Exhibit 99.1
Chimera
Investment Corporation Reports EPS for the 3rd Quarter 2014 of $0.37 Per
Share, Core Earnings of $0.12 Per Share and Book Value of $3.50 Per Share
NEW YORK--(BUSINESS WIRE)--November 10, 2014--Chimera Investment
Corporation (NYSE:CIM) today announced its financial results for the
quarter ended September 30, 2014.
Financial Performance and Key Metrics
The Company reported net income for the quarter ended September 30, 2014
of $378 million or $0.37 per average share as compared to net income for
the quarter ended September 30, 2013 of $67 million or $0.07 per average
share. Net income for the nine months ended September 30, 2014 was $583
million or $0.57 per average share as compared to net income for the
nine months ended September 30, 2013 of $290 million or $0.28 per
average share. Core earnings were $116 million or $0.11 per share for
the quarter ended September 30, 2014 as compared to $93 million or $0.09
per share for the quarter ended September 30, 2013. Core earnings were
$282 million or $0.27 per share for the nine months ended September 30,
2014, up from $263 million or $0.26 for the nine months ended September
30, 2013. Core earnings is a non-GAAP measure and is defined as GAAP net
income (loss) excluding unrealized gains on the aggregate portfolio,
impairment losses, realized gains on sales of investments, gain on
deconsolidation, extinguishment of debt and certain other non-recurring
gains or losses. As defined, Core earnings includes interest income and
expense as well as realized gains or losses on derivatives used to hedge
interest rate risk. Core earnings is provided for purposes of
comparability to other peer issuers, but has important limitations. Core
Earnings as described above helps evaluate our financial performance
without the impact of certain transactions and 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.
GAAP book value was $3.50 per share, an increase of 4% from June 30,
2014 and an increase of 8% from December 31, 2013. Book value increases
reflect the favorable market fundamentals for both Agency and Non-Agency
RMBS during the third quarter of 2014.
During the quarter ended September 30, 2014, the Company acquired the
rights to approximately $4.8 billion of seasoned residential mortgage
loans through the purchase of certain subordinate notes and trust
certificates. By purchasing these securities, Chimera may over time, at
its option, terminate the securitization trusts by redeeming all
outstanding bonds.
The Company declared a common stock dividend of $0.09 per share for the
quarter ended September 30, 2014. The annualized dividend yield on the
Company’s common stock for the quarter ended September 30, 2014, based
on the September 30, 2014 closing price of $3.04, was 11.8%.
For the nine months ended September 30, 2014, the yield on average
interest earning assets was 10.7% and the annualized cost of funds on
the average borrowed funds balance, including the net interest payments
on interest rate swaps, was 3.9% for an interest rate spread of 6.9% and
net interest margin of 7.9%. Leverage was 3.8:1 and recourse leverage
was 2.6:1 at September 30, 2014.
Other Information
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”).
Conference Call
The Company will hold the second quarter 2014 earnings conference call
on Wednesday, November 12, 2014, at 10:00 a.m. EST. The number to call
is 888-317-6003 for domestic calls and 412-317-6061 for international
calls and the pass code is 7407566. The replay number is 877-344-7529
for domestic calls and 412-317-0088 for international calls and the pass
code is 10054825. The replay is available for one week after the
earnings call. There will be a web cast of the call on
www.chimerareit.com
.
If you would like to be added to the email distribution list, please
visit
www.chimerareit.com
, click on Email Alerts, complete the
email notification form and click the Submit button. For further
information, please contact Investor Relations at 1-866-315-9930 or
visit
www.chimerareit.com
.
This news release and our public documents to which we refer contain or
incorporate by reference certain forward-looking statements within the
meaning of Section 27A of the Securities Act of 1933 and Section 21E of
the Securities Exchange Act of 1934. Forward-looking statements which
are based on various assumptions (some of which are beyond our control)
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,” “will” or similar expressions, or variations on those terms or
the negative of those terms. Actual results could differ materially from
those set forth in forward-looking statements due to a variety of
factors, including, but not limited to, our business and investment
strategy; our projected financial and operating results; our ability to
maintain existing financing arrangements, obtain future financing
arrangements and the terms of such arrangements; general volatility of
the securities markets in which we invest; the implementation, timing
and impact of, and changes to, various government programs, our expected
investments; changes in the value of our investments; interest rate
mismatches between our investments and our borrowings used to fund such
purchases; changes in interest rates and mortgage prepayment rates;
effects of interest rate caps on our adjustable-rate investments; rates
of default or decreased recovery rates on our investments; prepayments
of the mortgage and other loans underlying our mortgage-backed or other
asset-backed securities; the degree to which our hedging strategies may
or may not protect us from interest rate volatility; impact of and
changes in governmental regulations, tax law and rates, accounting
guidance, and similar matters; availability of investment opportunities
in real estate-related and other securities; availability of qualified
personnel; estimates relating to our ability to make distributions to
our stockholders in the future; our understanding of our competition;
market trends in our industry, interest rates, the debt securities
markets or the general economy; our ability to maintain our exemption
from registration under the Investment Company Act of 1940, as amended;
and our ability to maintain our qualification as a REIT for federal
income tax purposes. For a discussion of the risks and uncertainties
which could cause actual results to differ from those contained in the
forward-looking statements, see “Risk Factors” in our Annual Report on
Form 10-K, and any subsequent Quarterly Reports on Form 10-Q. We do not
undertake, and specifically disclaim all obligations, 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.
