8-K

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 25, 2019

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

Maryland	1-33796	26-0630461
(State or Other Jurisdiction	(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))

Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (§230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§240.12b-2 of this chapter).        

Emerging growth company    ¨

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.    ¨

Item 7.01. Regulation FD Disclosure

Chimera Investment Corporation (the “Company”) hereby furnishes the information set forth in the presentation (the “Presentation”) attached hereto as Exhibit 99.1, which is incorporated herein by reference.

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	Fourth Quarter 2018 Presentation

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 25, 2019

EX-99.1

INVESTOR PRESENTATION NYSE: CIM 4th Quarter 2018

This presentation 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 DISCLAIMER projections 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 most recent Annual Report on Form 10-K , 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.

CHIMERA IS A HYBRID MORTGAGE REIT Chimera develops and manages a portfolio of leveraged residential mortgage investments to produce an attractive quarterly dividend for shareholders ▪ Established in 2007 ▪ Internally managed since August 2015 ▪ Total Capital $3.7 Billion ▪ Total Portfolio $27.2 Billion ▪ Common Stock Price $17.82 / Dividend Yield 11.22% ▪ Total preferred stock $930 Million* ▪ Overall leverage ratio 6.1:1 / Recourse leverage ratio 3.8:1 All data as of December 31, 2018 *including January 2019 issuance Information is unaudited, estimated and subject to change. 2

TOTAL RETURN Chimera has outperformed mortgage REITs and the S&P 500 since internalization of management Cumulative Total Return* 110% 100% 95% 90% 80% 70% 60% 50% 40% 32% 30% 28% 20% 10% 0% -10% -20% -30% 15 15 15 16 16 16 16 16 17 17 17 17 17 17 18 18 18 18 18 20 20 20 20 20 20 20 20 20 20 20 20 20 20 20 20 20 20 20 5/ 9/ 5/ 3/ 8/ 5/ 8/ 1/ 0/ 8/ 2/ 8/ 2/ 8/ 6/ 2/ 9/ 2/ 5/ 8/ 0/ /1 /2 /2 7/ 9/ /1 /2 /2 6/ 8/ /1 /1 /2 5/ 7/ /1 /1 1 12 2 4 11 1 3 10 12 2 9 11 12/31/2018 CIM REM* SPY* All data as of December 31, 2018 Source: Bloomberg *Assuming reinvestment of dividends SPY: The SPDR® S&P 500® ETF Trust seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of the S&P 500® Index . REM: The iShares Mortgage Real Estate ETF seeks to track the investment results of an index composed of U.S. REITs that hold U.S. residential and commercial mortgages. Information is unaudited, estimated and subject to change. 3

DIVIDENDS Chimera has paid $4.4 billion in dividends since inception 700 5,000 600 4,000 500 3,000 ) ) s 400 s n n o o i i l l l l i i M M ( ( $ 300 $ 2,000 200 1,000 100 0 0 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 Period Ending Common Dividends Preferred Dividends Special Dividends Cumulative Dividends Paid All data as of December 31, 2018 Information is unaudited, estimated and subject to change. 4

DYNAMIC INVESTMENT STRATEGY Chimera focuses on acquiring Residential Mortgage Loans, Non-Agency RMBS, Agency RMBS and Agency CMBS Chimera acquires residential mortgage loans. Chimera utilizes leverage through a combination of Residential securitization, repo and warehouse facilities to manage risk and increase returns on the portfolio. Mortgage Loans Chimera's loan portfolio has historically generated higher returns with less price volatility and interest rate risk than comparable Agency RMBS. Non-Agency Chimera invests in both investment grade and non-investment grade RMBS. This portfolio provides high risk-adjusted returns while providing increased liquidity. Non-Agency RMBS securities carry RMBS higher yields than Agency RMBS. Agency mortgage-backed securities that are backed by residential loans provide spread income for the Agency portfolio with the added benefit of liquidity. Chimera utilizes repo and various hedging techniques to RMBS increase returns on the portfolio while managing interest rate risk. Agency mortgage backed securities are amongst the most liquid securities available in the fixed income market. Agency Agency CMBS provide many of the same benefits as Agency RMBS while adding convexity to the portfolio. Agency CMBS typically carry prepay protection for the investor enabling more efficient CMBS hedging techniques than Agency RMBS. Information is unaudited, estimated and subject to change. 5

PORTFOLIO COMPOSITION 76% of Chimera's equity capital is allocated to mortgage credit Net Investment Analysis(1) Residential Mortgage Credit Portfolio 17 Total Assets: 15.1 billion(1) 16 Residential Agency 15 Mortgage Credit Total Portfolio Portfolio Portfolio 14 13 Agency Portfolio Non-Recourse 12 Total Assets: 12.2 billion(1) (Securitization) Gross Asset Yield: 7.2% 3.6% 5.7% 11 $8.6 10 s n 9 o i l (2) l i 8 Financing Cost : 4.3% 2.6% 3.6% B 7 Recourse (Repo) 6 $10.2 Recourse (Repo) 5 Net Interest $3.8 Spread: 2.9% 1.0% 2.1% 4 3 2 Equity Net Interest $2.8 Margin: 3.4% 1.3% 2.5% 1 Equity $0.9 0 All data as of December 31, 2018 All data as of December 31, 2018 (1) Reflects fourth quarter 2018 average assets, yields, and spreads (1) Financing excludes unsettled trades (2) Includes the interest incurred on interest rate swaps Information is unaudited, estimated and subject to change. 6

