UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
______________

FORM 8-K

CURRENT REPORT
PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934

Date of Report (Date of earliest event reported):
June 4, 2014

CHIMERA INVESTMENT CORPORATION
(Exact name of registrant as specified in its charter)

Maryland

1-33796

26-0630461

(State or Other Jurisdiction

of Incorporation)

(Commission

File Number)

(IRS Employer

Identification No.)

1211 Avenue of the Americas

Suite 2902

New York, New York

10036

(Address of principal executive offices)

(Zip Code)


Registrant’s telephone number, including area code:  (646) 454-3759


No Change
(Former Name or Former Address, if Changed Since Last Report)


Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:

Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)

Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)

Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))

Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))


Item 7.01. Regulation FD Disclosure

On June 4, 2014 the registrant issued a press release announcing its dividend declaration for the second quarter of 2014 and continuation of its dividend program through the third and fourth quarter of 2014.  The Company also announced its estimated book value as of March 31, 2014.   A copy of the press release is furnished as Exhibit 99.1 to this report.

The registrant posted supplemental financial information on the Investor Relations section of its website (www.chimerareit.com).  A copy of the supplemental financial information is furnished as Exhibit 99.2 to this report and incorporated herein by reference.

Item 8.01. Other Events

The registrant expects to file its first quarter 2014 Form 10-Q no later than mid-July 2014 and second quarter 2014 Form 10-Q in August 2014.

Item 9.01 Financial Statements and Exhibits
(d)   Exhibits
 
99.1 Press Release, dated June 4, 2014, issued by Chimera Investment Corporation.
 
99.2 Supplemental Financial Information


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.

Chimera Investment Corporation

 
 

 

 

By:

/s/ Rob Colligan

Name:

Rob Colligan

Title:

Chief Financial Officer

 
 

Date:

June 4, 2014

Exhibit 99.1

Chimera Investment Corporation Declares Dividends, Announces March 31, 2014 Estimated Book Value and Distributes Supplemental Financial Information

NEW YORK--(BUSINESS WIRE)--June 4, 2014--Chimera Investment Corporation (NYSE:CIM) today declared dividends, announced its March 31, 2014 estimated book value and distributed supplemental financial information.

First Quarter 2014 Dividend and Continuation of Dividend Program

The Company announced today that its Board of Directors has declared a second quarter 2014 cash dividend of $0.09 per common share. This dividend is payable July 24, 2014, to common shareholders of record on June 30, 2014. The ex-dividend date is June 26, 2014.

The Board of Directors has also reviewed the dividend program and announced that the Company will continue to pay a dividend of $0.09 per share for each of the third and fourth quarters of 2014.

March 31, 2014 Estimated Book Value

The Company announced today that its estimated March 31, 2014 GAAP book value was $3.27 per share and its economic book value was $3.01 per share, compared to its December 31, 2013 GAAP book value of $3.24 per share and economic book value of $2.82 per share.

Estimated economic book value considers the fair values of only the assets the Company owns or is able to dispose of, pledge, or otherwise monetize, and specifically excludes assets consolidated for GAAP that the Company cannot dispose, pledge or otherwise monetize. The Company's estimate of economic book value has important limitations. Should the Company sell assets in its portfolio, it may realize materially different proceeds from the sale than estimated as of the reporting date.

Recent Activity

The Company released supplemental financial information today which provides supplemental information as of March 31, 2014. As of March 31, 2014, the Company has sold all of its interests in CSMC 2010-12R for approximately $580 million. A portion of the proceeds of this sale were invested in other Non-Agency RMBS securities and the remainder was invested in Agency RMBS securities.

Also, subsequent to March 31, 2014, the Company increased its Agency portfolio by approximately $4 billion, financed primarily by repurchase agreements. From time to time, the Company may add to its Agency and Non-Agency portfolio and may increase leverage to increase net interest income.

