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):
September
14, 2015
CHIMERA
INVESTMENT CORPORATION
(Exact
name of registrant as specified in its charter)
Maryland |
1-33796 |
26-0630461 |
(State or Other Jurisdiction of Incorporation) |
(Commission File Number) |
(IRS Employer Identification No.) |
520 Madison Avenue, 32nd Fl |
10022 |
(Address of principal executive offices) |
(Zip Code) |
Registrant’s telephone number, including area code: (212) 205-6300
1211 Avenue of the Americas, 41st Fl, New York, New York 10036
(Former
Name or Former Address, if Changed Since Last Report)
Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:
⃞ Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
⃞ Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
⃞ Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
⃞ Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
Item 7.01. Regulation FD Disclosure
On September 14, 2015, Chimera Investment Corporation (the “Company”) issued a press release announcing its dividend declaration for the third quarter of 2015 and continuation of its dividend program through the fourth quarter of 2015.
On September 17, 2015, the Company will make a presentation at the Barclays 2015 Global Financial Services Conference in New York, NY. The presentation slides to be used (the “Presentation”) are being furnished as Exhibit 99.1 hereto and are incorporated herein by reference. A copy of the Presentation is also available on the Investor Relations portion of the Company’s website at www.chimerareit.com.
The Presentation is being furnished pursuant to Item 7.01, and the information contained therein shall not be deemed "filed" for the purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the "Exchange Act"), or otherwise subject to the liabilities of that section, nor shall it be deemed incorporated by reference in any filing under the Securities Act of 1933, as amended, or the Exchange Act, except as shall be expressly set forth by specific reference in such filing.
The Presentation contains statements that, to the extent they are not recitations of historical fact, constitute “forward-looking statements” within the meaning of the Private Securities Litigation Reform Act of 1995 (the “Reform Act”). All such forward-looking statements are intended to be subject to the safe harbor protection provided by the Reform Act. Actual outcomes and results could differ materially from those forecast due to the impact of many factors beyond the control of the Company. All forward looking statements included in the Presentation are made only as of the date of the Presentation and are subject to change without notice. Certain factors that could cause actual results to differ materially from those contained in the forward-looking statements are included in the Company's periodic reports filed with the SEC. Copies are available on the SEC’s website at www.sec.gov. The Company disclaims any obligation to update its forward looking statements unless required by law.
Item 9.01 Financial Statements and Exhibits
(d) |
Exhibits |
|
99.1 |
Press Release issued by the Company dated September 14, 2015. |
|
99.2 |
Presentation by the Company dated September 2015. |
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: |
September 14, 2015 |
Exhibit 99.1
Chimera Investment Corporation Announces Third Quarter 2015 Dividend of $0.48 per Share
NEW YORK--(BUSINESS WIRE)--September 14, 2015--The Board of Directors of Chimera today announced the declaration of its third quarter 2015 cash dividend of $0.48 per common share. This dividend is payable October 30, 2015, to common stockholders of record on September 30, 2015. The ex-dividend date is September 28, 2015.
The Board of Directors also announced that it expects to maintain a minimum quarterly dividend of $0.48 for the fourth quarter of 2015.
The Company distributes dividends based on its current estimate of taxable earnings per common share, not GAAP earnings. Taxable and GAAP earnings will typically differ due to items such as differences in premium amortization, accretion of discounts, unrealized and realized gains and losses, and credit loss recognition. Portions of the dividend may be ordinary income, capital gains or a return of capital.
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”).
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.
CONTACT:
Chimera Investment Corporation
Investor Relations,
866-315-9930
www.chimerareit.com
Exhibit 99.2
WWW.CHIMERAREIT.COM Investor Presentations | Second Quarter 2015 September 2015
CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 1 This material is not intended to be exhaustive, is preliminary in nature and may be subject to change. In addition, much of the information contained herein is based on various assumptions (some of which are beyond the control of Chimera Investment Corporation, the “Company”) and may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as “believe,” “expect,” “anticipate,” “estimate,” “plan,” “continue,” “intend,” “should,” “may,” “would,” “projected,” “will” or similar expressions, or variations on those terms or the negative of those terms. The Company’s forward-looking statements are subject to numerous risks, uncertainties and other factors. Furthermore, none of the financial information contained in this material has been audited or approved by the Company’s independent registered public accounting firm. Disclaimer
CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 2 Chimera Investment Corporation (NYSE: CIM) (1)Hybrid mREIT Peers include TWO, MITT, IVR, MFA, and RWT as of 6/30/2015 (2)Banks include WFC, JPM, BAML, C, GS, MS, BONY, USB, PNC and SYF (3)Yields as of 8/31/15. Source: Bloomberg We develop and manage a portfolio of leveraged mortgages in order to produce an attractive quarterly dividend for shareholders Business Description: Hybrid Mortgage REIT Inception: 2007 Total Capital: $3.4 billion Total Portfolio: $15.4 billion Overall Leverage Ratio: 3.4:1 (2.1:1 recourse leverage) Common Stock Yield 13.7% 3.4 3.9 7.5 0 1 2 3 4 5 6 7 8 Chimera Current Leverage Average Leverage of Hybrid mREIT Peers Average Bank Leverage Current Leverage Levels 2.2% 7.7% 11.5% 13.7% 0% 2% 4% 6% 8% 10% 12% 14% 16% 10 YR UST US HY Hybrid Peer Avg Chimera Common Stock Current Market Yields (3) (1) (2)
CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 3 Total Portfolio Composition As of June 30 2015 (1) Financing excludes unsettled trades 82.5% of CIM’s equity capital is allocated to mortgage credit Equity $2.8Billion Equity $0.6 Billion Recourse $1.5 Billion Recourse $5.3 Billion Non-Recourse $4.9 Billion $0 $1 $2 $3 $4 $5 $6 $7 $8 $9 $10 Billions Equity Recourse Non-Recourse Agency MBS Portfolio Total Assets: $6.3 Billion(1) Residential Mortgage Credit Portfolio Total Assets: $9.1 Billion(1)
CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 4 Agency MBS Portfolio and Funding As of June 30, 2015. (1) Financing cost includes the interest incurred on interest rate swaps. (2) Repo balances are not adjusted for unsettled trades Reducing Interest Rate Risk by Reducing Exposure to Agency RMBS, CIM sold out of $2.5bn of Agency securities in the first half of 2015 Agency Pass-Throughs Agency Repo Days to Maturity Agency Portfolio Yields and Spreads Gross Asset Yield: 3.2% Financing Cost(1): 1.2% Net Interest Spread: 2.0% Net Interest Margin: 1.8% Coupon Current Face Weighted Average Price Weighted Average CPR 3.50% $1,928,081 102.8 7.9 4.00% 2,720,829 105.6 21.5 4.50% 437,109 108.2 20.6 Total $5,086,019 Maturity Principal Balance(1) Weighted Average Rate Weighted Average Days Within 30 days $1,329,902 0.44% 30 to 59 days 1,572,481 0.40% 60 to 89 days 975,458 0.47% 90 to 360 days 1,112,391 0.48% Over 360 days 300,000 1.00% Total $5,290,232 0.48% 87
CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 5 Interest Rate Sensitivity As of June 30, 2015. (1) Projected Percentage Change in Portfolio Value is based on instantaneous moves in interest rates. Agency, Swap and Derivative Portfolio Description ($ in thousands) + 100 Basis Points + 50 Basis Points Unchanged -50 Basis Points -100 Basis Points Agency Pass-Through Market Value $5,047,516 $5,195,713 $5,334,566 $5,441,721 $5,520,867 Percentage Change (5.4%) (2.6%) - 2.0% 3.5% Swap Market Value 143,868 73,469 (32,199) (72,950) (136,054) Percentage Change 3.3% 2.0% - (0.8%) (1.9%) Futures Market Value 46,144 24,104 1,641 (21,409) (45,065) Percentage Change 0.8% 0.4% - (0.4%) (0.9%) Net Gain/(Loss) ($66,480) ($10,722) $0 $43,353 $35,739 Percentage Change in Portfolio Value(1) (1.2%) (0.2%) - 0.8% 0.7% 56% 21% 16% 7% Hedge Book Maturities Near Term 0-3 Short Term 3-5 Medium Term 5-10 Long Term 10-30
CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 6 Residential Mortgage Credit Portfolio Credit Portfolio Composition As of June 30, 2015 Non-Agency RMBS 43% Securitized Loan Portfolio 57% Gross Asset Yield: 8.8% Financing Cost: 3.6% Net Interest Spread: 5.3% Net Interest Margin: 12.0% Credit Portfolio Yields and Spreads
CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 7 Non-Agency RMBS Portfolio 61% of CIM’s Non-Agency Portfolio is Re-REMIC Bonds The Re-Securitization Process $30mm Subordinate B Note Retained by CIM $100mm Non-Agency Mortgage Bond $100mm Trust (Non-Agency RMBS Collateral) $70mm Senior A Note Sold to 3rd party Deposit CIM buys $100mm Non-Agency mortgage bond from dealer CIM deposits the bond into a trust The trust issues bonds backed by the cashflow of the underlying bond CIM sells the Senior A note The A note receives P&I from the $100mm bond until the $70mm is paid off CIM retains the Subordinate B note The B note receives interest, all losses from the $100mm bond and starts to receive principal only after the Senior A note is paid off in full 1 2 3
CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 8 Re-Remic subordinates have had slow prepayments considering the low interest rate environment ($ in thousands) At Issuance / Acquisition As of June 30, 2015 Vintage Type Deal 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 RMBS Securitization(1) CSMC - 2014-4R 367,271 - 367,271 317,396 - 317,396 2010 RMBS Securitization CSMC - 2010-1R 1,730,581 691,630 1,038,951 779,440 57,710 721,730 2010 RMBS Securitization CSMC - 2010-11R 566,571 332,299 234,272 338,379 121,922 216,457 2009 RMBS Securitization CSMC - 2009-12R 1,730,698 915,566 815,132 727,953 175,967 551,986 2009 RMBS Securitization JPMRR - 2009-7 1,522,474 856,935 665,539 647,750 235,489 412,261 2009 RMBS Securitization JMAC - 2009-R2 281,863 192,500 89,363 115,747 54,123 61,624 TOTAL $6,199,458 $2,988,930 $3,210,528 $2,926,665 $645,211 $2,281,454 % of origination remaining 47% 22% 71% Consolidated RMBS As of June 30, 2015 (1) Collateral for this deal was originally part of CSMC 2010-12R The average yield on consolidated retained subordinates is 17.9%
CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 9 CIM has called 2011-1A and 2012-1A and has refinanced these two deals creating CSMC 2014-CIM1 and CIM 2015-2AG. CIM has $3.7 billion of remaining seasoned loans to refinance over the next two years as follows: Loan Securitization Pipeline As of June 30, 2015 In Q3 2014, CIM purchased the Springleaf portfolio which had call rights to $4.8 billion of seasoned loans Security Name Call Date Current Financing Current Face of Tranches Sold Total Remaining Face Advance Rate LTV Loan Age 60+ Day Delinquencies ($ in millions) Callable in 2015 SLFMT 2012-2A Jul-15 3.99% $507,935 $705,252 72% 69% 115 11% SLFMT 2012-3A Oct-15 3.33% $554,830 $784,403 71% 70% 114 10% TOTAL $1,062,765 $1,489,655 Callable in 2016 SLFMT 2013-1A Mar-16 3.57% $752,057 $809,725 93% 70% 112 12% SLFMT 2013-2A Jun-16 4.08% $945,331 $981,203 96% 72% 109 15% SLFMT 2013-3A Oct-16 3.88% $449,156 $456,956 98% 72% 106 17% TOTAL $2,146,544 $2,247,884
CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 10 Springleaf securitizations are callable on the 3 year anniversary of issuance The underlying loans are consolidated on CIM’s Balance Sheet, there is no profit or loss on the call and re-levering The securitization market has been strong, allowing CIM to obtain higher advance rates & lower intrinsic costs on the first two refinances Refinancing Springleaf Attractive term financing via securitization provides the company with a high return Financing costs reduced from 4.63% to 3.49% Optimized structure by reducing equity from $103 Million to $53 Million Liquidity increased by $50 Million to invest in other opportunities SLFMT 2012-1A Called April 2015 Loan Balance at Call $330,292,585 Liabilities Outstanding $227,019,633 Equity $103,272,952 Net WAC 7.18% Financing (4.63%) Net Spread Capture by Trust Owner 2.55% Structural Leverage 2.2 Advance Rate 69% CIM 2015-2AG Issue Date 4/1/2015 Beginning Loan Balance $330,292,585 Liabilities Outstanding $276,998,000 Equity $53,294,585 Net WAC 7.18% Financing (3.49%) Net Spread Capture by Trust Owner 3.69% Structural Leverage 5.2 Advance Rate 84% Source: Bloomberg
CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 11 Home Prices Have Been Appreciating Older Non-Agency MBS Credit Has Been Improving Delinquency pipelines decreasing Foreclosures getting flushed out of deals Lower loss severities Deals are delevering New Mortgage Credit Remains Tight Banks/rating agencies are risk averse Only best borrowers get mortgages Full documentation Prepayment Speeds on Older Non-Agency MBS Remain Slow Subprime, Alt-A borrowers have limited options to refinance Mortgage Credit Fundamentals Source: Bloomberg, Mortgage Bankers Association CIM’s mortgage credit portfolio is performing better than expected at purchase and is prepaying slower than expected in the current rate environment 130 140 150 160 170 180 1/10 5/11 9/12 2/14 6/15 Case-Shiller HPI 0% 5% 10% 15% 6/10 6/11 6/12 6/13 6/14 6/15 Delinquincies as a % of Total Loans Foreclosures as a % of Total Loans
CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 12 Summary Chimera currently operates at low leverage and produces a high yield Highly liquid 30YR current coupon portfolio Actively hedged to manage interest rate risk Agency exposure decreased by $2.5 billion in 1st Half of 2015 Agency Portfolio High Yielding Prepayment Protected Difficult to re-create in today’s market Longer Term Repo Finance Options Available $4.8 billion Springleaf portfolio Opportunity to refinance deals over the next two years Securitization pipeline without adding costly infrastructure Residential Mortgage Credit Portfolio Future Securitization Pipeline
CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 12 Summary Chimera currently operates at low leverage and produces a high yield Highly liquid 30YR current coupon portfolio Actively hedged to manage interest rate risk Agency exposure decreased by $2.5 billion in 1st Half of 2015 Agency Portfolio High Yielding Prepayment Protected Difficult to re-create in today’s market Longer Term Repo Finance Options Available $4.8 billion Springleaf portfolio Opportunity to refinance deals over the next two years Securitization pipeline without adding costly infrastructure Residential Mortgage Credit Portfolio Future Securitization Pipeline
WWW.CHIMERAREIT.COM