083

Realized gains (losses) on terminations of interest rate swaps
(60,158
)
(31,124
)
(60,616
)
(99,703
)
Net realized gains (losses) on derivatives
(9,697
)
(16,777
)
(44,666
)
(58,863
)
Net gains (losses) on derivatives
(47,755
)
40,127

(184,292
)
(66,483
)
Net unrealized gains (losses) on financial instruments at fair value
30,347

(37,260
)
47,218

(47,685
)
Net realized gains (losses) on sales of investments
6,631

9,685

3,956

39,250

Gains (losses) on Extinguishment of Debt
—

5,079

(1,766
)
5,079

Total other gains (losses)
(10,777
)
17,631

(134,884
)
(69,839
)
Other income:
 

 





Other income
—

—

95,000

—

Total other income
—

—

95,000

—

Other expenses:
 

 





Management fees
—

10,196

—

20,522

Expense recoveries from Manager
—

(4,652
)
—

(5,765
)
Net management fees
—

5,544

—

14,757

Compensation and benefits
6,954

36

12,176

508

General and administrative expenses
4,238

9,224

8,741

13,513

Servicing Fees of consolidated VIEs
7,773

6,388

13,351

12,776

Deal Expenses
13,022

2,911

13,022

2,911

Total other expenses
31,987

24,103

47,290

44,465

Income (loss) before income taxes
74,150

116,187

157,278

183,229

Income taxes
23

—

52

1

Net income (loss)
$
74,127

$
116,187

$
157,226

$
183,228










Net income (loss) per share available to common shareholders:


 





Basic
$
0.39

$
0.57

$
0.84

$
0.89

Diluted
$
0.39

$
0.57

$
0.84

$
0.89










Weighted average number of common shares outstanding:
 

 





Basic
187,729,765

205,492,089

187,726,618

205,509,782

Diluted
187,925,046

205,579,639

187,882,614

205,573,297

 
 
 
 
 
Dividends declared per share of common stock
$
0.48

$
0.48

$
1.46

$
0.96

 
 
 
 
 
Comprehensive income (loss):
 

 





Net income (loss)
$
74,127

$
116,187

$
157,226

$
183,228

Other comprehensive income:
 

 





Unrealized gains (losses) on available-for-sale securities, net
53,015

(117,742
)
112,423

(137,654
)
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses
20,955

27,101

31,633

34,916

Reclassification adjustment for net realized losses (gains) included in net income
(9,062
)
(10,059
)
(10,674
)
(39,135
)
Other comprehensive income (loss)
64,908

(100,700
)
133,382

(141,873
)
Comprehensive income (loss)
$
139,035

$
15,487

$
290,608

$
41,355


(1) Includes interest income of consolidated VIEs of $160,885 and $146,900 for the quarters ended June 30, 2016 and 2015, respectively, and interest income of consolidated VIEs of $292,865 and $297,518 for the six months ended June 30, 2016 and 2015, respectively.
(2) Includes interest expense of consolidated VIEs of $58,772 and $50,426 for the quarters ended June 30, 2016 and 2015, respectively, and interest expense of consolidated VIEs of $98,022 and $97,179 for the six months ended June 30, 2016 and 2015, respectively.

3


Core earnings

Core earnings is a non-GAAP measure and is defined as GAAP net income excluding unrealized gains on the aggregate portfolio, 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 certain other non-recurring gains or losses. As defined, core earnings include interest income and expense as well as realized losses on interest rate swaps used to hedge interest rate risk. Management believes that the presentation of core earnings is useful to investors because it can provide a useful measure of comparability to our other REIT peers, but has important limitations. We believe core earnings as described above helps evaluate our financial performance 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.