Other Information

The Company continues to work diligently to complete the ongoing work towards becoming current on all of its filings required under applicable securities laws. The Company expects to file its first quarter 2014 Form 10-Q no later than mid-July 2014 and its second quarter Form 10-Q in August 2014.

Chimera Investment Corporation invests in residential mortgage loans, residential mortgage-backed securities, real estate-related securities and various other asset classes. The Company’s principal business objective is to generate income from the spread between yields on its investments and its cost of borrowing and hedging activities. The Company is a Maryland corporation that has elected to be taxed as a real estate investment trust (“REIT”).

This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. These statements are based on the current beliefs and expectations of the Company’s management and are subject to significant risks, uncertainties and other factors, including the Company’s ability to timely complete the process necessary to file its quarterly and annual reports for the quarters subsequent to December 31, 2013. The Company does not undertake, and specifically disclaims all obligation, to publicly release the result of any revisions which may be made to any forward-looking statements to reflect the occurrence of anticipated or unanticipated events or circumstances after the date of such statements, see “Item 1A — Risk Factors” in its Annual Report on Form 10-K for the year ended December 31, 2013 and subsequent quarterly reports on Form 10-Q.

CONTACT:
Chimera Investment Corporation
Investor Relations, 646-454-3759
www.chimerareit.com

Exhibit 99.2



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WWW. CHIMERAREIT.COM Supplemental Financial Information as of March 31, 2014 CHIMERA INVESTMENT CORPORATION


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CONFERENCE NAME GOES HERE 22 Information is unaudited, estimated and subject to change. Disclaimer This material is not intended to be exhaustive, is preliminary in nature and may be subject to change. In addition, much of the information contained herein is based on various assumptions (some of which are beyond the control of Chimera Investment Corporation, the “Company”) and may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as “believe,” “expect,” “anticipate,” “estimate,” “plan,” “continue,” “intend,” “should,” “may,” “would,” “projected,” “will” or similar expressions, or variations on those terms or the negative of those terms. The Company’s forward-looking statements are subject to numerous risks, uncertainties and other factors, including the Company’s ability to timely complete the process necessary to file its quarterly and annual reports for the quarters subsequent to December 31, 2013. Furthermore, none of the financial information contained in this material has been audited or approved by the Company’s independent registered public accounting firm.


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CONFERENCE NAME GOES HERE 33 Information is unaudited, estimated and subject to change. Chimera GAAP Asset Allocation: Quarter Over Quarter Comparison (1) The cash balance includes net trade date receivables. (2) Consists of RMBS and loans transferred to variable interest entities which are consolidated under GAAP March 31, 2014 December 31, 2013 Total Portfolio: $6.5 Billion (2) Total Portfolio: $6.9 Billion (2) 55% 29% 7% 3% 5% 1% Consolidated RMBS & Loans Agency RMBS Non-Agency Subordinate Non-Agency Senior IO Cash and Cash Equivalents Non-Agency Senior (1) 48% 29% 8% 4% 3% 7% Consolidated RMBS & Loans Agency RMBS Non-Agency Subordinate Non-Agency Senior IO Cash and Cash Equivalents Non-Agency Senior (1)


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CONFERENCE NAME GOES HERE 44 Information is unaudited, estimated and subject to change. GAAP Financing Sources: Quarter Over Quarter Comparison (1) Consists of tranches of RMBS and loan securitizations sold to third parties. March 31, 2014 December 31, 2013 Total Financing: $3.0 Billion Total Financing: $3.3 Billion (1) (1) 51% 49% Repurchase Agreements, Agency RMBS Non-Recourse Liabilities of Consolidated RMBS and Loans 52% 48% Repurchase Agreements, Agency RMBS Non-Recourse Liabilities of Consolidated RMBS and Loans


