Chimera Investment Corporation (CIM) Q3 2011 Earnings Call November 21, 2011 10:00 a.m. ET Executives Matthew Lambiase - President and Chief Executive Officer Christian Woschenko - Head, Investments Alexandra Denahan - Chief Financial Officer William Dyer - Head of Underwriting Jay Diamond - Managing Director, FIDAC, Member of Chimera’s Board of Directors Choudhary Yarlagadda - Head of Structuring at FIDAC Analysts Bose George - Keefe, Bruyette & Woods Jason Weaver - Sterne Agee Steven DeLaney - JMP Securities Daniel Furtado - Jefferies Arren Cyganovich - Evercore Partners Presentation Operator
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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 most recent annual report on Form 10-K and all subsequent quarterly reports on Form 10-Q. We do not undertake and specifically disclaim any obligation 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.Operator I will now turn the conference over to Mr. Matthew Lambiase, President and Chief Executive Officer. Please proceed, sir. Matthew Lambiase Thank you, Andrew. Good morning and welcome to the third quarter 2011 Chimera Investment Corporation earnings call. This is Matt Lambiase, President and CEO, and joining me on the call this morning I have Alex Denahan, our CFO; Chris Woschenko, the Head of Investments; Bill Dyer, our Head of Underwriting; Choudhary Yarlagadda, the Head of Structuring at FIDAC; and Jay Diamond, the Managing Director at FIDAC and a member of Chimera’s Board of Directors. We are here to answer questions after the prepared comments. On November 18, the company filed its third quarter 2011 10-Q. We made the filing later than usual because in conjunction with the review by our independent auditors we determined that ASC 325 should be applied to determine the GAAP treatment of other than temporary impairments or OTTI related to our securities rated less then AA, as well as non-rated non-agency RMBS and other subordinated RMBS that are not of high credit quality. And that, that analysis had not been completed. The analysis is now complete and after my comments Alex will give a detailed explanation of ASC 325, as well as a discussion on how the OTTI changes will be reflected in our GAAP reporting going forward. However, I think it’s important for investors to understand that this analysis is a non-cash change in our GAAP accounting results. This does not affect our previously announced book value or taxable income in any period. Chimera pays its dividends based upon its taxable income not GAAP income. So the results of the change of evaluation to ASC 325 will have no impact on the company's prior or future dividend distribution.
Now this morning there are two items influencing our operating environment that I would like to discuss. First, as you know the financial markets continue to be turbulent and the recent news of sovereign debt deals in Europe’s welcome but probably not sufficient to calm the markets of the doubts of capital adequacy of its European banks. European banks may be forced to raise large amounts of capital and require to sell assets in the near future. In our opinion it’s most likely that they will see non-core, non-European assets like U.S. dollar denominated mortgage backed securities, CMBS or corporate bonds. When this happens, there may be a significant opportunity for those companies that have the ability like Chimera and the liquidity to take advantage of the selling.Read the rest of this transcript for free on seekingalpha.com