Form: 8-K

Current report filing

February 15, 2023


chimeralogoa18.jpg
PRESS RELEASE
NYSE: CIM    
CHIMERA INVESTMENT CORPORATION
630 Fifth Ave, Ste 2400
New York, New York 10111
_________________________________________________________________________________________________

Investor Relations
888-895-6557
www.chimerareit.com

FOR IMMEDIATE RELEASE

CHIMERA INVESTMENT CORPORATION REPORTS 4TH QUARTER 2022 EARNINGS
NEW YORK - (BUSINESS WIRE) - Chimera Investment Corporation (NYSE:CIM) today announced its financial results for the fourth quarter and full year ended December 31, 2022.
Financial Highlights:
4TH QUARTER GAAP NET INCOME OF $0.34 PER DILUTED COMMON SHARE
4TH QUARTER EARNINGS AVAILABLE FOR DISTRIBUTION(1) OF $0.11 PER DILUTED COMMON SHARE.
FULL YEAR GAAP NET LOSS OF $587 MILLION, OR $2.51 PER DILUTED COMMON SHARE
FULL YEAR EARNINGS AVAILABLE FOR DISTRIBUTION(1) OF $256 MILLION, OR $1.08 PER DILUTED COMMON SHARE.
GAAP BOOK VALUE OF $7.49 PER COMMON SHARE
4TH QUARTER BOOK VALUE RETURN OF 3.8%, CHANGE IN BOOK VALUE PLUS DIVIDEND FOR THE QUARTER

Business Highlights:

Fourth Quarter

Settled $463 million of fixed rate prime jumbo loans into a financing structure in which we borrowed $383 million for five years at an effective fixed rate with non-mark-to-market feature
Sponsored $145 million CIM 2022-NR1 Securitization which reduced our mark-to-market mortgage loan warehouse exposure by approximately $100 million

Post Quarter

Committed to purchase approximately $900 million of residential mortgage loans, which is expected to be accretive to future earnings
Collapsed CIM Trust 2020-R4, CIM Trust 2020-NR1, CIM Trust 2018-R5, and CIM Trust 2018-R6 and issued CIM Trust 2023-R1 and CIM Trust 2023-NR1 reducing recourse borrowing amount by approximately $139 million and releasing approximately $90 million in equity
1


As of January 31, we had approximately $365 million in cash

“Since the end of last year, we have been able to take positive actions with respect to our financing, hedging, and asset acquisitions and allocation which we believe position us to navigate potentially volatile markets in 2023, said Phillip Kardis, Chief Executive Officer.”


































































(1) Earnings available for distribution per adjusted diluted common share is a non-GAAP measure. See additional discussion on page 6.
2


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)
December 31, 2022 December 31, 2021
Cash and cash equivalents $ 264,600  $ 385,741 
Non-Agency RMBS, at fair value (net of allowance for credit losses of $7 million and $213 thousand, respectively) 1,147,481  1,810,208 
Agency RMBS, at fair value 15,148  60,487 
Agency CMBS, at fair value 415,796  761,208 
Loans held for investment, at fair value 11,359,236  12,261,926 
Accrued interest receivable 61,768  69,513 
Other assets 133,866  58,320 
Derivatives, at fair value 4,096  — 
Total assets (1)
$ 13,401,991  $ 15,407,403 
Liabilities:
Secured financing agreements ($4.7 billion and $4.4 billion pledged as collateral, respectively, and includes $374 million and $0 million at fair value, respectively) $ 3,434,765  $ 3,261,613 
Securitized debt, collateralized by Non-Agency RMBS ($276 million and $365 million pledged as collateral, respectively) 78,542  87,999 
Securitized debt at fair value, collateralized by Loans held for investment ($10.0 billion and $11.0 billion pledged as collateral, respectively) 7,100,742  7,726,043 
Payable for investments purchased 9,282  477,415 
Accrued interest payable 30,696  20,416 
Dividends payable 64,545  86,152 
Accounts payable and other liabilities 16,616  11,574 
Total liabilities (1)
$ 10,735,188  $ 11,671,212 
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, 231,824,192 and 236,951,266 shares issued and outstanding, respectively 2,318  2,370 
Additional paid-in-capital 4,318,388  4,359,045 
Accumulated other comprehensive income 229,345  405,054 
Cumulative earnings 4,038,942  4,552,008 
Cumulative distributions to stockholders (5,922,562) (5,582,658)
Total stockholders' equity $ 2,666,803  $ 3,736,191 
Total liabilities and stockholders' equity $ 13,401,991  $ 15,407,403 
(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 December 31, 2022, and December 31, 2021, total assets of consolidated VIEs were $10,199,266 and $10,666,591, respectively, and total liabilities of consolidated VIEs were $6,772,125 and $7,223,655, respectively.