|
|
|
CHIMERA INVESTMENT CORPORATION
|
|
CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME
(LOSS)
|
|
(dollars in thousands, except share and per share data)
|
|
(unaudited)
|
|
|
|
|
|
|
|
|
For the Quarter Ended
|
For the Nine Months Ended
|
|
|
September 30, 2014
|
September 30, 2013
|
September 30, 2014
|
September 30, 2013
|
|
Net interest income:
|
|
|
|
|
|
Interest income
|
$
|
86,613
|
|
$
|
38,818
|
|
$
|
171,125
|
|
$
|
101,514
|
|
|
Interest expense
|
|
(9,902
|
)
|
|
(1,580
|
)
|
|
(15,132
|
)
|
|
(5,042
|
)
|
|
|
|
|
|
|
|
Interest income, Assets of consolidated VIEs
|
|
103,742
|
|
|
91,543
|
|
|
274,215
|
|
|
282,207
|
|
|
Interest expense, Non-recourse liabilities of consolidated VIEs
|
|
(28,984
|
)
|
|
(23,494
|
)
|
|
(66,859
|
)
|
|
(75,472
|
)
|
|
Net interest income (expense)
|
|
151,469
|
|
|
105,287
|
|
|
363,349
|
|
|
303,207
|
|
|
Other-than-temporary impairments:
|
|
|
|
|
|
Total other-than-temporary impairment losses
|
|
(726
|
)
|
|
(2,209
|
)
|
|
(4,939
|
)
|
|
(2,209
|
)
|
|
Portion of loss recognized in other comprehensive income (loss)
|
|
(1,264
|
)
|
|
(14,246
|
)
|
|
(3,932
|
)
|
|
(20,409
|
)
|
|
Net other-than-temporary credit impairment losses
|
|
(1,990
|
)
|
|
(16,455
|
)
|
|
(8,871
|
)
|
|
(22,618
|
)
|
|
|
|
|
|
-
|
|
|
|
Other gains (losses):
|
|
|
|
|
|
Net unrealized gains (losses) on derivatives
|
|
12,975
|
|
|
27
|
|
|
(11,720
|
)
|
|
18,607
|
|
|
Net realized gains (losses) on derivatives
|
|
(23,152
|
)
|
|
(3,391
|
)
|
|
(48,692
|
)
|
|
(14,312
|
)
|
|
Net gains (losses) on derivatives
|
|
(10,177
|
)
|
|
(3,364
|
)
|
|
(60,412
|
)
|
|
4,295
|
|
|
Net unrealized gains (losses) on financial instruments at fair value
|
|
162,921
|
|
|
(27,874
|
)
|
|
183,722
|
|
|
(41,861
|
)
|
|
Net realized gains (losses) on sales of investments
|
|
64,107
|
|
|
18,816
|
|
|
68,145
|
|
|
72,939
|
|
|
Gain on deconsolidation
|
|
-
|
|
|
-
|
|
|
47,846
|
|
|
-
|
|
|
Loss on Extinguishment of Debt
|
|
-
|
|
|
-
|
|
|
(2,184
|
)
|
|
-
|
|
|
Total other gains (losses)
|
|
216,851
|
|
|
(12,422
|
)
|
|
237,117
|
|
|
35,373
|
|
|
Net investment income (loss)
|
|
366,330
|
|
|
76,410
|
|
|
591,595
|
|
|
315,962
|
|
|
|
|
|
|
-
|
|
|
|
Other (income) and expenses:
|
|
|
|
|
|
Management fees
|
|
9,381
|
|
|
6,570
|
|
|
21,873
|
|
|
19,517
|
|
|
Expense recoveries from Manager
|
|
(1,975
|
)
|
|
(1,082
|
)
|
|
(4,820
|
)
|
|
(6,252
|
)
