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):
February 14, 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 February 14, 2017, the registrant issued a press release announcing its financial results for the quarter and year ended December 31, 2016. A copy of the press release is furnished as Exhibit 99.1 to this report.

On February 14, 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 February 14, 2017, the registrant issued a press release announcing the declaration of its first quarter cash dividend of $0.50 per share of common stock and $0.50 per share of Series A Cumulative Redeemable Preferred Stock.


Item 9.01 Financial Statements and Exhibits

(d)
Exhibits
 
 
99.1
Press Release, dated February 14, 2017, issued by Chimera Investment Corporation
99.2
Supplemental Financial Information for the quarter and year ended December 31, 2016.
99.3
Press Release, dated February 14, 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: February 14, 2017



    
CHIMERALOGOALLBLACKONWHITE.JPG
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 4TH QUARTER AND FULL YEAR 2016 EARNINGS
•
4TH QUARTER GAAP EARNINGS OF $1.17 PER COMMON SHARE
•
4TH QUARTER CORE EARNINGS (1) OF $0.65 PER COMMON SHARE
•
FULL YEAR GAAP EARNINGS OF $2.92 PER COMMON SHARE UP FROM $1.25 PER COMMON SHARE IN 2015
•
FULL YEAR CORE EARNINGS OF $2.42 PER COMMON SHARE UP FROM $2.37 PER COMMON SHARE IN 2015
•
GAAP BOOK VALUE OF $15.87 PER COMMON SHARE UP FROM $15.70 PER COMMON SHARE IN 2015, COMPARED TO $16.18 IN 3RD QUARTER 2016
“Chimera’s portfolio produced a positive total return despite a significant rise in long term interest rates in the fourth quarter of 2016”, said Matthew Lambiase, Chimera’s CEO and President. “Full year 2016 included meaningful new investments in securitized mortgage loans which helped us grow earnings. We finished our first calendar year as an internally managed company and remain committed to creating value for our shareholders.”

(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)
 
December 31, 2016
December 31, 2015
Assets:
 
 
Cash and cash equivalents
$
177,714

$
114,062

Non-Agency RMBS, at fair value
3,330,063

3,675,841

Agency MBS, at fair value
4,167,754

6,514,824

Securitized loans held for investment, at fair value
8,753,653

4,768,416

Accrued interest receivable
79,697

66,247

Other assets
166,350

189,796

Derivatives, at fair value, net
9,677

15,460

Total assets (1)
$
16,684,908

$
15,344,646

Liabilities:
 

 

Repurchase agreements, MBS ($7.0 billion and $8.8 billion pledged as collateral, respectively)
$
5,600,903

$
7,439,339

Securitized debt, collateralized by Non-Agency RMBS ($1.8 billion and $2.1 billion pledged as collateral, respectively)
334,124

529,415

Securitized debt at fair value, collateralized by loans held for investment ($8.8 billion and $4.8 billion pledged as collateral, respectively)
6,941,097

3,720,496

Payable for investments purchased
520,532

560,641

Accrued interest payable
48,670

37,432

Dividends payable
97,005

90,097

Accounts payable and other liabilities
16,694

11,404

Derivatives, at fair value
2,350

9,634

Total liabilities (1)
$
13,561,375

$
12,398,458






Stockholders' Equity:
 

 

Preferred Stock: par value $0.01 per share; 8% Series A cumulative redeemable; 100,000,000 shares authorized, 5,800,000 and 0 shares issued and outstanding, respectively ($145,000 liquidation preference)
$
58

$
—

Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,739,634 and 187,711,868 shares issued and outstanding, respectively
1,877

1,877

Additional paid-in-capital
3,508,779

3,366,568

Accumulated other comprehensive income
718,106

773,791

Cumulative earnings
2,443,184

1,891,239

Cumulative distributions to stockholders
(3,548,471
)
(3,087,287
)
Total stockholders' equity
$
3,123,533

$
2,946,188

Total liabilities and stockholders' equity
$
16,684,908

$
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 December 31, 2016 and December 31, 2015 , total assets of consolidated VIEs were $10,761,954 and $7,031,278 , respectively, and total liabilities of consolidated VIEs were $7,300,163 and $4,262,017 , respectively.