LOAN PORTFOLIO COMPOSITION Chimera has acquired a unique portfolio of residential mortgage loans comprising 46% of the total portfolio Portfolio Fair Value Seasoned Low Loan Balance Mortgage Portfolio 34% Total Current Unpaid Balance $12.2 Billion 46% Total Number of Loans 139,992 Weighted Average Loan Size $87,224 11% Weighted Average Coupon 6.87% 4% 5% Average Loan Age 156 Months All data as of December 31, 2018 Securitized Loan Portfolio Non-Agency RMBS Consolidated RMBS Securitizations Agency CMBS Agency RMBS Information is unaudited, estimated and subject to change. 7

THE SECURITIZATION PROCESS Chimera has created term-funding through securitization Creation of senior and subordinate bonds $70mm Senior A Note Principal Sold to 3rd Party & Interest $100mm Deposit $100mm Trust Non-Agency Mortgage (Non-Agency RMBS Bond or Loans Collateral) Losses & Interest $30mm Subordinate B Note Retained by CIM 1 2 3 CIM buys $100mm Non- CIM deposits the bond or loans into a • CIM sells the Senior A note Agency mortgage bond or trust ◦ The A note receives P&I from the $100mm bond loans from dealer until the $70mm is paid off The trust issues bonds backed by the cashflow of the underlying bond • CIM retains the Subordinate B note or loans ◦ 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 Information is unaudited, estimated and subject to change. 8

SECURITIZATION HISTORY Chimera utilizes the securitization process to create its own differentiated portfolio ▪ Chimera continues to benefit from exercising the option Securitization History to call, restructure and optimize it's securitizations ▪ Chimera has completed 52 deals and securitized $30.4 billion of residential mortgage assets since inception ($ in thousands) Deal Total Senior/Sub 6,000 Total Original Subordinate Vintage Type Face Senior Bond Bond ) 2008 Loan 770,865 670,949 99,916 s 4,000 n o i l l 2009 RMBS 3,535,036 1,965,001 1,570,035 i m ( 2010 RMBS 5,638,374 2,267,183 3,371,191 $ 2011 RMBS 264,388 177,139 87,249 2012 Loan 1,496,917 1,131,791 365,126 2,000 Loan & 2014 RMBS 816,126 522,220 293,906 2015 Loan 2,048,483 1,385,162 663,321 2016 Loan 5,861,317 4,148,904 1,712,413 0 2017 Loan 6,943,112 4,880,569 2,062,543 2008 2009 2010 2011 2012 2014 2015 2016 2017 2018 2018 Loan 3,021,614 2,075,242 946,372 Total 30,396,232 19,224,160 11,172,072 Subordinate Bond Senior Bond Note: Springleaf deals are included in years that each was called and securitized All data as of December 31, 2018 Information is unaudited, estimated and subject to change. 9

AGENCY PORTFOLIO Liquidity in Agency Securities enables Chimera to vary it's investments based upon relative value and residential mortgage credit opportunities available in the market 14 12 2.9 10 ) 2.5 s 8 n o i l l i b ( $ 6 0.9 1.0 1.1 2.3 9.2 4 8.3 1.3 1.3 6.9 1.3 1.4 1.8 1.9 2.1 6.8 6.0 1.4 5.3 5.3 5.4 4.6 2 3.0 2.9 2.7 2.6 2.5 2.4 2.3 2.3 0 4Q14 1Q15 2Q15 3Q15 4Q15 1Q16 2Q16 3Q16 4Q16 1Q17 2Q17 3Q17 4Q17 1Q18 2Q18 3Q18 4Q18 Period Ending Agency Passthrough Agency Commercial All data as of December 31, 2018 *excludes Agency IO Information is unaudited, estimated and subject to change. 10

CAPITAL MANAGEMENT Chimera continues to add shareholder value while diversifying its capital structure ▪ Board of Directors expects to declare $2.00 dividends per common share in 2019 ▪ Chimera issued $200 million of Series D preferred stock in January 2019 ▪ Chimera has raised $930 million in preferred stock, representing 25% of total capital ▪ All preferred shared trade on the New York Stock Exchange under symbols CIM PRA, CIM PRB, CIM PRC and CIM PRD ▪ Board of Directors authorization for $85 million share repurchase Preferred Stock 5,800,000 Shares 13,000,000 Shares 8.00% Fixed Series A 8.00% Variable Series B Cumulative Redeemable Preferred Stock Cumulative Redeemable Preferred Stock Issued October 2016 Issued February 2017 10,400,000 Shares 8,000,000 Shares 7.75% Variable Series C 8.00% Variable Series D Cumulative Redeemable Preferred Stock Cumulative Redeemable Preferred Stock Issued September 2018 Issued January 2019 All data as of December 31, 2018 *including January 2019 issuance Information is unaudited, estimated and subject to change. 11