|
|
Net management fees
|
|
7,406
|
|
|
5,488
|
|
|
17,053
|
|
|
13,265
|
|
|
(Income)/expense for change in loan loss provision
|
|
(645
|
)
|
|
(69
|
)
|
|
(112
|
)
|
|
(1,348
|
)
|
|
General and administrative expenses
|
|
5,772
|
|
|
3,624
|
|
|
15,718
|
|
|
13,668
|
|
|
Other (income) expense
|
|
(23,783
|
)
|
|
-
|
|
|
(23,783
|
)
|
|
-
|
|
|
Total other income and expenses
|
|
(11,250
|
)
|
|
9,043
|
|
|
8,876
|
|
|
25,585
|
|
|
|
|
|
|
|
|
Income (loss) before income taxes
|
|
377,580
|
|
|
67,367
|
|
|
582,719
|
|
|
290,377
|
|
|
Income taxes
|
|
-
|
|
|
-
|
|
|
2
|
|
|
2
|
|
|
Net income (loss)
|
$
|
377,580
|
|
$
|
67,367
|
|
$
|
582,717
|
|
$
|
290,375
|
|
|
|
|
|
|
|
|
Net income (loss) per share available to common shareholders:
|
|
|
|
|
Basic
|
$
|
0.37
|
|
$
|
0.07
|
|
$
|
0.57
|
|
$
|
0.28
|
|
|
Diluted
|
$
|
0.37
|
|
$
|
0.07
|
|
$
|
0.57
|
|
$
|
0.28
|
|
|
|
|
|
|
|
|
Weighted average number of common shares outstanding:
|
|
|
|
|
|
Basic
|
|
1,027,183,380
|
|
|
1,027,121,439
|
|
|
1,027,218,024
|
|
|
1,027,075,627
|
|
|
Diluted
|
|
1,027,508,880
|
|
|
1,027,559,189
|
|
|
1,027,543,738
|
|
|
1,027,582,582
|
|
|
|
|
|
|
|
|
Dividends declared per share of common stock
|
$
|
0.09
|
|
$
|
0.09
|
|
$
|
0.27
|
|
$
|
0.27
|
|
|
|
|
|
|
|
|
Comprehensive income (loss):
|
|
|
|
|
|
Net income (loss)
|
$
|
377,580
|
|
$
|
67,367
|
|
|
582,717
|
|
|
290,375
|
|
|
Other comprehensive income (loss):
|
|
|
|
|
|
Unrealized gains (losses) on available-for-sale securities, net
|
|
(74,155
|
)
|
|
(33,176
|
)
|
|
63,995
|
|
|
61,836
|
|
|
Reclassification adjustment for net losses included in net income
(loss) for other-than-temporary credit impairment losses
|
|
1,990
|
|
|
16,455
|
|
|
8,871
|
|
|
22,618
|
|
|
Reclassification adjustment for net realized losses (gains) included
in net income (loss)
|
|
(62,477
|
)
|
|
(18,816
|
)
|
|
(70,817
|
)
|
|
(72,939
|
)
|
|
Reclassification adjustment for gain on deconsolidation included in
net income
|
|
-
|
|
|
-
|
|
|
(47,846
|
)
|
|
-
|
|
|
Other comprehensive income (loss)
|
|
(134,642
|
)
|
|
(35,537
|
)
|
|
(45,797
|
)
|
|
11,515
|
|
|
Comprehensive income (loss)
|
$
|
242,938
|
|
$
|
31,830
|
|
$
|
536,920
|
|
$
|
301,890
|
|
|
|
|
|
|
|
|
See accompanying notes to consolidated financial statements.
|
|
|
The following tables provide a reconciliation of core earnings as
September 30, 2014 and September 30, 2013.