2


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

December 31, 2016
December 31, 2015
December 31, 2014
Net Interest Income:



Interest income (1)
$
934,068

$
872,737

$
687,795

Interest expense (2)
347,857

259,365

147,785

Net interest income
586,211

613,372

540,010

Other-than-temporary impairments:
 

 



Total other-than-temporary impairment losses
(9,589
)
(8,700
)
(8,713
)
Portion of loss recognized in other comprehensive income
(48,398
)
(58,744
)
(55,279
)
Net other-than-temporary credit impairment losses
(57,987
)
(67,444
)
(63,992
)
Other investment gains (losses):
 

 



Net unrealized gains (losses) on derivatives
50,093

67,385

(103,496
)
Realized gains (losses) on terminations of interest rate swaps
(60,616
)
(98,949
)
—

Net realized gains (losses) on derivatives
(44,886
)
(83,073
)
(82,852
)
Net gains (losses) on derivatives
(55,409
)
(114,637
)
(186,348
)
Net unrealized gains (losses) on financial instruments at fair value
59,552

(158,433
)
193,534

Net realized gains (losses) on sales of investments
18,155

77,074

91,709

Gain (loss) on deconsolidation
—

(256
)
47,846

Gains (losses) on Extinguishment of Debt
(477
)
(5,930
)
(2,184
)
Total other gains (losses)
21,821

(202,182
)
144,557

Other income:
 

 



Other income
95,000

—

23,783

Total other income
95,000

—

23,783

Other expenses:
 

 



Management fees
—

24,609

32,514

Expense recoveries from Manager
—

(6,906
)
(8,936
)
Net management fees
—

17,703

23,578

Provision for loan losses, net
—

—

(232
)
Compensation and benefits
26,901

10,544

—

General and administrative expenses
17,516

31,633

20,403

Servicing Fees of consolidated VIEs
31,178

25,244

10,004

Deal Expenses
17,424

8,272

1,398

Total other expenses
93,019

93,396

31,368

Income (loss) before income taxes
552,026

250,350

589,207

Income taxes
83

1

2

Net income (loss)
$
551,943

$
250,349

$
589,205








Dividend on preferred stock
2,449

—

—








Net income (loss) available to common shareholders
$
549,494

$
250,349

$
589,205








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


 



Basic
$
2.93

$
1.25

$
2.87

Diluted
$
2.92

$
1.25

$
2.87








Weighted average number of common shares outstanding:
 

 



Basic
187,728,634

199,563,196

205,450,095

Diluted
188,024,838

199,650,177

205,508,769








Dividends declared per share of common stock
$
2.44

$
1.92

$
1.80








(1) Includes interest income of consolidated VIEs of $678,623 , $575,715 , and $428,992 for the years ended December 31, 2016 , 2015 , and 2014 respectively.
(2) Includes interest expense of consolidated VIEs of $249,708 , $191,922 and $119,103 for the years ended December 31, 2016 , 2015 , 2014 respectively.

3


 
For the Quarter Ended
 
December 31, 2016
September 30, 2016
June 30, 2016
March 31, 2016
 
(dollars in thousands, except per share data)
Net Interest Income:
 
 
 
 
Interest income
$
260,823

$
250,953

$
221,096

$
201,194

Interest expense
106,737

94,911

83,227

62,981

Net interest income
154,086

156,042

137,869

138,213

Other-than-temporary impairments:
 

 

 

 

Total other-than-temporary impairment losses
(1,034
)
(993
)
(3,139
)
(4,423
)
Portion of loss recognized in other comprehensive income
(13,746
)
(10,581
)
(17,816
)
(6,255
)
Net other-than-temporary credit impairment losses
(14,780
)
(11,574
)
(20,955
)
(10,678
)
Net gains (losses) on derivatives
115,523

13,360

(47,755
)
(136,537
)
Net unrealized gains (losses) on financial instruments at fair value
(20,664
)
32,999