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CONFERENCE NAME GOES HERE 55 Information is unaudited, estimated and subject to change. Maturity Principal Balance Weighted Average Rate Weighted Average Days 2 to 30 days $644,332 0.40% 31 to 59 days 606,945 0.43% 90 to 119 days 129,049 0.47% 120 to 360 days 278,235 0.58% Total $1,658,561 0.44% 58 Coupon Current Face Weighted Average Price Weighted Average CPR 3.00% $132,755 96.24 6.2 3.50% 278,043 106.42 5.7 4.00% 803,994 106.19 4.4 4.50% 594,338 102.94 11.8 5.50% 78,981 103.13 18.4 7.00% 10,020 103.26 72.1 Totals $1,898,131 Agency & Repo Summary Agency Pass-Throughs – As of March 31, 2014 Repo Days to Maturity - As of March 31, 2014 Agency Pass-Throughs – As of December 31, 2013 Repo Days to Maturity - As of December 31, 2013 Maturity Principal Balance Weighted Average Rate Weighted Average Days 2 to 30 days $748,081 0.38% 31 to 59 days 647,017 0.45% 60 to 89 days 166,822 0.36% Total $1,561,920 0.41% 40 ($ in thousands) Coupon Current Face Weighted Average Price Weighted Average CPR 3.50% $273,408 106.42 5.1 4.00% 946,086 105.85 8.9 4.50% 574,290 102.93 11.1 Totals $1,793,785


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CONFERENCE NAME GOES HERE 66 Information is unaudited, estimated and subject to change. Interest Rate Sensitivity as of March 31, 2014 Description +100 basis points +50 basis points UnChanged -50 basis points -100 basis points Agency Market Value $1,867,895 $1,923,107 $1,974,000 $2,017,206 $2,051,419 MTM Gain (Loss) (106,105) (50,893) - 43,206 77,419 Percentage Change -5.4% -2.6% 2.2% 3.9% Swap Current Face 1,365,000 1,365,000 1,365,000 1,365,000 1,365,000 MTM Gain (Loss) 24,717 12,438 - (12,601) (25,365) Percentage Change 1.3% 0.6% -0.6% -1.3% Futures Current Face 550,000 550,000 550,000 550,000 550,000 MTM Gain (Loss) 32,893 16,676 - (17,147) (34,780) Percentage Change 1.7% 0.8% -0.9% -1.8% Net Gain / (Loss) $(48,495) $(21,779) - $13,458 $17,274 ($ in thousands) Agency, Swap and Derivative Portfolio


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CONFERENCE NAME GOES HERE 77 Information is unaudited, estimated and subject to change. Consolidated Securitizations ($ in thousands) At Origination As of March 31, 2014 Vintage Deal Type Total Original Face Total of Tranches Sold Total of Tranches Retained Total Remaining Face Remaining Face of Tranches Sold Remaining Face of Tranches Retained 2012 Whole Loan Securitization CSMC - 2012-CIM1 $741,939 $707,810 $34,129 $227,463 194,812 32,651 2012 Whole Loan Securitization CSMC - 2012-CIM2 425,091 404,261 20,830 157,167 136,954 20,213 2012 Whole Loan Securitization CSMC - 2012-CIM3 329,886 305,804 24,082 244,866 224,791 20,075 2010 RMBS Securitization CSMC - 2010-1R 1,730,581 691,630 1,038,951 904,449 105,885 798,564 2010 RMBS Securitization CSMC - 2010-12R 1,239,176 435,177 803,999 0 0 0 2010 RMBS Securitization CSMC - 2010-11R 566,571 332,299 234,272 368,506 145,776 222,730 2009 RMBS Securitization CSMC - 2009-12R 1,730,698 915,566 815,132 824,828 230,429 594,398 2009 RMBS Securitization JPMRR - 2009-7 1,522,474 856,935 665,539 745,383 296,459 448,924 2009 RMBS Securitization JMAC - 2009-R2 281,863 192,500 89,363 132,378 65,036 67,342 2008 Whole Loan Securitization PHH - 2008-CIM1 619,710 549,142 70,568 110,007 89,416 20,591 $9,187,989 $5,391,124 $3,796,865 $3,715,046 $1,489,558 $2,225,488 % of origination remaining 40% 28% 59%