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):
May 1, 2017

CHIMERA INVESTMENT CORPORATION 
(Exact name of registrant as specified in its charter)
Maryland
1-33796
26-0630461
(State or Other Jursidiction
(Commission
(IRS Employer
of Incorporation)
File Number)
Identification No.)

520 Madison Avenue, 32nd Fl
 
New York, New York
10022
(Address of principal executive offices)
(Zip Code)

Registrant’s telephone number, including area code:   (212) 626-2300  

      
(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 2.02. Results of Operations and Financial Condition

On May 1, 2017, the registrant issued a press release announcing its financial results for the quarter ended March 31, 2017. A copy of the press release is furnished as Exhibit 99.1 to this report.

On May 1, 2017, 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 7.01. Regulation FD Disclosure

On May 1, 2017, the registrant issued a press release announcing the declaration of its second quarter cash dividend of $0.50 per share of common stock, $0.50 per share of Series A Cumulative Redeemable Preferred Stock, and $0.68333 per share of Series B Cumulative Redeemable Preferred Stock.

Item 9.01 Financial Statements and Exhibits


(d)
Exhibits
 
 
99.1
Press Release, dated May 1, 2017, issued by Chimera Investment Corporation
99.2
Supplemental Financial Information for the quarter ended March 31, 2017
99.3
Press Release, dated May 1, 2017, issued by Chimera Investment Corporation



    


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: May 1, 2017



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

Investor Relations
212-413-1880
www.chimerareit.com
FOR IMMEDIATE RELEASE
CHIMERA INVESTMENT CORPORATION RELEASES 1ST QUARTER 2017 EARNINGS
•
GAAP EARNINGS OF $0.84 PER COMMON SHARE
•
CORE EARNINGS (1) OF $0.51 PER COMMON SHARE
•
GAAP BOOK VALUE OF $16.20 PER COMMON SHARE
•
SPONSORED FOUR RESIDENTIAL MORTGAGE LOAN SECURITIZATIONS TOTALING $4.1 BILLION, INCURRED $11 MILLION IN SECURITIZATION DEAL EXPENSES
“Chimera had a very active start to 2017. We sponsored four residential mortgage securitizations totaling $4.1 billion and issued $325 million of Series B preferred stock,” said Matthew Lambiase, Chimera’s CEO and President. “The activity in the first quarter positioned us to grow our balance sheet, create value through four new securitizations and make accretive investments for our common shareholders.”

“The timing of our new capital deployment and securitization deal expenses reduced core earnings for the first quarter. We expect to see the full benefit of these new investments in the second quarter 2017.” said Rob Colligan, Chimera’s CFO.

(1) Core earnings is a non-GAAP measure. See additional discussion on page 5.
Note: All per common share amounts presented on a diluted basis.



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)
 
March 31, 2017
December 31, 2016
Assets:
 
 
Cash and cash equivalents
$
82,556

$
177,714

Non-Agency RMBS, at fair value
3,228,391

3,330,063

Agency MBS, at fair value
4,101,851

4,167,754

Securitized loans held for investment, at fair value
12,713,273

8,753,653

Accrued interest receivable
99,669

79,697

Other assets
190,021

166,350

Derivatives, at fair value, net
10,889

9,677

Total assets (1)
$
20,426,650

$
16,684,908

Liabilities:
 

 

Repurchase agreements ($7.3 billion and $7.0 billion, MBS pledged as collateral, respectively)
$
5,851,204

$
5,600,903

Securitized debt, collateralized by Non-Agency RMBS ($1.8 billion pledged as collateral, respectively)
303,389

334,124

Securitized debt at fair value, collateralized by loans held for investment ($12.7 billion and $8.8 billion pledged as collateral, respectively)
10,111,293

6,941,097

Payable for investments purchased
473,269

520,532

Accrued interest payable
67,596

48,670

Dividends payable
97,008

97,005

Accounts payable and other liabilities
9,176

16,694

Derivatives, at fair value
1,627

2,350

Total liabilities (1)
$
16,914,562

$
13,561,375






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 and 0 shares issued and outstanding, respectively ($325,000 liquidation preference)
130

$
—

Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,779,489 and 187,739,634 shares issued and outstanding, respectively
1,878

1,877

Additional paid-in-capital
3,824,197

3,508,779

Accumulated other comprehensive income
727,711

718,106

Cumulative earnings
2,605,991

2,443,184

Cumulative distributions to stockholders
(3,647,877
)
(3,548,471
)
Total stockholders' equity
$
3,512,088

$
3,123,533

Total liabilities and stockholders' equity
$
20,426,650

$
16,684,908

(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 March 31, 2017 and December 31, 2016 , total assets of consolidated VIEs were $14,693,307 and $10,761,954 , respectively, and total liabilities of consolidated VIEs were $10,451,235 and $7,300,163 , respectively.