30,347

16,871

Gain (loss) on deconsolidation
—

—

—

—

Gain (loss) on Extinguishment of Debt
1,334

(45
)
—

(1,766
)
Net realized gains (losses) on sales of investments
11,121

3,079

6,631

(2,674
)
Other Income
—

—

—

95,000

Total other expenses
24,698

21,031

31,987

15,302

Net income
$
221,903

$
172,817

$
74,127

$
83,098

Dividend on preferred stock
$
2,449

$
—

$
—

$
—

Net income (loss) available to common shareholders
$
219,454

$
172,817

$
74,127

$
83,098

Net income per common share-basic
$
1.17

$
0.92

$
0.39

$
0.44


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 Year Ended

December 31, 2016
December 31, 2015
December 31, 2014

(dollars in thousands, except per share data)
GAAP Net income available to common stockholders
$
549,494

$
250,349

$
589,205

Adjustments:



Net other-than-temporary credit impairment losses
57,987

67,444

63,992

Net unrealized (gains) losses on derivatives
(50,093
)
(67,385
)
103,496

Net unrealized (gains) losses on financial instruments at fair value
(59,552
)
158,433

(193,534
)
Net realized (gains) losses on sales of investments
(18,155
)
(77,074
)
(91,709
)
(Gains) losses on extinguishment of debt
477

5,930

2,184

Realized (gains) losses on terminations of interest rate swaps
60,616

98,949

—

Net realized (gains) losses on derivatives - Futures (1)
9,170

35,523

38,552

Total other (gains) losses
(95,000
)
256

(71,629
)
Core Earnings
$
454,944

$
472,425

$
440,557





GAAP net income per basic common share
$
2.93

$
1.25

$
2.87

Core earnings per basic common share (2)
$
2.42

$
2.37

$
2.14

 
For the Quarters Ended
 
December 31, 2016
September 30, 2016
June 30, 2016
March 31, 2016
December 31, 2015
 
(dollars in thousands, except per share data)
GAAP Net income available to common stockholders
$
219,454

$
172,817

$
74,127

$
83,098

$
115,380

Adjustments:
 

 

 

 

 

Net other-than-temporary credit impairment losses
14,780

11,574

20,955

10,678

14,696

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

(46,842
)
Net unrealized (gains) losses on financial instruments at fair value
20,664

(32,999
)
(30,347
)
(16,871
)
69,793

Net realized (gains) losses on sales of investments
(11,121
)
(3,079
)
(6,631
)
2,674

(34,285
)
(Gains) losses on extinguishment of debt
(1,334
)
45

—

1,766

(8,906
)
Realized (gains) losses on terminations of interest rate swaps
—

—

60,158

458

(754
)
Net realized (gains) losses on Futures (1)
(19,628
)
7,823

(635
)
21,609

(9,018
)
Total other (gains) losses
—

—

—

—

256

Other income
—

—

—

(95,000
)
—

Core Earnings
$
121,340

$
128,553

$
95,527

$
109,522

$
100,320












GAAP net income per basic common share
$
1.17

$
0.92

$
0.39

$
0.44

$
0.61

Core earnings per basic common share (2)
$
0.65

$
0.68

$
0.51

$
0.58

$
0.53












(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 RMBS portfolio at December 31, 2016 and December 31, 2015 .

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

 
December 31, 2016
December 31, 2015
 
(dollars in thousands)
Overnight
$
—

$
—

1 to 29 days
2,947,604

3,312,902

30 to 59 days
958,956

2,501,513

60 to 89 days
407,625

246,970

90 to 119 days
559,533

430,026

Greater than or equal to 120 days
727,185

947,928

Total
$
5,600,903

$
7,439,339




6


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





December 31, 2016
December 31, 2015
Interest earning assets at period-end (1)
$
16,251,470

$
14,959,081

Interest bearing liabilities at period-end
$
12,876,124

$
11,689,250

GAAP Leverage at period-end
 4.1:1

4.0:1

GAAP Leverage at period-end (recourse)
 1.8:1

2.5:1

Portfolio Composition, at amortized cost
 

 