|
|
For the Quarter Ended
|
|
For the Nine Months Ended
|
|
|
September 30, 2014
|
|
September 30, 2013
|
|
September 30, 2014
|
|
September 30, 2013
|
|
GAAP Net income (loss)
|
$
|
377,580
|
|
|
$
|
67,367
|
|
|
$
|
582,717
|
|
|
$
|
290,375
|
|
|
Adjustments:
|
|
|
|
|
|
|
|
|
Net other-than-temporary credit impairment losses
|
|
1,990
|
|
|
|
16,455
|
|
|
|
8,871
|
|
|
|
22,618
|
|
|
Net unrealized (gains) losses on derivatives
|
|
(12,975
|
)
|
|
|
(27
|
)
|
|
|
11,720
|
|
|
|
(18,607
|
)
|
|
Total other (gains) losses
|
|
(227,028
|
)
|
|
|
9,058
|
|
|
|
(297,529
|
)
|
|
|
(31,078
|
)
|
|
Other (income) expense
|
|
(23,783
|
)
|
|
|
-
|
|
|
|
(23,783
|
)
|
|
|
-
|
|
|
Core Earnings (1)
|
$
|
115,784
|
|
|
$
|
92,853
|
|
|
$
|
281,996
|
|
|
$
|
263,308
|
|
|
|
|
|
|
|
|
|
|
|
GAAP net income per basic common share
|
$
|
0.37
|
|
|
$
|
0.07
|
|
|
$
|
0.57
|
|
|
$
|
0.28
|
|
|
Core earnings per basic common share
|
$
|
0.11
|
|
|
$
|
0.09
|
|
|
$
|
0.27
|
|
|
$
|
0.26
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) Core earnings is a non-GAAP measure and is defined as GAAP net
income (loss) excluding unrealized gains on the aggregate portfolio,
impairment losses, realized gains on sales of investments, gain on
deconsolidation, extinguishment of debt and certain other
non-recurring gains or losses. As defined, Core earnings includes
interest income and expense as well as realized gains or losses on
derivatives used to hedge interest rate risk. Core earnings is
provided for purposes of comparability to other peer issuers, but
has important limitations. Core Earnings as described above helps
evaluate our financial performance without the impact of certain
transactions and 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 tables provide a summary of the Company’s RMBS portfolio
at September 30, 2014 and December 31, 2013.
|
|
|
|
|
September 30, 2014
|
|
|
|
|
|
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 Mortgage-Backed Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior
|
|
|
$
|
312,619
|
|
$
|
68.46
|
|
$
|
76.76
|
|
2.4
|
%
|
|
5.5
|
%
|
|
|
Senior, interest-only
|
|
|
$
|
5,383,454
|
|
$
|
4.44
|
|
$
|
3.86
|
|
1.6
|
%
|
|
15.2
|
%
|
|
|
Subordinated
|
|
|
$
|
689,332
|
|
$
|
48.81
|
|
$
|
63.83
|
|
3.3
|
%
|
|
10.5
|
%
|
|
|
Subordinated, interest-only
|
|
|
$
|
218,527
|
|
$
|
4.51
|
|
$
|
3.36
|
|
0.9
|
%
|
|
8.4
|
%
|
|
|
RMBS transferred to consolidated VIEs
|
|
|
$
|
3,226,298
|
|
$
|
54.62
|
|
$
|
79.46
|
|
4.6
|
%
|
|
17.1
|
%
|
|
Agency Mortgage-Backed Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pass-through
|
|
|
$
|
7,553,614
|
|
$
|
104.96
|
|
$
|
105.32
|
|
4.0
|
%
|
|
3.1
|
%
|
|
|
Interest-only
|
|
|
$
|
2,016,717
|
|
$
|
5.81
|
|
$
|
5.66
|
|
1.1
|
%
|
|
3.7
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) Bond Equivalent Yield at period end.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2013
|
|
|
|
|
|
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 Mortgage-Backed Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior
|
|
|
$
|
128,217
|
|
$
|
69.27
|
|
$
|
69.95
|
|
1.4
|
%
|
|
5.9
|
%
|
|
|
Senior, interest only
|
|
|
$
|
5,742,781
|
|
$
|
4.93
|
|
$
|
3.99
|
|
1.4
|
%
|
|
17.2
|
%
|
|
|
Subordinated
|
|
|
$
|
830,632
|
|
$
|
40.96
|
|
$
|
55.09
|
|
2.9
|
%
|
|
13.5
|
%
|
|
|
Subordinated, interest only
|
|
|
$
|
274,462
|
|
$
|
5.34
|
|
$
|
6.04
|
|
1.7
|
%
|
|
9.0
|
%
|
|
|
RMBS transferred to consolidated VIEs
|
|
|
$
|
3,912,376
|
|
$
|
54.17
|
|
$
|
77.82
|
|
4.7
|
%
|
|
15.8
|
%
|
|
Agency Mortgage-Backed Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pass-through
|
|
|
$
|
1,898,131
|
|
$
|
104.52
|
|
$
|
105.24
|
|
3.6
|
%
|
|
3.3
|
%
|
|
|
Interest only
|
|
|
$
|
247,344
|
|
$
|
17.69
|
|
$
|
17.30
|
|
3.2
|
%
|
|
5.3
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) Bond Equivalent Yield at period end.
|
|
|
At September 30, 2014 and December 31, 2013, the repurchase agreements
collateralized by RMBS had the following remaining maturities.