3



CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF OPERATIONS
(dollars in thousands, except share and per share data)
(Unaudited)
For the Year Ended
December 31, 2022 December 31, 2021 December 31, 2020
Net interest income:
Interest income (1)
$ 773,121  $ 937,546  $ 1,030,250 
Interest expense (2)
333,293  326,628  516,181 
Net interest income 439,828  610,918  514,069 
Increase/(decrease) in provision for credit losses 7,037  33  180 
Other investment gains (losses):
Net unrealized gains (losses) on derivatives (1,482) —  201,000 
Realized gains (losses) on terminations of interest rate swaps (561) —  (463,966)
Periodic interest cost of swaps, net (1,752) —  (41,086)
Net gains (losses) on derivatives (3,795) —  (304,052)
Net unrealized gains (losses) on financial instruments at fair value (736,899) 437,357  (110,664)
Net realized gains (losses) on sales of investments (76,473) 45,313  166,946 
Gains (losses) on extinguishment of debt (2,897) (283,556) (54,418)
Other investment gains (losses) (1,866) —  — 
Total other gains (losses) (821,930) 199,114  (302,188)
Other expenses:
Compensation and benefits 49,378  46,823  44,811 
General and administrative expenses 22,651  22,246  22,914 
Servicing and asset manager fees 36,005  36,555  39,896 
Transaction expenses 16,146  29,856  15,068 
Total other expenses 124,180  135,480  122,689 
Income (loss) before income taxes (513,319) 674,519  89,012 
Income tax expense (benefit) (253) 4,405  158 
Net income (loss) $ (513,066) $ 670,114  $ 88,854 
Dividends on preferred stock 73,765  73,764  73,750 
Net income (loss) available to common shareholders $ (586,831) $ 596,350  $ 15,104 
Net income (loss) per share available to common shareholders:
Basic $ (2.51) $ 2.55  $ 0.07 
Diluted $ (2.51) $ 2.44  $ 0.07 
Weighted average number of common shares outstanding:
Basic 233,938,745  233,770,474  212,995,533 
Diluted 233,938,745  245,496,926  226,438,341 
(1) Includes interest income of consolidated VIEs of $551,253, $586,580, and $683,456 for the years ended December 31, 2022, 2021, and 2020, respectively.

(2) Includes interest expense of consolidated VIEs of $197,823, $203,135, and $285,142 for the years ended December 31, 2022, 2021, and 2020, respectively.










4


CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(dollars in thousands, except share and per share data)
(Unaudited)
For the Year Ended
December 31, 2022 December 31, 2021 December 31, 2020
Comprehensive income (loss):
Net income (loss) $ (513,066) $ 670,114  $ 88,854 
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net (175,709) (115,926) (94,136)
Reclassification adjustment for net realized losses (gains) included in net income —  (37,116) (56,104)
Other comprehensive income (loss) (175,709) $ (153,042) $ (150,240)
Comprehensive income (loss) before preferred stock dividends $ (688,775) $ 517,072  $ (61,386)
Dividends on preferred stock $ 73,765  $ 73,764  $ 73,750 
Comprehensive income (loss) available to common stock shareholders $ (762,540) $ 443,308  $ (135,136)
























5


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, interest expense on long term debt, changes in the provision for credit losses, other gains or losses on equity investments, and transaction expenses incurred. 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.

Earnings available for distribution is the Economic net interest income, 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. Economic net interest income is a non-GAAP financial measure that equals GAAP net interest income adjusted for interest expense on long term debt, net periodic interest cost of interest rate swaps and excludes interest earned on cash. See a reconciliation of Economic net interest income to the most relevant GAAP measure below.

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. Certain prior period amounts have been reclassified to conform to the current period's presentation.

6


  For the Quarters Ended
  December 31, 2022 September 30, 2022 June 30, 2022 March 31, 2022 December 31, 2021
  (dollars in thousands, except per share data)
GAAP Net income (loss) available to common stockholders $ 78,716  $ (204,583) $ (179,765) $ (281,202) $ (718)
Adjustments:  
Net unrealized (gains) losses on financial instruments at fair value (112,026) 239,513  239,246  370,167  108,286 
Net realized (gains) losses on sales of investments 39,443  37,031  —  —  — 
(Gains) losses on extinguishment of debt —  —  2,897  —  (980)
Increase (decrease) in provision for credit losses 3,834  (1,534) 4,497  240  92 
Net unrealized (gains) losses on derivatives 10,171  (10,307) 1,618  —  — 
Realized (gains) losses on terminations of interest rate swaps 561  —  —  —  — 
Transaction expenses 3,274  2,341  6,727  3,804  4,241 
Stock Compensation expense for retirement eligible awards (309) (310) (309) 723  (363)
Other investment (gains) losses 2,383  462  (980) —  — 
Earnings available for distribution $ 26,047  $ 62,613  $ 73,931  $ 93,732  $ 110,558 
GAAP net income (loss) per diluted common share $ 0.34  $ (0.88) $ (0.76) $ (1.19) $  
Earnings available for distribution per adjusted diluted common share $ 0.11  $ 0.27  $ 0.31  $ 0.39  $ 0.46 


The following tables provide a summary of the Company’s MBS portfolio at December 31, 2022 and December 31, 2021.