The following table provides GAAP measures of net income and net income per basic 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 basic common share amounts:

 
For the Quarters Ended
 
June 30, 2016
March 31, 2016
December 31, 2015
September 30, 2015
June 30, 2015
 
(dollars in thousands, except per share data)
GAAP Net income
$
74,127

$
83,098

$
115,380

$
(48,259
)
$
116,187

Adjustments:
 

 

 

 

 

Net other-than-temporary credit impairment losses
20,955

10,678

14,696

17,832

27,101

Net unrealized (gains) losses on derivatives
(22,100
)
101,110

(46,842
)
71,540

(88,028
)
Net unrealized (gains) losses on financial instruments at fair value
(30,347
)
(16,871
)
69,793

40,955

37,260

Net realized (gains) losses on sales of investments
(6,631
)
2,674

(34,285
)
(3,539
)
(9,685
)
(Gains) losses on extinguishment of debt
—

1,766

(8,906
)
19,915

(5,079
)
Realized (gains) losses on terminations of interest rate swaps
60,158

458

(754
)
—

31,124

Net realized (gains) losses on Futures (1)
(635
)
21,609

(9,018
)
9,309

7,778

Total other (gains) losses
—

—

256

—

—

Other income
—

(95,000
)
—

—

—

Core Earnings
$
95,527

$
109,522

$
100,320

$
107,753

$
116,658












GAAP net income per basic common share
$
0.39

$
0.44

$
0.61

$
(0.24
)
$
0.57

Core earnings per basic common share
$
0.51

$
0.58

$
0.53

$
0.54

$
0.57












(1) Included in net realized gains (losses) on derivatives in the Consolidated Statement of Operations.

4


The following tables provide a summary of the Company’s RMBS portfolio at June 30, 2016 and December 31, 2015.

 
June 30, 2016
 
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
$
3,398,933

$
55.76

$
77.11

4.0
%
15.6
%
Senior, interest-only
5,693,428

5.18

4.93

1.6
%
13.3
%
Subordinated
718,917

70.19

80.28

3.2
%
10.2
%
Subordinated, interest-only
274,357

5.30

4.58

1.1
%
11.3
%
Agency MBS
 

 

 

 

 

Residential pass-through
2,833,811

105.03

106.92

3.9
%
2.6
%
Commercial pass-through
1,226,725

102.57

106.76

3.5
%
3.0
%
Interest-only
3,077,732

4.81

4.61

0.9
%
4.1
%
 
 
 
 
 
 
 
December 31, 2015
 
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
$
3,651,869

$
57.47

$
77.39

3.8
%
13.7
%
Senior, interest-only
5,426,029

4.95

4.32

1.7
%
12.9
%
Subordinated
762,466

69.25

79.26

3.2
%
8.8
%
Subordinated, interest-only
284,931

5.34

3.95

1.2
%
10.9
%
Agency MBS
 

 

 

 

 

Residential pass-through
5,045,418

105.07

104.41

3.7
%
2.8
%
Commercial pass-through
952,091

102.27

102.28

3.4
%
2.9
%
Interest-only
6,722,472

4.17

4.06

0.8
%
3.4
%
 
 
 
 
 
 
(1)Bond Equivalent Yield at period end.
 
 
 

At June 30, 2016 and December 31, 2015, the repurchase agreements collateralized by RMBS had the following remaining maturities.

 
June 30, 2016
December 31, 2015
 
(dollars in thousands)
Overnight
$
331,855

$
—

1 to 29 days
2,491,293

3,312,902

30 to 59 days
804,971

2,501,513

60 to 89 days
1,086,872

246,970

90 to 119 days
432,569

430,026

Greater than or equal to 120 days
708,703

947,928

Total
$
5,856,263

$
7,439,339






5


The following table summarizes certain characteristics of our portfolio at June 30, 2016 and December 31, 2015.





June 30, 2016
December 31, 2015
Interest earning assets at period-end (1)
$
17,185,187

$
14,959,081

Interest bearing liabilities at period-end
$
13,815,136

$
11,689,250

GAAP Leverage at period-end
 4.7:1

4.0:1

GAAP Leverage at period-end (recourse)
 2.0:1

2.5:1

Economic Leverage at period-end (recourse)
 2.1:1

2.7:1

Portfolio Composition, at amortized cost
 

 

Non-Agency RMBS
8.7
%
10.4
%
Senior
3.7
%
4.7
%
Senior, interest only
1.8
%
1.9
%
Subordinated
3.1
%
3.7
%
Subordinated, interest only
0.1
%
0.1
%
RMBS transferred to consolidated VIEs
8.0
%
10.1
%
Agency MBS
26.9
%
46.0
%
Residential
18.3
%
37.2
%
Commercial
7.7
%
6.8
%
Interest-only
0.9
%
2.0
%
Securitized loans held for investment
56.4
%
33.5
%
Fixed-rate percentage of portfolio
87.9
%
84.7
%
Adjustable-rate percentage of portfolio
12.1
%
15.3
%
Annualized yield on average interest earning assets for the periods ended
6.1
%
6.0
%
Annualized cost of funds on average borrowed funds for the periods ended (2)
2.7
%
2.5
%
(1) Excludes cash and cash equivalents.
 