|
|
|
September 30, 2014
|
|
December 31, 2013
|
|
|
|
(dollars in thousands)
|
|
Overnight
|
|
$
|
-
|
|
$
|
-
|
|
1-29 days
|
|
|
3,556,708
|
|
|
644,332
|
|
30 to 59 days
|
|
|
1,691,671
|
|
|
606,945
|
|
60 to 89 days
|
|
|
957,222
|
|
|
-
|
|
90 to 119 days
|
|
|
556,406
|
|
|
129,049
|
|
Greater than or equal to 120 days
|
|
|
1,076,156
|
|
|
278,235
|
|
Total
|
|
$
|
7,838,163
|
|
$
|
1,658,561
|
|
|
The following table summarizes certain characteristics of our non-agency
portfolio at September 30, 2014 and December 31, 2013.
|
|
|
September 30, 2014
|
|
December 31, 2013
|
|
Weighted average maturity (years)
|
|
|
|
22.7
|
|
|
|
|
24.1
|
|
|
Weighted average amortized loan to value (1)
|
|
|
|
67.9
|
%
|
|
|
|
69.4
|
%
|
|
Weighted average FICO (2)
|
|
|
|
685
|
|
|
|
|
710
|
|
|
Weighted average loan balance (in thousands)
|
|
|
$
|
371
|
|
|
|
$
|
385
|
|
|
Weighted average percentage owner occupied
|
|
|
|
83.1
|
%
|
|
|
|
84.0
|
%
|
|
Weighted average percentage single family residence
|
|
|
|
65.5
|
%
|
|
|
|
65.4
|
%
|
|
Weighted average current credit enhancement
|
|
|
|
1.6
|
%
|
|
|
|
1.6
|
%
|
|
Weighted average geographic concentration of top five states
|
|
CA
|
|
32.8
|
%
|
|
CA
|
|
33.4
|
%
|
|
|
|
FL
|
|
8.5
|
%
|
|
FL
|
|
9.1
|
%
|
|
|
|
NY
|
|
7.8
|
%
|
|
NY
|
|
7.1
|
%
|
|
|
|
NJ
|
|
2.9
|
%
|
|
NJ
|
|
3.0
|
%
|
|
|
|
MD
|
|
2.7
|
%
|
|
MD
|
|
2.7
|
%
|
|
(1) Value represents appraised value of the collateral at the time
of loan origination.
|
|
(2) FICO as determined at the time of loan origination.
|
|
|
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
|
|
|
|
|
|
|
|
September 30, 2014
|
|
|
September 30, 2013
|
|
|
|
|
|
|
|
(dollars in thousands)
|
|
|
|
|
|
|
|
Average Balance
|
|
Interest
|
|
Average
Yield/Cost
|
|
Average
Balance
|
|
Interest
|
|
Average
Yield/Cost
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest-earning assets (1):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency RMBS
|
$
|
7,614,237
|
|
$
|
64,065
|
|
3.37
|
%
|
|
|
$
|
2,061,276
|
|
$
|
16,599
|
|
3.22
|
%
|
|
|
|
Non-Agency RMBS
|
|
812,667
|
|
|
22,544
|
|
11.10
|
%
|
|
|
|
671,713
|
|
|
22,215
|
|
13.23
|
%
|
|
|
|
Non-Agency RMBS transferred to consolidated VIEs
|
|
1,787,994
|
|
|
71,108
|
|
15.91
|
%
|
|
|
|
2,217,071
|
|
|
82,776
|
|
14.93
|
%
|
|
|
|
Jumbo Prime securitized residential mortgage loans held for
investment
|
|
710,865
|
|
|
5,282
|
|
2.97
|
%
|
|
|
|
885,965
|
|
|
8,767
|
|
3.96
|
%
|
|
|
|
Seasoned sub-prime securitized residential mortgage loans held for
investment
|
|
1,556,948
|
|
|
27,352
|
|
7.03
|
%
|
|
|
|
-
|
|
|
-
|
|
-
|
|
|
Total
|
|
|
$
|
12,482,712
|
|
$
|
190,351
|
|
6.10
|
%
|
|
|
$
|
5,836,025
|
|
$
|
130,357
|
|
8.93
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities and stockholders' equity:
|
|
|
Interest-bearing liabilities:
|
|
|
|
Agency repurchase agreements (2)
|
$
|
7,181,000
|
|
$
|
23,872
|
|
1.33
|
%
|
|
|
$
|
1,533,733
|
|
$
|
7,039
|
|
1.84
|
%
|
|
|
|
Non-Agency repurchase agreements
|
|
560,836
|
|
|
3,162
|
|
2.26
|
%
|
|
|
|
-
|
|
|
-
|
|
-
|
|
|
|
|
Securitized debt, collateralized by Non-Agency RMBS
|
|
765,028
|
|
|
13,540
|
|
7.08
|
%
|
|
|
|
1,067,709
|
|
|
16,909
|
|
6.33
|
%
|
|
|
|
Securitized debt, collateralized by jumbo prime residential
mortgage loans
|
|
588,699
|
|
|
5,205