2


CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF OPERATIONS
(dollars in thousands, except share and per share data)
 
For the Quarters Ended

March 31, 2017
March 31, 2016
Net Interest Income:


Interest income (1)
$
251,344

$
201,194

Interest expense (2)
110,231

62,981

Net interest income
141,113

138,213

Other-than-temporary impairments:
 

 

Total other-than-temporary impairment losses
(2,713
)
(4,423
)
Portion of loss recognized in other comprehensive income
(15,988
)
(6,255
)
Net other-than-temporary credit impairment losses
(18,701
)
(10,678
)
Other investment gains (losses):
 

 

Net unrealized gains (losses) on derivatives
4,896

(101,110
)
Realized gains (losses) on terminations of interest rate swaps
—

(458
)
Net realized gains (losses) on derivatives
(9,358
)
(34,969
)
Net gains (losses) on derivatives
(4,462
)
(136,537
)
Net unrealized gains (losses) on financial instruments at fair value
72,243

16,871

Net realized gains (losses) on sales of investments
5,167

(2,674
)
Gains (losses) on Extinguishment of Debt
—

(1,766
)
Total other gains (losses)
72,948

(124,106
)
 
 
 
Other income:
 

 

Other income
—

95,000

Total other income
—

95,000

 
 
 
Other expenses:
 

 

Compensation and benefits
7,556

5,222

General and administrative expenses
4,040

4,503

Servicing Fees of consolidated VIEs
9,588

5,577

Deal Expenses
11,353

—

Total other expenses
32,537

15,302

Income (loss) before income taxes
162,823

83,127

Income taxes
16

29

Net income (loss)
$
162,807

$
83,098






Dividend on preferred stock
5,283

—






Net income (loss) available to common shareholders
$
157,524

$
83,098






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


 

Basic
$
0.84

$
0.44

Diluted
$
0.84

$
0.44






Weighted average number of common shares outstanding:
 

 

Basic
187,761,748

187,723,472

Diluted
188,195,061

187,840,182






Dividends declared per share of common stock
$
0.50

$
0.98






(1) Includes interest income of consolidated VIEs of $192,989 and $131,980 for the quarters ended March 31, 2017 and 2016 respectively.
(2) Includes interest expense of consolidated VIEs of $82,684 and $39,250 for the quarters ended March 31, 2017 and 2016 respectively.

3


CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(dollars in thousands, except share and per share data)
(Unaudited)




For the Quarters Ended

March 31, 2017
March 31, 2016
Comprehensive income (loss):
 

Net income (loss)
$
162,807

$
83,098

Other comprehensive income:
 

Unrealized gains (losses) on available-for-sale securities, net
(3,910
)
59,408

Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses
18,701

10,678

Reclassification adjustment for net realized losses (gains) included in net income
(5,186
)
(1,612
)
Other comprehensive income (loss)
9,605

68,474

Comprehensive income (loss) before preferred stock dividends
$
172,412

$
151,572

Dividends on preferred stock
$
5,283

$
—

Comprehensive income (loss) available to common stock shareholders
$
167,129

$
151,572



4


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
 
March 31, 2017
December 31, 2016
September 30, 2016
June 30, 2016
March 31, 2016
 
(dollars in thousands, except per share data)
GAAP Net income available to common stockholders
$
157,524

$
219,454

$
172,817

$
74,127

$
83,098

Adjustments:
 

 

 

 

 

Net other-than-temporary credit impairment losses
18,701

14,780

11,574

20,955

10,678

Net unrealized (gains) losses on derivatives
(4,896
)
(101,475
)
(27,628
)
(22,100
)
101,110

Net unrealized (gains) losses on financial instruments at fair value
(72,243
)
20,664