 
(2) Includes the effect of realized losses on interest rate swaps.
 
 

6


Economic Book Value

The table below presents our estimated economic book value. We believe that the presentation of economic book value is useful to our stockholders as it represents an estimate of the fair value of the assets we own or are able to dispose of, pledge, or otherwise monetize. The estimated economic book value should not be viewed in isolation and is not a substitute for book value computed in accordance with GAAP.

June 30, 2016
(dollars in thousands, except per share data)
GAAP Book Value
$
2,963,080

GAAP Book Value per Share
$
15.78

 
 

Economic Adjustments:
 

Assets of Consolidated VIEs
(11,185,498
)
Non-Recourse Liabilities of Consolidated VIEs
7,958,873

Interests in VIEs eliminated in consolidation
3,013,777

 
 

Total Adjustments - Net
(212,848
)
Total Adjustments - Net (per share)
(1.13
)
 
 

Economic Book Value
$
2,750,232

Economic Book Value per Share
$
14.65

 
 
December 31, 2015
(dollars in thousands, except per share data)
GAAP Book Value
$
2,946,188

GAAP Book Value per Share
$
15.70

 
 

Economic Adjustments:
 

Assets of Consolidated VIEs
(6,908,910
)
Non-Recourse Liabilities of Consolidated VIEs
4,249,911

Interests in VIEs eliminated in consolidation
2,462,713

 
 

Total Adjustments - Net
(196,286
)
Total Adjustments - Net (per share)
(1.05
)
 
 

Economic Book Value
$
2,749,902

Economic Book Value per Share
$
14.65



7


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
Add: Net Realized
Losses on Interest Rate Swaps
Economic Interest
Expense
GAAP Net Interest
Income
Less: Net Realized
Losses on Interest Rate Swaps
Economic
Net
Interest
Income (1)
For the Quarter Ended June 30, 2016
$
221,096

$
83,227

$
8,141

$
91,368

$
137,869

$
8,141

$
129,361

For the Quarter Ended March 31, 2016
$
201,194

$
62,981

$
11,220

$
74,201

$
138,213

$
11,220

$
126,545

For the Quarter Ended December 31, 2015
$
201,912

$
64,954

$
11,673

$
76,627

$
136,958

$
11,673

$
125,272

For the Quarter Ended September 30, 2015
$
211,876

$
65,696

$
11,355

$
77,051

$
146,180

$
11,355

$
134,714

For the Quarter Ended June 30, 2015
$
215,804

$
66,044

$
9,030

$
75,074

$
149,760

$
9,030

$
140,173

(1) Excludes interest income on cash and cash equivalents.


8


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

June 30, 2016

June 30, 2015

(dollars in thousands)

(dollars in thousands)
 
Average
Balance
Interest
Average
Yield/Cost

Average
Balance
Interest
Average
Yield/Cost
Assets:
 
 
 

 
 
 
Interest-earning assets (1):
 
 
 

 
 
 
Agency MBS
$
4,882,776

$
29,376

2.4
%

$
6,360,739

$
44,821

2.8
%
Non-Agency RMBS
1,432,834

30,469

8.5
%

1,322,212

25,651

7.8
%
Non-Agency RMBS transferred to consolidated VIEs
1,346,840

62,889

18.7
%

1,593,971

68,885

17.3
%
Jumbo Prime securitized residential mortgage loans held for investment
411,343

3,489

3.4
%

559,150

6,250

4.5
%
Seasoned subprime securitized residential mortgage loans held for investment
6,214,467

94,505

6.1
%

4,518,897

71,765

6.4
%
Total
$
14,288,260

$
220,728

6.2
%

$
14,354,969

$
217,372

6.1
%








Liabilities and stockholders' equity:
 
 
 

 
 
 
Interest-bearing liabilities:
 
 
 

 
 