Non-Agency RMBS
9.0
%
10.4
%
Senior
3.9
%
4.7
%
Senior, interest only
1.9
%
1.9
%
Subordinated
3.1
%
3.7
%
Subordinated, interest only
0.1
%
0.1
%
RMBS transferred to consolidated VIEs
7.6
%
10.1
%
Agency MBS
27.7
%
46.0
%
Residential
17.8
%
37.2
%
Commercial
8.9
%
6.8
%
Interest-only
1.0
%
2.0
%
Securitized loans held for investment
55.7
%
33.5
%
Fixed-rate percentage of portfolio
88.4
%
84.7
%
Adjustable-rate percentage of portfolio
11.6
%
15.3
%
Annualized yield on average interest earning assets for the periods ended
6.4
%
6.0
%
Annualized cost of funds on average borrowed funds for the periods ended  (2)
3.0
%
2.5
%
(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
Other (2)
Economic Interest
Expense
GAAP Net Interest
Income
Net Realized
Losses on Interest Rate Swaps
Other  (1)(2)
Economic
Net
Interest
Income
For the Year Ended December 31, 2016
$
934,068

$
347,857

$
28,107

$
—

$
375,964

$
586,211

$
(28,107
)
$
(882
)
$
557,222

For the Year Ended December 31, 2015
$
872,737

$
259,365

$
47,227

$
(2,217
)
$
304,375

$
613,372

$
(47,227
)
$
1,218

$
567,363

For the Year Ended December 31, 2014
$
687,795

$
147,785

$
52,522

$
—

$
200,307

$
540,010

$
(52,522
)
$
(22
)
$
487,466




















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.
(2) Other includes $2 million of deferred financing expenses written off during the quarter ended September 30, 2015.




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

December 31, 2016

December 31, 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
$
3,730,032

$
38,494

4.1
%

$
5,967,169

$
37,762

2.5
%
Non-Agency RMBS
1,390,837

32,098

9.2
%

1,452,456

27,993

7.7
%
Non-Agency RMBS transferred to consolidated VIEs
1,208,217

61,021

20.2
%

1,465,966

64,045

17.5
%
Jumbo Prime securitized residential mortgage loans held for investment
355,578

2,958

3.3
%

474,543

3,688

3.1
%
Seasoned subprime securitized residential mortgage loans held for investment
8,337,725

126,292

6.1
%

4,523,675

68,411

6.0
%
Total
$
15,022,389

$
260,863

6.9
%

$
13,883,809

$
201,899

5.8
%








Liabilities and stockholders' equity:
 
 
 

 
 
 
Interest-bearing liabilities: 
 
 
 

 
 
 
Agency repurchase agreements (2)
$
3,199,755

$
11,340

1.4
%

$
5,296,934

$
20,045

1.5
%
Non-Agency repurchase agreements
2,499,313

18,579

3.0
%

2,095,149

12,677

2.4
%
Securitized debt, collateralized by Non-Agency RMBS
357,422

5,610

6.3
%

550,634

8,171

5.9
%
Securitized debt, collateralized by jumbo prime residential mortgage loans
261,882

2,128

3.2
%

370,160

3,041

3.3
%
Securitized debt, collateralized by seasoned subprime residential mortgage loans
6,720,323

73,231

4.4
%

3,601,082

32,694

3.6
%
Total
$
13,038,695

$
110,888

3.4
%

$
11,913,959

$
76,628

2.6
%














Economic net interest income/net interest rate spread
 

$
149,975

3.5
%

 

$
125,271

3.2
%














Net interest-earning assets/net interest margin
$
1,983,694

 

4.0
%

$
1,969,850

 

3.6
%














Ratio of interest-earning assets to interest bearing liabilities
1.15

 

 


1.17

 

 















(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 Year Ended December 31, 2016
18.42
%
18.59
%
15.18
%
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
%







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)
December 31, 2016

September 30, 2016

June 30, 2016

March 31, 2016

December 31, 2015


(dollars in thousands)
Balance, beginning of period
$
733,060

$
769,764

$
778,847

$
824,154

$
873,091

Accretion of discount
(44,427
)
(44,455
)
(42,297
)
(45,481
)
(43,520
)
Purchases
(33,987
)
8,959

(1,001
)
(11,102
)
1,845

Sales and deconsolidation
(2,138
)
(14,386
)
(20,590
)
—

(35,144
)
Transfers from/(to) credit reserve, net
31,140

13,178

54,805

11,276

27,882

Balance, end of period
$
683,648

$
733,060

$
769,764

$
778,847

$
824,154


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.