(32,999
)
(30,347
)
(16,871
)
Net realized (gains) losses on sales of investments
(5,167
)
(11,121
)
(3,079
)
(6,631
)
2,674

(Gains) losses on extinguishment of debt
—

(1,334
)
45

—

1,766

Realized (gains) losses on terminations of interest rate swaps
—

—

—

60,158

458

Net realized (gains) losses on Futures (1)
2,084

(19,628
)
7,823

(635
)
21,609

Other income
—

—

—

—

(95,000
)
Core Earnings
$
96,003

$
121,340

$
128,553

$
95,527

$
109,522












GAAP net income per basic common share
$
0.84

$
1.17

$
0.92

$
0.39

$
0.44

Core earnings per basic common share (2)
$
0.51

$
0.65

$
0.68

$
0.51

$
0.58












(1) Included in net realized gains (losses) on derivatives in the Consolidated Statements of Operations.
(2) We note that core and taxable earnings will typically differ, and may materially differ, due to differences on realized gains and losses on investments and related hedges, credit loss recognition,
      timing differences in premium amortization, accretion of discounts, equity compensation and other items.


5


The following tables provide a summary of the Company’s MBS portfolio at March 31, 2017 and December 31, 2016 .

 
March 31, 2017
 
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
$
3,060,690

$
55.51

$
79.68

4.4
%
15.8
%
Senior, interest-only
5,434,402

5.29

4.41

1.4
%
10.9
%
Subordinated
662,469

70.25

81.28

3.8
%
9.1
%
Subordinated, interest-only
263,126

5.18

4.48

1.0
%
12.8
%
Agency MBS
 

 

 

 

 

Residential pass-through
2,480,534

105.82

104.33

3.9
%
3.0
%
Commercial pass-through
1,393,290

102.51

99.24

3.6
%
2.9
%
Interest-only
3,248,168

4.29

4.04

0.8
%
3.6
%
 
 
 
 
 
 
 
December 31, 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
$
3,190,947

$
55.76

$
78.69

4.3
%
15.5
%
Senior, interest-only
5,648,339

5.18

4.49

1.5
%
11.7
%
Subordinated
673,259

70.83

82.21

3.8
%
9.2
%
Subordinated, interest-only
266,927

5.20

4.50

1.1
%
13.5
%
Agency MBS
 

 

 

 

 

Residential pass-through
2,594,570

105.78

104.29

3.9
%
3.0
%
Commercial pass-through
1,331,543

102.64

98.91

3.6
%
2.9
%
Interest-only
3,356,491

4.53

4.31

0.8
%
3.5
%
 
 
 
 
 
 
(1) Bond Equivalent Yield at period end.
 
 
 

At March 31, 2017 and December 31, 2016 , the repurchase agreements collateralized by MBS had the following remaining maturities.

 
March 31, 2017
December 31, 2016
 
(dollars in thousands)
Overnight
$
—

$
—

1 to 29 days
3,743,094

2,947,604

30 to 59 days
1,107,093

958,956

60 to 89 days
320,551

407,625

90 to 119 days
40,223

559,533

Greater than or equal to 120 days
640,243

727,185

Total
$
5,851,204

$
5,600,903




6


The following table summarizes certain characteristics of our portfolio at March 31, 2017 and December 31, 2016 .





March 31, 2017
December 31, 2016
Interest earning assets at period-end (1)
$
20,043,515

$
16,251,470

Interest bearing liabilities at period-end
$
16,265,886

$
12,876,124

GAAP Leverage at period-end
 4.6:1

 4.1:1

GAAP Leverage at period-end (recourse)
 1.7:1

 1.8:1

Portfolio Composition, at amortized cost
 

 

Non-Agency RMBS
7.1
%
9.0
%
Senior
3.1
%
3.9
%
Senior, interest only
1.5
%
1.9
%
Subordinated
2.4
%
3.1
%
Subordinated, interest only
0.1
%
0.1
%
RMBS transferred to consolidated VIEs
5.8
%
7.6
%
Agency MBS
22.0
%
27.7
%
Residential
13.8
%
17.8
%
Commercial
7.5
%
8.9
%
Interest-only
0.7
%
1.0
%
Securitized loans held for investment
65.1
%
55.7
%
Fixed-rate percentage of portfolio
91.0
%
88.4
%
Adjustable-rate percentage of portfolio
9.0
%
11.6
%
Annualized yield on average interest earning assets for the periods ended
6.5
%
6.4
%
Annualized cost of funds on average borrowed funds for the periods ended  (2)
3.5
%
3.0
%
(1) Excludes cash and cash equivalents.
 