 
Agency repurchase agreements (2)
$
4,612,205

$
15,795

1.4
%

$
5,395,795

$
16,580

1.2
%
Non-Agency repurchase agreements
2,251,755

16,801

3.0
%

1,508,721

8,069

2.1
%
Securitized debt, collateralized by Non-Agency RMBS
458,350

5,922

5.2
%

648,437

9,218

5.7
%
Securitized debt, collateralized by jumbo prime residential mortgage loans
313,077

2,450

3.1
%

447,975

5,157

4.6
%
Securitized debt, collateralized by seasoned subprime residential mortgage loans
5,351,393

50,399

3.8
%

3,799,069

36,050

3.8
%
Total
$
12,986,780

$
91,367

2.8
%

$
11,799,997

$
75,074

2.5
%














Economic net interest income/net interest rate spread
 

$
129,361

3.4
%

 

$
142,298

3.6
%














Net interest-earning assets/net interest margin
$
1,301,480

 

3.6
%

$
2,554,972

 

4.0
%














Ratio of interest-earning assets to interest bearing liabilities
1.10

 

 


1.22

 

 















(1) Interest-earning assets at amortized cost













(2) Interest includes cash paid on swaps















The table below shows our Net Income, Economic Net Interest Income and Core Earnings, each as a percentage of average 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 Company’s beginning and ending equity balance for the period reported. 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. Core Earnings is a non-GAAP measures as defined in previous section.

 
Return on Average Equity
Economic Net Interest Income/Average Equity *
Core Earnings/Average Equity
 
(Ratios have been annualized)
For The Quarter Ended June 30, 2016
10.09
 %
17.61
%
13.00
%
For The Quarter Ended March 31, 2016
11.34
 %
17.28
%
14.95
%
For The Quarter Ended December 31, 2015
15.22
 %
16.52
%
13.23
%
For The Quarter Ended September 30, 2015
(5.89
)%
16.43
%
13.14
%
For The Quarter Ended June 30, 2015
13.35
 %
16.10
%
13.40
%
For The Year Ended






For The Year Ended December 31, 2015
7.52
 %
17.12
%
14.20
%
For The Year Ended December 31, 2014
16.99
 %
14.06
%
12.70
%

9


The table below presents changes in accretable yield, or the excess of the security’s cash flows expected to be collected over the Company’s investment, solely as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30.

 
For the Quarter Ended
For the Six Months Ended
 
June 30, 2016
June 30, 2015
June 30, 2016
June 30, 2015
 
(dollars in thousands)
(dollars in thousands)
Balance at beginning of period
$
1,726,541

$
1,536,862

$
1,742,744

$
1,534,497

Purchases
22,417

23,872

42,600

108,625

Accretion
(35,054
)
(71,005
)
(71,407
)
(140,710
)
Reclassification (to) from non-accretable difference
27,492

211,625

27,459

218,807

Sales and deconsolidation
(26,804
)
(3,031
)
(26,804
)
(22,896
)
Balance at end of period
$
1,714,592

$
1,698,323

$
1,714,592

$
1,698,323


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 Annual Report on Form 10-K for the year ended December 31, 2015, and any subsequent Quarterly Reports on Form 10-Q, under the caption “Risk Factors.” Factors that could cause actual results to differ include, but are not limited to: the state of credit markets and general economic conditions; changes in interest rates and the market value of our assets; the rates of default or decreased recovery on the mortgages underlying our target assets; the occurrence, extent and timing of credit losses within our portfolio; the credit risk in our underlying assets; declines in home prices; our ability to establish, adjust and maintain appropriate hedges for the risks in our portfolio; the availability and cost of our target assets; our ability to borrow to finance our assets and the associated costs; changes in the competitive landscape within our industry; our ability to manage various operational risks and costs associated with our business; interruptions in or impairments to our communications and information technology systems; our ability to acquire residential mortgage loans and successfully securitize the residential mortgage loans we acquire; our ability to oversee our third party sub-servicers; the impact of any deficiencies in the servicing or foreclosure practices of third parties and related delays in the foreclosure process; our exposure to legal and regulatory claims; legislative and regulatory actions affecting our business; the impact of new or modified government mortgage refinance or principal reduction programs; our ability to maintain our REIT qualification; and limitations imposed on our business due to our REIT status and our exempt status under the Investment Company Act of 1940.
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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