  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 439,591  68.60  65.27  4.2  % 6.8  %
Interest-only 3,286,545  4.95  3.01  0.6  % 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.



7


  December 31, 2021
  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 $ 1,283,788  $ 48.02  $ 76.78  4.5  % 18.0  %
Subordinated 845,432  68.10  77.12  3.8  % 7.1  %
Interest-only 3,904,665  4.90  4.42  1.7  % 13.2  %
Agency RMBS          
Interest-only 992,978  10.37  6.09  1.3  % 0.3  %
Agency CMBS
Project loans 560,565  101.77  109.61  4.3  % 4.1  %
Interest-only 2,578,640  5.70  5.69  0.7  % 4.6  %
(1) Bond Equivalent Yield at period end.

At December 31, 2022 and December 31, 2021, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates.

  December 31, 2022 December 31, 2021
  (dollars in thousands)
Principal (1)
Weighted Average Borrowing Rates Range of Borrowing Rates
Principal (1)
Weighted Average Borrowing Rates Range of Borrowing Rates
1 to 29 days 493,918  4.66% 3.63% - 6.16% 1,018,670  0.73% 0.11% - 1.95%
30 to 59 days 762,768  6.14% 4.60% - 7.34% 379,031  1.66% 1.55% - 1.70%
60 to 89 days 225,497  6.04% 4.70% - 7.12% 342,790  1.86%  0.90% - 2.35%
90 to 119 days 43,180  6.54% 5.50% - 6.70% 67,840  1.66% 1.66% - 1.66%
120 to 180 days 401,638  5.88%  5.57% - 6.92% 157,944  1.38% 0.95% - 1.45%
180 days to 1 year 402,283  6.06%  5.63% - 6.64% 895,210  3.70% 1.95% - 4.38%
1 to 2 years 251,286  13.98% 13.98% - 13.98% 143,239  3.05% 3.05% - 3.05%
2 to 3 years 480,022  8.07% 8.07% - 8.07% —  NA NA
Greater than 3 years 382,839  5.14% 5.10% - 6.07% 256,889  5.56% 5.56% - 5.56%
Total $ 3,443,431  6.61% $ 3,261,613  2.30%
(1) The outstanding balance for secured financing agreements in the table above is net of $1 million and $3 million of deferred financing cost as of December 31, 2022 and 2021, respectively.


8



The following table summarizes certain characteristics of our portfolio at December 31, 2022 and December 31, 2021.

December 31, 2022 December 31, 2021
GAAP Leverage at period-end  4.0:1 3.0:1
GAAP Leverage at period-end (recourse)  1.3:1 0.9:1

December 31, 2022 December 31, 2021 December 31, 2022 December 31, 2021
Portfolio Composition Amortized Cost Fair Value
Non-Agency RMBS
7.5  % 10.1  % 8.9  % 12.1  %
Senior
4.0  % 4.5  % 5.9  % 6.5  %
Subordinated
2.3  % 4.2  % 2.2  % 4.4  %
Interest-only
1.2  % 1.4  % 0.8  % 1.2  %
Agency RMBS
0.1  % 0.8  % 0.1  % 0.4  %
Pass-through
—  % —  % —  % —  %
Interest-only
0.1  % 0.8  % 0.1  % 0.4  %
Agency CMBS
3.3  % 5.3  % 3.2  % 5.2  %
Project loans
2.3  % 4.2  % 2.2  % 4.2  %
Interest-only
1.0  % 1.1  % 1.0  % 1.0  %
Loans held for investment 89.1  % 83.8  % 87.8  % 82.3  %
Fixed-rate percentage of portfolio
96.5  % 95.4  % 95.6  % 94.4  %
Adjustable-rate percentage of portfolio
3.5  % 4.6  % 4.4  % 5.6  %