10

FINANCIAL SUPPLEMENT NYSE: CIM 4th Quarter 2016

 
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, 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. 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: 7.9% 4.1% 6.9% Financing Cost(2): 4.0% 1.4% 3.4% Net Interest Spread: 3.9% 2.7% 3.5% Net Interest Margin: 4.4% 2.9% 4.0% All data as of December 31, 2016 (1) Financing excludes unsettled trades. (2) Includes the interest incurred on interest rate swaps. Net Investment Analysis 13 12 11 10 9 8 7 6 5 4 3 2 1 0 B ill io ns $2.4 $0.7 $2.5 $3.1 $7.3 Non-Recourse (Securitization) Recourse (Repo) Recourse (Repo) Equity Equity Agency Portfolio Total Assets: 4.2 billion(1) Residential Mortgage Credit Portfolio Total Assets: 12.1 billion(1) 76% of Chimera's equity capital is allocated to mortgage credit

 
Information is unaudited, estimated and subject to change. 3 December 31, 2016 September 30, 2016 Total Portfolio: $16.3 billion Total Portfolio: $16.7 billion Non-Agency MBS Agency MBS Securitized Loan Portfolio 20% 26% 54% Non-Agency MBS Agency MBS Securitized Loan Portfolio 21% 26% 53% GAAP ASSET ALLOCATION(1) (1) Based on fair value. The portfolio composition remained stable through the fourth quarter of 2016

 
Information is unaudited, estimated and subject to change. 4 December 31, 2016 September 30, 2016 Total Financing: $12.9 Billion Total Financing: $13.4 Billion Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Recourse Debt, Securitized RMBS and Loans (2) 24% 20% 57% Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Recourse Debt, Securitized RMBS and Loans (2) 25% 18% 57% GAAP FINANCING SOURCES (1) Leverage ratios as of December 31, 2016 (2) Consists of tranches of RMBS and loan securitizations sold to third parties. Total Leverage(1): 4.1:1 Recourse Leverage(1): 1.8:1