 
(2) Includes the effect of realized losses on interest rate swaps.
 
 



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
Net Realized
Losses on Interest Rate Swaps
Economic Interest
Expense
GAAP Net Interest
Income
Net Realized
Losses on Interest Rate Swaps
Other  (1)
Economic
Net
Interest
Income
For the Quarter Ended March 31, 2017
$
251,344

$
110,231

$
4,106

$
114,337

$
141,113

$
(4,106
)
$
(519
)
$
136,488

For the Quarter Ended December 31, 2016
$
260,823

$
106,737

$
4,151

$
110,888

$
154,086

$
(4,151
)
$
40

$
149,975

For the Quarter Ended September 30, 2016
$
250,953

$
94,911

$
4,595

$
99,506

$
156,042

$
(4,595
)
$
(105
)
$
151,342

For the Quarter Ended June 30, 2016
$
221,096

$
83,227

$
8,141

$
91,368

$
137,869

$
(8,141
)
$
(367
)
$
129,361

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

$
62,981

$
11,220

$
74,201

$
138,213

$
(11,220
)
$
(448
)
$
126,545

(1) Primarily 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

March 31, 2017

March 31, 2016

(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
$
3,730,939

$
27,632

3.0
%

$
6,003,520

$
37,659

2.5
%
Non-Agency RMBS
1,372,359

30,205

8.8
%

1,461,811

31,106

8.5
%
Non-Agency RMBS transferred to consolidated VIEs
1,141,388

60,134

21.1
%

1,418,442

64,232

18.1
%
Residential mortgage loans held for investment
9,091,646

132,854

5.8
%

4,686,855

67,749

5.8
%
Total
$
15,336,332

$
250,825

6.5
%

$
13,570,628

$
200,746

5.9
%










Liabilities and stockholders' equity:
 
 
 


 
 
 

Interest-bearing liabilities: 
 
 
 


 
 
 

Repurchase agreements collateralized by:













Agency MBS  (2)
$
3,120,531

$
11,473

1.5
%

$
5,419,402

$
21,279

1.6
%
Non-Agency RMBS
745,920

5,532

3.0
%

828,757

4,941

2.4
%
RMBS from bond securitizations
605,366

4,669

3.1
%

708,286

5,043

2.8
%
RMBS from loan securitizations
1,328,324

9,978

3.0
%

540,479

3,687

2.7
%
Securitized debt, collateralized by Non-Agency RMBS
318,756

5,012

6.3
%

510,761

3,996

3.1
%
Securitized debt, collateralized by loans
7,121,397

77,673

4.4
%

3,671,167

35,255

3.8
%
Total
$
13,240,294

$
114,337

3.5
%

$
11,678,852

$
74,201

2.5
%














Economic net interest income/net interest rate spread
 

$
136,488

3.0
%

 

$
126,545

3.4
%














Net interest-earning assets/net interest margin
$
2,096,038

 

3.6
%

$
1,891,776

 

3.6
%














Ratio of interest-earning assets to interest bearing liabilities
1.16

 

 


1.16

 

 















(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 March 31, 2017
19.63
%
16.46
%
11.57
%
For the Quarter Ended December 31, 2016
28.82
%
19.48
%
15.76
%
For the Quarter Ended September 30, 2016
23.04
%
20.18
%
17.14
%
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
%
* Includes effect of realized losses on interest rate swaps.
 
 
 


9


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
Accretable Discount (Net of Premiums)
March 31, 2017

December 31, 2016

September 30, 2016

June 30, 2016

March 31, 2016


(dollars in thousands)
Balance, beginning of period
$
683,648

$
733,060

$
769,764

$
778,847

$
824,154

Accretion of discount
(43,715
)
(44,427
)
(44,455
)
(42,297
)
(45,481
)
Purchases
(3,642
)
(33,987
)
8,959

(1,001
)
(11,102
)
Sales and deconsolidation
(7,303
)
(2,138
)
(14,386
)
(20,590
)
—

Transfers from/(to) credit reserve, net
19,671

31,140

13,178

54,805

11,276

Balance, end of period
$
648,659

$
683,648

$
733,060

$
769,764

$
778,847


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, 2016 , 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.