|
|
3.54
|
%
|
|
|
|
759,066
|
|
|
6,585
|
|
3.47
|
%
|
|
|
|
Securitized debt, collateralized by seasoned sub-prime residential
mortgage loans
|
|
1,255,689
|
|
|
10,239
|
|
3.26
|
%
|
|
|
|
-
|
|
|
-
|
|
-
|
|
|
Total
|
|
|
$
|
10,351,252
|
|
$
|
56,018
|
|
2.16
|
%
|
|
|
$
|
3,360,508
|
|
$
|
30,533
|
|
3.63
|
%
|
|
|
|
Net economic interest income/net interest rate spread
|
|
|
$
|
134,333
|
|
3.93
|
%
|
|
|
|
|
$
|
99,824
|
|
5.29
|
%
|
|
|
|
Net interest-earning assets/net interest margin
|
|
|
|
$
|
2,131,460
|
|
|
|
4.30
|
%
|
|
|
$
|
2,475,518
|
|
|
|
6.84
|
%
|
|
|
|
Ratio of interest-earning assets to interest bearing liabilities
|
|
1.21
|
|
|
|
|
|
|
|
1.74
|
|
|
|
|
|
(1) Interest-earning assets at amortized cost
|
|
|
|
(2) Interest includes cash paid on swaps
|
|
|
|
|
|
|
|
|
|
|
|
For the Nine Months Ended
|
|
|
|
|
|
|
|
September 30, 2014
|
|
|
September 30, 2014
|
|
|
|
|
|
|
|
(dollars in thousands)
|
|
|
|
|
|
|
|
Average
Balance
|
|
Interest
|
|
Average
Yield/Cost
|
|
Average
Balance
|
|
Interest
|
|
Average
Yield/Cost
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest-earning assets (1):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency RMBS
|
$
|
4,321,091
|
|
$
|
109,322
|
|
3.37
|
%
|
|
|
$
|
1,850,327
|
|
$
|
47,391
|
|
3.41
|
%
|
|
|
|
Non-Agency RMBS
|
|
796,297
|
|
|
61,791
|
|
10.35
|
%
|
|
|
|
646,741
|
|
|
54,093
|
|
11.15
|
%
|
|
|
|
Non-Agency RMBS transferred to consolidated VIEs
|
|
1,921,600
|
|
|
225,417
|
|
15.64
|
%
|
|
|
|
2,309,704
|
|
|
257,107
|
|
14.84
|
%
|
|
|
|
Jumbo Prime securitized residential mortgage loans held for
investment
|
|
742,858
|
|
|
21,446
|
|
3.85
|
%
|
|
|
|
1,044,492
|
|
|
25,100
|
|
3.20
|
%
|
|
|
|
Seasoned sub-prime securitized residential mortgage loans held for
investment
|
|
518,983
|
|
|
27,352
|
|
7.03
|
%
|
|
|
|
-
|
|
|
-
|
|
-
|
|
|
Total
|
|
|
$
|
8,300,829
|
|
$
|
445,328
|
|
10.73
|
%
|
|
|
$
|
5,851,263
|
|
$
|
383,691
|
|
13.11
|
%
|
|
|
|
Liabilities and stockholders' equity:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency repurchase agreements (2)
|
|
|
|
$
|
3,921,089
|
|
$
|
46,036
|
|
1.57
|
%
|
|
|
$
|
1,503,967
|
|
$
|
21,422
|
|
1.90
|
%
|
|
|
|
Non-Agency repurchase agreements
|
|
246,603
|
|
|
3,939
|
|
2.13
|
%
|
|
|
|
-
|
|
|
-
|
|
-
|
|
|
|
|
Securitized debt, collateralized by Non-Agency RMBS
|
|
823,113
|
|
|
39,559
|
|
6.41
|
%
|
|
|
|
1,178,244
|
|
|
54,161
|
|
6.13
|
%
|
|
|
|
Securitized debt, collateralized by jumbo prime residential
mortgage loans
|
|
621,142
|
|
|
17,061
|
|
3.66
|
%
|
|
|
|
911,861
|
|
|
21,311
|
|
3.12
|
%
|
|
|
|
Securitized debt, collateralized by seasoned sub-prime residential
mortgage loans
|
|
418,563
|
|
|
10,239
|
|
3.26
|
%
|
|
|
|
-
|
|
|
-
|
|
-
|
|
|
Total
|
|
|
$
|
6,030,510
|
|
$
|
116,834
|
|
3.87
|
%
|
|
|
$
|
3,594,071
|
|
$
|
96,894
|
|
5.39
|
%
|
|
|
|
Net economic interest income/net interest rate spread
|
|
|
|
$
|
328,494
|
|
6.85
|
%
|
|
|
|
|
$
|
286,797
|
|
7.72
|
%
|
|
|
|
Net interest-earning assets/net interest margin
|
|
$
|
2,270,318
|
|
|
|
7.91
|
%
|
|
|
$
|
2,257,192
|
|
|
|
9.80
|
%
|
|
|
|
Ratio of interest-earning assets to interest bearing liabilities
|
|
1.38
|
|
|
|
|
|
|
|
1.63
|
|
|
|
|
|
(1) Interest-earning assets at amortized cost
|
|
(2) Interest includes cash paid on swaps
|
CONTACT:
Investor Relations
1-866-315-9930
Exhibit 99.2
CONFERENCE NAME GOES HERE
00 Information is unaudited, estimated and subject to change.
WWW.ANNALY.COM WWW.CHIMERAREIT.COM CHIMERA INVESTMENT CORPORATION Q3
2014 Supplemental Financial Information November 10, 2014
CONFERENCE NAME GOES HERE
11 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 similarexpressions, 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. Furthermore, none of the financial information
contained in this material has been audited or approved by the Company’s
independent registered public accounting firm. 1
CONFERENCE NAME GOES HERE
22 Information is unaudited, estimated and subject to change. Equity$2.7
Billion Equity Recourse $1.0 BillionRecourse $6.9 BillionNon- Recourse
$5.1 Billion$0 $1 $2 $3 $4 $5 $6 $7 $8 $9 Billions Equity Recourse
Non-Recourse Portfolio Composition as of September 30, 2014 Residential
Mortgage Credit Portfolio Agency MBS Portfolio Gross Asset Yield: 11.3%
3.4 Financing Cost(2): 4.5% 1.6%Net Interest Spread: 6.8% 1.8% Net
Interest Margin: 8.9% 2.0% (1) Financing excludes unsettled trades.,(2)
Financing cost includes the interest incurred on interest rate swaps.
Total Portfolio: $17.0 Billion Total Capital: $3.6 Billion Total
Leverage 3.8:1 Net Investment Analysis Residential Mortgage Credit
Portfolio Total Assets: $8.9 Billion(1) Agency MBS Portfolio Total
Assets: $8.1Billion(1) 2
CONFERENCE NAME GOES HERE
33 Information is unaudited, estimated and subject to change. September
30, 2014 June 30, 2014 GAAP Asset Allocation: Quarter Over Quarter
Comparison Total Portfolio: $12.4 Billion Total Portfolio: $17.0 Billion
27% 65% 2% 4%2% Consolidated RMBS & Loans Agency RMBS Non-Agency Senior
Non-Agency Subordinate Non-Agency Senior IO 47% 48% 1%3%1% Consolidated
RMBS & Loans Agency RMBS Non-Agency Senior Non-Agency Subordinate
Non-Agency IO 3
CONFERENCE NAME GOES HERE
44 Information is unaudited, estimated and subject to change. 80% 20%
Repurchase Agreements, RMBS Non-Recourse Liabilities of Consolidated
RMBS and Loans (1) Consists of tranches of RMBS and loan securitizations
sold to third parties. September 30, 2014 June 30, 2014 GAAP Financing
Sources: Quarter Over Quarter Comparison Total Financing: $7.0
Billion(2) (1) Total Financing: $12.9 Billion 61% 39% Repurchase
Agreements, RMBS (1) Non-Recourse Liabilities of Consolidated RMBS and
Loans(1) 4
CONFERENCE NAME GOES HERE
55 Information is unaudited, estimated and subject to change. Agency &
Repo Summary Agency Pass-Throughs – As of September 30, 2014 Repo Days
to Maturity - As of September 30, 2014 Agency Pass-Throughs – As of June
30, 2014 Maturity Principal Balance Weighted Average Rate Weighted
Average Days Within 1 day $34,986 0.31% 2 to 30 days 1,374,158 0.34% 31
to 59 days 932,324 0.37% 60 to 89 days 1,822,523 0.44% Over 120 days
1,100,234 0.44% Total $5,264,225 0.37% 83 Repo Days to Maturity - As of
June 30, 2014 ($ in thousands) Coupon Current Face Weighted Average
Price Weighted Average CPR 3.50% $268,494 102.95 5.3 4.00% 6,698,362
105.99 8.3 4.50% 555,247 108.22 10.6 Total $7,522,103 Maturity Principal
Balance Weighted Average Rate Weighted Average Days Within 30 days
$3,206,708 0.37% 30 to 59 days 1,591,671 0.36% 60 to 89 days 957,222
0.40% 90 to 119 days 519,408 0.44% Over 120 days 594,612 0.46% Total
$6,869,621 0.38% 52 Coupon Current Face Weighted Average Price Weighted