 
Information is unaudited, estimated and subject to change. 5 ($ in thousands) At Issuance / Acquisition December 31, 2016 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 2016 CIM 2016-FRE1 $185,811 $115,165 $70,646 $183,559 $112,759 $70,800 2016 CIM 2016-5(1) 66,171 10,000 56,171 61,738 9,331 52,407 2016 CIM 2016-4(1) 601,733 493,420 108,313 588,843 477,317 111,526 2016 CIM 2016-3 1,746,084 1,478,933 267,151 1,604,890 1,336,072 268,818 2016 CIM 2016-2 1,762,177 1,492,563 269,614 1,621,288 1,350,131 271,157 2016 CIM 2016-1 1,499,341 1,266,898 232,443 1,368,925 1,135,135 233,790 2015 CIM 2015-4AG(2) 750,647 425,000 325,647 625,316 426,219 199,097 2015 CIM 2015-3AG(3) 698,812 520,935 177,877 556,946 393,865 163,081 2015 CIM 2015-2AG(4) 330,293 276,998 53,295 253,001 204,735 48,266 2015 CIM 2015-1EC 268,731 214,985 53,746 224,266 167,724 56,542 2014 CSMC 2014-CIM1(5) 333,865 268,087 65,778 231,412 170,829 60,583 2013 SLFMT 2013-2A 1,137,308 1,134,464 2,844 818,749 789,574 29,175 2013 SLFMT 2013-3A 500,390 499,139 1,251 398,160 239,119 159,041 2012 CSMC 2012-CIM1 741,939 707,810 34,129 75,705 44,897 30,808 2012 CSMC 2012-CIM2 425,091 404,261 20,830 64,679 45,531 19,148 2012 CSMC 2012-CIM3 329,886 305,804 24,082 134,840 115,226 19,614 2008 PHHMC 2008-CIM1 619,710 549,142 70,568 56,465 40,800 15,665 TOTAL $11,997,989 $10,163,604 $1,834,385 $8,868,782 $7,059,264 $1,809,518 % of origination remaining 74% (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 December 31, 2016 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 — 367,271 246,677 — 246,677 2010 CSMC 2010-1R 1,730,581 691,630 1,038,951 615,007 5,530 609,477 2010 CSMC 2010-11R 566,571 338,809 227,762 260,480 48,657 211,823 2009 CSMC 2009-12R 1,730,698 915,566 815,132 564,394 108,489 455,905 2009 JPMRR 2009-7 1,522,474 856,935 665,539 522,827 151,135 371,692 2009 JMAC 2009-R2 281,863 192,500 89,363 94,278 36,398 57,880 TOTAL 6,199,458 2,995,440 3,204,018 2,303,663 350,209 1,953,454 % of origination remaining 37% 12% 61% 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 December 31, 2016 Repo Days to Maturity – As of December 31, 2016 Agency Securities – As of September 30, 2016 Repo Days to Maturity – As of September 30, 2016 Maturity PrincipalBalance Weighted Average Rate Weighted Average Days Within 30 days $1,553,423 0.82% 30 to 59 days 332,006 0.78% 60 to 89 days 827,670 0.83% 90 to 360 days 665,480 0.79% Over 360 days — — Total $3,378,579 0.81% 49 Days (1) Coupon is a weighted average for Commercial and Agency IO (2) Notional Agency IO was $3.4 billion and $3.5 billion as of December 31, 2016 and September 30, 2016 respectively. 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     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 Security Type Coupon (1) Current Face Weighted Average Market Price Weighted Average CPR Agency Pass- through 3.50% $1,085,704 105.6 15 4.00% 1,271,630 107.7 20.4 4.50% 314,759 109.6 22.8 Commercial 3.6% 1,273,235 105.6 0.1 Agency IO 0.9% N/M(2) 4.5 8.3 Total $3,945,328 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 $ 4,390,545 $ 4,284,593 $ 4,167,754 $ 4,044,409 $ 3,918,360 Percentage Change 5.3 % 2.8 % - (3.0)% (6.0)% Swap Market Value (110,312) (54,630) - 54,401 107,458 Percentage Change (2.6)% (1.3)% - 1.3 % 2.6 % Futures Market Value (35,383) (17,456) - 16,991 33,522 Percentage Change (0.8)% (0.4)% - 0.4 % 0.8 % Net Gain/(Loss) $ 77,096 $ 44,753 - $ (51,953) $ (108,414) Percentage Change in Portfolio Value(1) 1.8 % 1.1 % - (1.2)% (2.6)% Near Term 0-3 Short Term 3-5 Medium Term 5-10 Long Term 10-30 Hedge Book Maturities 36% 58% 6% INTEREST RATE SENSITIVITY Chimera continues to reduce its rate exposure by reducing its Agency portfolio and hedges Total Notional Balance - Derivative Instruments December 31, 2016 September 30, 2016 Interest Rate Swaps 1,396,900 1,380,900 Swaptions 624,000 699,000 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
866-315-9930
www.chimerareit.com
FOR IMMEDIATE RELEASE
CHIMERA DECLARES FIRST QUARTER 2017 DIVIDEND OF $0.50 PER SHARE
•
BOARD DECLARES FIRST QUARTER 2017 DIVIDEND OF $0.50 PER SHARE OF COMMON STOCK
•
BOARD EXPECTS TO MAINTAIN A $0.50 DIVIDEND FOR THE REMAINING THREE QUARTERS OF 2017
•
BOARD DECLARES FIRST QUARTER 2017 DIVIDEND OF $0.50 PER SHARE OF 8% SERIES A CUMULATIVE REDEEMABLE PREFERRED STOCK
The Board of Directors of Chimera announced the declaration of its first quarter cash dividend of $0.50 per common share. The dividend is payable April 28, 2017 to common stockholders of record on March 31, 2017. The ex-dividend date is March 29, 2017.

The Board of Directors of Chimera also announced the declaration of its first quarter cash dividend of $0.50 per share of 8% Series A Cumulative Redeemable Preferred Stock. The dividend is payable March 30, 2017 to preferred shareholders of record on March 1, 2017. The ex-dividend date is February 27, 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, 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.