10

FINANCIAL SUPPLEMENT NYSE: CIM 1st Quarter 2017

 
Information is unaudited, estimated and subject to change. DISCLAIMER This presentation includes “forward-looking statements” within the meaning of the safe harbor provisions of the UnitedStates Private Securities Litigation Reform Act of 1995. Actual results may differ from expectations, estimates andprojections and, consequently, readers should not rely on these forward-looking statements as predictions of future events. Words such as “goal” “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, 2016, 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. This presentation may include industry and market data obtained through research, surveys, and studies conducted by third parties and industry publications. We have not independently verified any such market and industry data from third-party sources. This presentation is provided for discussion purposes only and may not be relied upon as legal or investment advice, nor is it intended to be inclusive of all the risks and uncertainties that should be considered. This presentation does not constitute an offer to purchase or sell any securities, nor shall it be construed to be indicative of the terms of an offer that the parties or their respective affiliates would accept. Readers are advised that the financial information in this presentation 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.

 
Information is unaudited, estimated and subject to change. 2 PORTFOLIO COMPOSITION Residential Mortgage Credit Portfolio Agency Portfolio Total Portfolio Gross Asset Yield: 7.7% 3.0% 6.5% Financing Cost(2): 4.1% 1.5% 3.5% Net Interest Spread: 3.6% 1.5% 3.0% Net Interest Margin: 4.1% 1.7% 3.6% All data as of March 31, 2017 (1) Financing excludes unsettled trades. (2) Includes the interest incurred on interest rate swaps. Net Investment Analysis 17 16 15 14 13 12 11 10 9 8 7 6 5 4 3 2 1 0 B ill io ns $2.9 $0.7 $2.8 $3.1 $10.4 Non-Recourse (Securitization) Recourse (Repo) Recourse (Repo) Equity Equity Agency Portfolio Total Assets: 4.1 billion(1) Residential Mortgage Credit Portfolio Total Assets: 15.9 billion(1) 81% of Chimera's equity capital is allocated to mortgage credit

 
Information is unaudited, estimated and subject to change. 3 March 31, 2017 December 31, 2016 Total Portfolio: $20.0 billion Total Portfolio: $16.3 billion Non-Agency MBS Agency MBS Securitized Loan Portfolio 16% 20% 63% Non-Agency MBS Agency MBS Securitized Loan Portfolio 20% 26% 54% GAAP ASSET ALLOCATION(1) (1) Based on fair value. Chimera sponsored four residential mortgage loan securitizations totaling $4.1 billion

 
Information is unaudited, estimated and subject to change. 4 March 31, 2017 December 31, 2016 Total Financing: $16.3 Billion Total Financing: $12.9 Billion Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Recourse Debt, Securitized RMBS and Loans (2) 19% 17% 64% Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Recourse Debt, Securitized RMBS and Loans (2) 24% 20% 57% GAAP FINANCING SOURCES (1) Leverage ratios as of March 31, 2017 (2) Consists of tranches of RMBS and loan securitizations sold to third parties. Total Leverage(1): 4.6:1 Recourse Leverage(1): 1.7:1