Average CPR 3.50% $261,969 102.19 7.7 4.00% 6,710,578 105.21 7.6 4.50%
532,983 107.78 11.9 Total $7,505,530 5
CONFERENCE NAME GOES HERE
66 Information is unaudited, estimated and subject to change. Interest
Rate Sensitivity as of September 30, 2014 Agency, Swap and Derivative
Portfolio Description ($ in thousands) + 100 Basis Points + 50 Basis
Points Unchanged -50 Basis Points -100 Basis Points Agency Pass-Through
Market Value $7,594,295 $7,826,817 $8,033,680 $8,191,568 $8,298,728 MTM
Gain (Loss) (439,384) (206,863) 0 157,889 265,048 Percentage Change
(5.5%) (2.6%) - 2.0% 3.3% Swap Market Value 155,855 61,293 (39,089)
(138,578) (234,807) MTM Gain (Loss) 194,944 100,382 0 (99,489) (195,718)
Percentage Change 2.4% 1.2% - (1.2%) (2.4%) Futures Market Value 89,695
49,506 7,800 (30,074) (66,576) MTM Gain (Loss) 81,896 41,706 0 (37,873)
(74,376) Percentage Change 1.0% 0.5% - (0.5%) (0.9%) Net Gain/(Loss)
($162,545) ($64,775) $0 $20,526 ($5,045) Percentage Change in Portfolio
Value(1) (2.0%) (0.8%) - 0.3% (0.1%) (1) Projected Percentage Change in
Portfolio Value is based on instantaneous moves in interest rates. 27%
43% 30% Hedge Book Maturities Short Term 0-5 years Medium Term 5-10
years Long Term 10-30 years 6
CONFERENCE NAME GOES HERE
77 Information is unaudited, estimated and subject to change.
Consolidated RMBS & Loan Securitizations ($ in thousands) Issuance /
Acquisition As of September 30, 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
2014 Whole Loan Securitization CSMC 2014-TBA (1) 339,610 - 339,610
339,610 - 339,610 2011-2013 Whole Loan Securitization SLFMT 2012-1A
365,112 269,157 95,955 355,950 257,950 98,000 2011-2013 Whole Loan
Securitization SLFMT 2012-2A 792,347 615,210 177,137 777,474 596,632
180,841 2011-2013 Whole Loan Securitization SLFMT 2012-3A 876,160
673,660 202,500 861,347 653,342 208,005 2011-2013 Whole Loan
Securitization SLFMT 2013-1A 903,620 862,851 40,769 887,804 843,539
44,265 2011-2013 Whole Loan Securitization SLFMT 2013-2A 1,060,813
1,034,495 26,317 1,047,476 1,018,659 28,818 2011-2013 Whole Loan
Securitization SLFMT 2013-3A 483,410 477,486 5,924 478,499 472,299 6,200
2014 RMBS Securitization CSMC - 2014-4R(2) 336,408 0 336,408 319,618 0
319,618 2012 Whole Loan Securitization CSMC - 2012-CIM1 741,939 707,810
34,129 201,150 168,809 32,340 2012 Whole Loan Securitization CSMC -
2012-CIM2 425,091 404,261 20,830 142,203 122,177 20,027 2012 Whole Loan
Securitization CSMC - 2012-CIM3 329,886 305,804 24,082 231,182 209,236
21,946 2010 RMBS Securitization CSMC - 2010-1R 1,730,581 691,630
1,038,951 856,364 88,346 768,018 2010 RMBS Securitization CSMC -
2010-11R 566,571 332,299 234,272 356,809 136,555 220,253 2009 RMBS
Securitization CSMC - 2009-12R 1,730,698 915,566 815,132 784,364 209,158
575,206 2009 RMBS Securitization JPMRR - 2009-7 1,522,474 856,935
665,539 707,257 272,510 434,747 2009 RMBS Securitization JMAC - 2009-R2
281,863 192,500 89,363 126,681 62,090 64,591 2008 Whole Loan
Securitization PHH - 2008-CIM1 619,710 549,142 70,568 99,260 80,866
18,394 TOTAL $13,106,293 $8,888,807 $4,217,486 $8,573,047 $5,192,168
$3,380,879 % of origination remaining 65% 58% 80% (1) Collateral for
this deal was originally part of Springleaf 2011-1A, Tranches Sold and
Tranches Retained will be finalized during the 4th quarter of 2014. (2)
Collateral for this deal was originally part of CSMC 2010-12R. 7