SUMMARY Chimera has assembled a unique portfolio of mortgage assets with a goal to provide high and durable income to shareholders Dynamic Investment Chimera has developed a diversified portfolio of mortgage backed securities to maximize risk-adjusted returns. Chimera's total return has outperformed the Mortgage REIT Index Strategy and the S&P 500 since internalization of management in 2015. Chimera has created a high yield mortgage portfolio through securitization activity. Unique Mortgage Chimera’s seasoned mortgage portfolio has a weighted average coupon of 6.9% with a Credit Portfolio weighted average loan size of ninety thousand dollars. Positive Macro-Economic Macro-economic conditions for U.S. employment and housing are positive for the credit Environment of Chimera’s mortgage portfolio. All data as of December 31, 2018 Information is unaudited, estimated and subject to change. 12

Appendix Information is unaudited, estimated and subject to change.

2018 SECURITIZATION ACTIVITY Chimera closed nine securitizations totaling $3.0 billion of loans in 2018 Loan Securitizations CIM 2018-R1 CIM 2018-R2 CIM 2018-R3 CIM 2018-J1 CIM 2018-R4 $169,032,000 $380,292,000 $181,073,000 $380,009,000 $387,222,000 March 2018 March 2018 April 2018 April 2018 June 2018 CIM 2018-R5 CIM 2018-INV1 CIM 2018-R6 CIM 2018-NR1 $380,194,000 $407,992,000 $478,251,000 $257,548,000 July 2018 September 2018 October 2018 November 2018 ▪ Chimera added to the portfolio while optimizing our existing securitized loan liabilities ▪ CIM 2018-J1 was Chimera’s 1st Prime Jumbo securitization since 2012 ▪ CIM 2018-INV1 was Chimera's first securitization of investor base residential mortgage loans All data as of December 31, 2018 Information is unaudited, estimated and subject to change. 14

AGENCY MBS PORTFOLIO AND FUNDING The majority of Chimera's Agency Portfolio consists of highly liquid pass-through securities Agency Securities – As of December 31, 2018 Repo Days to Maturity – As of December 31, 2018 Weighted Security (1) Current Weighted Coupon Average Maturity Principal Weighted Weighted Type Face Market Price Average CPR Balance Average Rate Average Days 3.50% $761,364 100.4 4.6 Within 30 days $5,327,490 2.49% Agency 4.00% 7,467,725 102.1 4.6 30 to 59 days 3,811,792 2.60% Pass- through 4.50% 425,405 103.9 5.0 60 to 89 days 1,053,990 2.68% 5.0% 329,756 104.8 1.4 Total $10,193,272 2.55% 30 Days Commercial 3.6% 2,895,680 99.5 — Agency IO 0.8% N/M(2) 4.4 2.1 All data as of December 31, 2018 Total $11,879,930 (1) Coupon is a weighted average for Commercial and Agency IO     (2) Notional Agency IO was $3.0 billion as of December 31, 2018 Information is unaudited, estimated and subject to change. 15

INTEREST RATE SENSITIVITY Chimera added to its Agency and hedge portfolios during the 4th quarter of 2018 Description - 100 Basis - 50 Basis +50 Basis +100 Basis ($ in thousands) Points Points Unchanged Points Points Hedge Book Maturities Market Value $12,652,784 $12,448,492 $ 12,188,950 $11,876,524 $11,525,690 Agency Securities Percentage Change 3.8 % 2.1 % - (2.6)% (5.4)% 15% 19% Market Value (571,586) (279,281) - 266,862 521,825 Swap Percentage Change (4.7)% (2.3)% - 2.2 % 4.3 % 10% Market Value (33,513) (16,533) - 16,127 31,871 Futures Percentage Change (0.3)% (0.1)% - 0.1 % 0.3 % Net Gain/(Loss) $ (141,265) $ (36,272) - $ (29,437) $ (109,564) 56% Percentage Change (1) )% )% )% )% in Portfolio Value (1.2 (0.3 - (0.2 (0.9 Near Term 0-3 Total Notional Balance - Derivative Instruments Short Term 3-5 December 31, 2018 September 30, 2018 Medium Term 5-10 Agency Interest Rate Swaps 8,131,700 6,432,650 Swaptions 53,000 53,000 Long Term 10-30 Futures 619,700 619,700 (1) Based on instantaneous moves in interest rates. All data as of December 31, 2018 Information is unaudited, estimated and subject to change. 16

Information is unaudited, estimated and subject to change. chimerareit.com