 
Information is unaudited, estimated and subject to change. 5 ($ in thousands) At Issuance / Acquisition March 31, 2017 Vintage Deal Total OriginalFace Total of Tranches Sold Total of Tranches Retained Total Remaining Face Remaining Face of Tranches Sold Remaining Face of Tranches Retained 2017 CIM 2017-4 $830,510 $710,003 $120,507 $830,510 $710,003 $120,507 2017 CIM 2017-3 2,434,640 2,113,267 321,373 2,434,640 2,113,267 321,373 2017 CIM 2017-2 331,440 248,580 82,860 331,440 248,580 82,860 2017 CIM 2017-1 526,267 368,387 157,880 515,939 358,236 157,703 2016 CIM 2016-FRE1 185,811 115,165 70,646 179,854 109,118 70,736 2016 CIM 2016-5(1) 66,171 10,000 56,171 57,506 8,863 48,643 2016 CIM 2016-4(1) 601,733 493,420 108,313 569,077 457,005 112,072 2016 CIM 2016-3 1,746,084 1,478,933 267,151 1,548,716 1,279,658 269,058 2016 CIM 2016-2 1,762,177 1,492,563 269,614 1,560,763 1,289,348 271,415 2016 CIM 2016-1 1,499,341 1,266,898 232,443 1,318,596 1,085,591 233,005 2015 CIM 2015-4AG(2) 750,647 425,000 325,647 598,060 403,083 194,977 2015 CIM 2015-3AG(3) 698,812 520,935 177,877 531,831 370,386 161,445 2015 CIM 2015-2AG(4) 330,293 276,998 53,295 242,808 195,419 47,389 2015 CIM 2015-1EC 268,731 214,985 53,746 218,550 161,922 56,628 2014 CSMC 2014-CIM1(5) 333,865 268,087 65,778 220,442 159,947 60,495 2013 SLFMT 2013-2A 1,137,308 1,134,464 2,844 790,338 762,807 27,531 2013 SLFMT 2013-3A 500,390 499,139 1,251 388,541 231,315 157,226 2012 CSMC 2012-CIM1 741,939 707,810 34,129 66,939 36,307 30,632 2012 CSMC 2012-CIM2 425,091 404,261 20,830 58,313 39,252 19,061 2012 CSMC 2012-CIM3 329,886 305,804 24,082 130,090 110,649 19,441 2008 PHHMC 2008-CIM1 619,710 549,142 70,568 51,587 37,459 14,128 TOTAL $16,120,846 $13,603,841 $2,517,005 $12,644,540 $10,168,215 $2,476,325 % of origination remaining 78% (1) Contains collateral from Springleaf 2013-1A Trust. (2) Contains collateral from Springleaf 2012-3A Trust. (3) Contains collateral from Springleaf 2012-2A Trust. (4) Contains collateral from Springleaf 2012-1A Trust. (5) Contains collateral from Springleaf 2011-1A Trust. CONSOLIDATED LOAN SECURITIZATIONS

 
Information is unaudited, estimated and subject to change. 6 ($ in thousands) At Issuance / Acquisition March 31, 2017 Vintage Deal Total OriginalFace Total of Tranches Sold Total of Tranches Retained Total Remaining Face Remaining Face of Tranches Sold Remaining Face of Tranches Retained 2014 CSMC 2014-4R(1) 367,271 — 367,271 236,725 — 236,725 2010 CSMC 2010-1R 1,730,581 691,630 1,038,951 583,487 4,992 578,495 2010 CSMC 2010-11R 566,571 338,809 227,762 250,518 39,189 211,329 2009 CSMC 2009-12R 1,730,698 915,566 815,132 536,760 102,586 434,174 2009 JPMRR 2009-7 1,522,474 856,935 665,539 501,750 140,218 361,532 2009 JMAC 2009-R2 281,863 192,500 89,363 88,922 31,904 57,018 TOTAL 6,199,458 2,995,440 3,204,018 2,198,162 318,889 1,879,273 % of origination remaining 35% 11% 59% CONSOLIDATED RMBS SECURITIZATIONS ▪ Re-Remic subordinate bonds have had slow prepayments considering the low interest rate environment ▪ Chimera expects the subordinate bond portfolio to have meaningful impact on earnings for the foreseeable future (1) Contains collateral from CSMC 2010-12R Trust.