9


Economic Net Interest Income

Our Economic net interest income is a non-GAAP financial measure that equals GAAP net interest income adjusted for interest expense on long term debt, 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 interest payments on long term debt and any interest earned on cash, is referred to as Economic interest expense. Where indicated, net interest income reflecting interest payments on long term debt, 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 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 Year Ended December 31, 2022 $ 773,121  $ 333,293  $ 1,752  $ —  $ 335,045  $ 439,828  $ (1,752) $ (2,505) $ 435,571 
For the Year Ended December 31, 2021 $ 937,546  $ 326,628  $ —  $ (2,274) $ 324,354  $ 610,918  $ —  $ 2,208  $ 613,126 
For the Year Ended December 31, 2020 $ 1,030,250  $ 516,181  $ 6,385  $ (7,082) $ 515,484  $ 514,069  $ (6,385) $ 5,755  $ 513,439 
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 
For the Quarter Ended June 30, 2022 $ 195,357  $ 78,467  $ —  $ —  $ 78,467  $ 116,890  $ —  $ (81) $ 116,809 
For the Quarter Ended March 31, 2022 $ 202,175  $ 64,473  $ —  $ —  $ 64,473  $ 137,702  $ —  $ (18) $ 137,684 
(1) Primarily interest expense on Long term debt, periodic net interest cost on swaps and interest income on cash and cash equivalents.







10


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
December 31, 2022 September 30, 2022 December 31, 2021
(dollars in thousands) (dollars in thousands) (dollars in thousands)
  Average
Balance
Interest Average
Yield/Cost
Average
Balance
Interest Average
Yield/Cost
Average
Balance
Interest Average
Yield/Cost
Assets:            
Interest-earning assets (1):
           
Agency RMBS $ 31,542  $ 346  4.4  % $ 110,260  $ 274  1.0  % $ 104,684  $ 71  0.3  %
Agency CMBS 441,421  4,291  3.9  % 445,191  4,784  4.3  % 851,886  27,711  13.0  %
Non-Agency RMBS 1,013,693  29,304  11.6  % 1,061,412  33,565  12.6  % 1,406,876  51,644  14.7  %
Loans held for investment 12,075,239  151,478  5.0  % 12,022,445  149,140  5.0  % 11,498,173  141,724  4.9  %
Total $ 13,561,895  $ 185,419  5.5  % $ 13,639,308  $ 187,763  5.5  % $ 13,861,619  $ 221,150  6.4  %
Liabilities and stockholders' equity:      
Interest-bearing liabilities (2)
     
Secured financing agreements collateralized by:
Agency RMBS $ 4,547  $ 46  4.0  % $ 6,560  $ 45  2.7  % $ 23,824  $ 40  0.7  %
Agency CMBS 358,914  3,464  3.9  % 350,883  2,009  2.3  % 731,577  346  0.2  %
Non-Agency RMBS 788,795  13,275  6.7  % 853,768  7,368  3.5  % 839,898  5,837  2.8  %
Loans held for investment 1,971,144  33,776  6.9  % 1,845,075  21,181  4.6  % 1,872,915  13,281  2.8  %
Securitized debt 8,056,913  57,959  2.9  % 8,176,766  52,983  2.6  % 8,009,117  47,094  2.4  %
Total $ 11,180,313  $ 108,520  3.9  % $ 11,233,052  $ 83,586  3.0  % $ 11,477,331  $ 66,598  2.3  %
Economic net interest income/net interest rate spread   $ 76,899  1.6  % $ 104,177  2.5  % $ 154,552  4.1  %
Net interest-earning assets/net interest margin $ 2,381,582    2.3  % $ 2,406,256  3.1  % $ 2,384,288  4.5  %
Ratio of interest-earning assets to interest bearing liabilities 1.21      1.21  1.21 
(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.

11


  Return on Average Equity Economic Net Interest Income/Average Equity * Earnings available for distribution/Average Common Equity
  (Ratios have been annualized)
For the Year Ended December 31, 2022 (16.69) % 14.17  % 11.96  %
For the Year Ended December 31, 2021 18.05  % 16.52  % 15.42  %
For the Year Ended December 31, 2020 2.46  % 14.21  % 12.43  %
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  %
For the Quarter Ended June 30, 2022 (20.45) % 14.81  % 13.29  %
For the Quarter Ended March 31, 2022 (29.72) % 15.57  % 14.38  %
* 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) December 31, 2022 September 30, 2022 June 30, 2022 March 31, 2022 December 31, 2021
Balance, beginning of period $ 207,812  $ 241,391  $ 258,494  $ 333,546  $ 352,545 
Accretion of discount (11,128) (12,989) (17,408) (19,470) (22,172)
Purchases —  —  —  —  — 
Sales (17,935) —  —  —  — 
Elimination in consolidation —  —  —  (60,361) — 
Transfers from/(to) credit reserve, net (2,114) (20,590) 305  4,779  3,173 
Balance, end of period $ 176,635  $ 207,812  $ 241,391  $ 258,494  $ 333,546 

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
12


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.


13