 
Information is unaudited, estimated and subject to change. 7 Agency Securities – As of March 31, 2017 Repo Days to Maturity – As of March 31, 2017 Agency Securities – As of December 31, 2016 Repo Days to Maturity – As of December 31, 2016 Maturity PrincipalBalance Weighted Average Rate Weighted Average Days Within 30 days $1,886,437 0.87% 30 to 59 days 700,615 0.97% 60 to 89 days 267,663 0.93% 90 to 360 days 233,019 0.93% Over 360 days — — Total $3,087,734 0.90% 32 Days (1) Coupon is a weighted average for Commercial and Agency IO (2) Notional Agency IO was $3.2 billion and $3.4 billion as of March 31, 2017 and December 31, 2016 respectively. Security Type Coupon (1) Current Face Weighted Average Market Price Weighted Average CPR Agency Pass- through 3.50% $1,001,123 102.5 11.0 4.00% 1,207,431 105.1 15.3 4.50% 271,980 107.5 21.3 Commercial 3.6% 1,393,290 99.2 — Agency IO 0.8% N/M(2) 4.0 7.3 Total $3,873,824     Maturity PrincipalBalance Weighted Average Rate Weighted Average Days Within 30 days $2,203,298 0.95% 30 to 59 days 653,210 0.94% 60 to 89 days 192,418 1.03% 90 to 360 days 10,341 1.00% Over 360 days — — Total $3,059,267 0.95% 23 Days Security Type Coupon (1) Current Face Weighted Average Market Price Weighted Average CPR Agency Pass- through 3.50% $1,036,300 102.4 18.3 4.00% 1,266,884 105.1 23.3 4.50% 291,385 107.5 24.2 Commercial 3.6% 1,331,544 98.9 0.2 Agency IO 0.8% N/M(2) 4.3 26.4 Total $3,926,113 AGENCY & REPO SUMMARY

 
Information is unaudited, estimated and subject to change. 8 Description ($ in thousands) - 100 Basis Points - 50 Basis Points Unchanged +50 Basis Points +100 Basis Points Agency Securities Market Value $ 4,330,594 $ 4,220,920 $ 4,101,851 $ 3,976,033 $ 3,847,031 Percentage Change 5.6 % 2.9 % - (3.1)% (6.2)% Swap Market Value (104,384) (51,009) - 49,365 97,693 Percentage Change (2.5)% (1.2)% - 1.2 % 2.4 % Futures Market Value (35,537) (17,525) - 17,059 33,662 Percentage Change (0.9)% (0.4)% - 0.4 % 0.8 % Net Gain/(Loss) $ 88,822 $ 50,535 - $ (59,394) $ (123,465) Percentage Change in Portfolio Value(1) 2.2 % 1.2 % - (1.4)% (3.0)% Near Term 0-3 Short Term 3-5 Medium Term 5-10 Long Term 10-30 Hedge Book Maturities 3% 34% 57% 6% INTEREST RATE SENSITIVITY Chimera continues to reduce its rate exposure by reducing its Agency portfolio and hedges Total Notional Balance - Derivative Instruments March 31, 2017 December 31, 2016 Interest Rate Swaps 1,535,900 1,396,900 Swaptions 482,000 624,000 Futures 619,700 619,700 (1) Based on instantaneous moves in interest rates.

 
chimerareit.com

 


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

Investor Relations
212-413-1880
www.chimerareit.com
FOR IMMEDIATE RELEASE
CHIMERA DECLARES SECOND QUARTER 2017 COMMON AND PREFERRED STOCK DIVIDENDS
•
BOARD DECLARES SECOND QUARTER 2017 DIVIDEND OF $0.50 PER SHARE OF COMMON STOCK
•
BOARD EXPECTS TO MAINTAIN A $0.50 DIVIDEND FOR THE REMAINING TWO QUARTERS OF 2017
•
BOARD DECLARES SECOND QUARTER 2017 DIVIDEND OF $0.50 PER SHARE OF 8% SERIES A CUMULATIVE REDEEMABLE PREFERRED STOCK
•
BOARD DECLARES SECOND QUARTER 2017 DIVIDEND OF $0.68333 PER SHARE OF 8% SERIES B CUMULATIVE REDEEMABLE PREFERRED STOCK
The Board of Directors of Chimera announced the declaration of its second quarter cash dividend of $0.50 per common share. The dividend is payable July 28, 2017 to common stockholders of record on June 30, 2017. The ex-dividend date is June 28, 2017.

The Board of Directors of Chimera also announced the declaration of its second quarter cash dividend of $0.50 per share of 8% Series A Cumulative Redeemable Preferred Stock. The dividend is payable June 30, 2017 to preferred shareholders of record on June 1, 2017. The ex-dividend date is May 30, 2017.

The Board of Directors of Chimera also announced the declaration of its second quarter cash dividend of $0.68333 per share of 8% Series B Cumulative Redeemable Preferred Stock. The dividend is payable June 30, 2017 to preferred shareholders of record on June 1, 2017. The ex-dividend date is May 30, 2017.





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, 2016 , 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.