Form 8-K CHIMERA INVESTMENT CORP For: Aug 03

August 3, 2016 4:15 PM

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):

August 3, 2016

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))

Item 2.02. Results of Operations and Financial Condition

On August 3, 2016, the registrant issued a press release announcing its financial results for the quarter ended June 30, 2016 and declaring third quarter dividend of $0.48 per share. A copy of the press release is furnished as Exhibit 99.1 to this report.

On August 3, 2016, 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 9.01 Financial Statements and Exhibits

(d) Exhibits


99.1	Press Release, dated August 3, 2016, issued by Chimera Investment Corporation


99.2	Supplemental Financial Information for the quarter and year ended June 30, 2016.

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 17, 2016

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 2nd QUARTER 2016 EARNINGS


•	GAAP EARNINGS OF $0.39 PER SHARE


•	CORE EARNINGS⁽¹⁾ OF $0.51 PER SHARE, NET OF $0.07 PER SHARE SECURITIZATION DEAL EXPENSES


•	GAAP BOOK VALUE OF $15.78 PER SHARE AND ECONOMIC BOOK VALUE⁽¹⁾ OF $14.65 PER SHARE


•	SPONSORED THREE RESIDENTIAL MORTGAGE LOAN SECURITIZATIONS TOTALING $5 BILLION AND RETAINED $769 MILLION OF SUBORDINATE SECURITIES


•	REDUCED $2.2 BILLION OF AGENCY MBS HOLDINGS


•	BOARD DECLARES THIRD QUARTER 2016 DIVIDEND OF $0.48 PER SHARE; EXPECTS TO MAINTAIN A $0.48 DIVIDEND FOR THE FOURTH QUARTER OF 2016

“We have significantly reduced the investment portfolio’s interest rate exposure by reducing Agency RMBS investments and related recourse repurchase borrowings and hedges. Chimera’s ability to analyze and securitize mortgage credit is a key differentiator for our Company and we have become a leader in the risk retention space” said Matthew Lambiase, Chimera’s CEO and President.

The Board of Directors of Chimera also announced the declaration of its third quarter cash dividend of $0.48 per common share. The dividend is payable October 27, 2016, to common stockholders of record on September 30, 2016. The ex-dividend date is September 28, 2016. The Board of Directors also announced that it expects to maintain a quarterly cash dividend of $0.48 per common share for the fourth quarter of 2016.

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.

(1) Core earnings and economic book value are non-GAAP measures. See additional discussion on page 4.

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)
(Unaudited)
	June 30, 2016			December 31, 2015
Assets:
Cash and cash equivalents	$	67,421		$	114,062
Non-Agency RMBS, at fair value	3,491,480			3,675,841
Agency MBS, at fair value	4,481,503			6,514,824
Securitized loans held for investment, at fair value	9,212,204			4,768,416
Accrued interest receivable	109,644			66,247
Other assets	225,155			189,796
Derivatives, at fair value, net	2,832			15,460
Total assets ⁽¹⁾	$	17,590,239		$	15,344,646
Liabilities:
Repurchase agreements, MBS ($7.3 billion and $8.8 billion pledged as collateral, respectively)	$	5,856,263		$	7,439,339
Securitized debt, collateralized by Non-Agency RMBS ($2.0 billion and $2.1 billion pledged as collateral, respectively)	424,596			529,415
Securitized debt at fair value, collateralized by loans held for investment ($9.2 billion and $4.8 billion pledged as collateral, respectively)	7,534,277			3,720,496
Payable for investments purchased	642,169			560,641
Accrued interest payable	60,171			37,432
Dividends payable	90,504			90,097
Accounts payable and other liabilities	10,257			11,404
Derivatives, at fair value	8,922			9,634
Total liabilities ⁽¹⁾	14,627,159			12,398,458

Commitments and Contingencies

Stockholders' Equity:
Preferred Stock: par value $0.01 per share; 100,000,000 shares authorized, 0 shares issued and outstanding, respectively	$	—		$	—
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,729,765 and 187,711,868 shares issued and outstanding, respectively	1,877			1,877
Additional paid-in-capital	3,367,322			3,366,568
Accumulated other comprehensive income	907,173			773,791
Accumulated deficit	(1,313,292		)	(1,196,048		)
Total stockholders' equity	$	2,963,080		$	2,946,188
Total liabilities and stockholders' equity	$	17,590,239		$	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 June 30, 2016 and December 31, 2015, total assets of consolidated VIEs were $11,401,484 and $7,031,278, respectively, and total liabilities of consolidated VIEs were $7,997,605 and $4,262,017, respectively.



CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME
(dollars in thousands, except share and per share data)
(Unaudited)

	For the Quarter Ended						For the Six Months Ended
Net Interest Income:	June 30, 2016			June 30, 2015			June 30, 2016			June 30, 2015
Interest income ⁽¹⁾	$	221,096		$	215,804		$	422,293		$	458,949
Interest expense ⁽²⁾	83,227			66,044			146,208			126,500
Net interest income	137,869			149,760			276,085			332,449
Other-than-temporary impairments:
Total other-than-temporary impairment losses	(3,139		)	(2,208		)	(7,562		)	(3,260		)
Portion of loss recognized in other comprehensive income	(17,816		)	(24,893		)	(24,071		)	(31,656		)
Net other-than-temporary credit impairment losses	(20,955		)	(27,101		)	(31,633		)	(34,916		)
Other investment gains (losses):
Net unrealized gains (losses) on derivatives	22,100			88,028			(79,010		)	92,083
Realized gains (losses) on terminations of interest rate swaps	(60,158		)	(31,124		)	(60,616		)	(99,703		)
Net realized gains (losses) on derivatives	(9,697		)	(16,777		)	(44,666		)	(58,863		)
Net gains (losses) on derivatives	(47,755		)	40,127			(184,292		)	(66,483		)
Net unrealized gains (losses) on financial instruments at fair value	30,347			(37,260		)	47,218			(47,685		)
Net realized gains (losses) on sales of investments	6,631			9,685			3,956			39,250
Gains (losses) on Extinguishment of Debt	—			5,079			(1,766		)	5,079
Total other gains (losses)	(10,777		)	17,631			(134,884		)	(69,839		)
Other income:
Other income	—			—			95,000			—
Total other income	—			—			95,000			—
Other expenses:
Management fees	—			10,196			—			20,522
Expense recoveries from Manager	—			(4,652		)	—			(5,765		)
Net management fees	—			5,544			—			14,757
Compensation and benefits	6,954			36			12,176			508
General and administrative expenses	4,238			9,224			8,741			13,513
Servicing Fees of consolidated VIEs	7,773			6,388			13,351			12,776
Deal Expenses	13,022			2,911			13,022			2,911
Total other expenses	31,987			24,103			47,290			44,465
Income (loss) before income taxes	74,150			116,187			157,278			183,229
Income taxes	23			—			52			1
Net income (loss)	$	74,127		$	116,187		$	157,226		$	183,228

Net income (loss) per share available to common shareholders:
Basic	$	0.39		$	0.57		$	0.84		$	0.89
Diluted	$	0.39		$	0.57		$	0.84		$	0.89

Weighted average number of common shares outstanding:
Basic	187,729,765			205,492,089			187,726,618			205,509,782
Diluted	187,925,046			205,579,639			187,882,614			205,573,297

Dividends declared per share of common stock	$	0.48		$	0.48		$	1.46		$	0.96

Comprehensive income (loss):
Net income (loss)	$	74,127		$	116,187		$	157,226		$	183,228
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net	53,015			(117,742		)	112,423			(137,654		)
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses	20,955			27,101			31,633			34,916
Reclassification adjustment for net realized losses (gains) included in net income	(9,062		)	(10,059		)	(10,674		)	(39,135		)
Other comprehensive income (loss)	64,908			(100,700		)	133,382			(141,873		)
Comprehensive income (loss)	$	139,035		$	15,487		$	290,608		$	41,355

(1) Includes interest income of consolidated VIEs of $160,885 and $146,900 for the quarters ended June 30, 2016 and 2015, respectively, and interest income of consolidated VIEs of $292,865 and $297,518 for the six months ended June 30, 2016 and 2015, respectively.

(2) Includes interest expense of consolidated VIEs of $58,772 and $50,426 for the quarters ended June 30, 2016 and 2015, respectively, and interest expense of consolidated VIEs of $98,022 and $97,179 for the six months ended June 30, 2016 and 2015, respectively.

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 Quarters Ended
	June 30, 2016			March 31, 2016			December 31, 2015			September 30, 2015			June 30, 2015
	(dollars in thousands, except per share data)
GAAP Net income	$	74,127		$	83,098		$	115,380		$	(48,259	)	$	116,187
Adjustments:
Net other-than-temporary credit impairment losses	20,955			10,678			14,696			17,832			27,101
Net unrealized (gains) losses on derivatives	(22,100		)	101,110			(46,842		)	71,540			(88,028		)
Net unrealized (gains) losses on financial instruments at fair value	(30,347		)	(16,871		)	69,793			40,955			37,260
Net realized (gains) losses on sales of investments	(6,631		)	2,674			(34,285		)	(3,539		)	(9,685		)
(Gains) losses on extinguishment of debt	—			1,766			(8,906		)	19,915			(5,079		)
Realized (gains) losses on terminations of interest rate swaps	60,158			458			(754		)	—			31,124
Net realized (gains) losses on Futures ⁽¹⁾	(635		)	21,609			(9,018		)	9,309			7,778
Total other (gains) losses	—			—			256			—			—
Other income	—			(95,000		)	—			—			—
Core Earnings	$	95,527		$	109,522		$	100,320		$	107,753		$	116,658

GAAP net income per basic common share	$	0.39		$	0.44		$	0.61		$	(0.24	)	$	0.57
Core earnings per basic common share	$	0.51		$	0.58		$	0.53		$	0.54		$	0.57

(1) Included in net realized gains (losses) on derivatives in the Consolidated Statement of Operations.

The following tables provide a summary of the Company’s RMBS portfolio at June 30, 2016 and December 31, 2015.



	June 30, 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	$	3,398,933	$	55.76	$	77.11	4.0	%	15.6	%
Senior, interest-only	5,693,428		5.18		4.93		1.6	%	13.3	%
Subordinated	718,917		70.19		80.28		3.2	%	10.2	%
Subordinated, interest-only	274,357		5.30		4.58		1.1	%	11.3	%
Agency MBS
Residential pass-through	2,833,811		105.03		106.92		3.9	%	2.6	%
Commercial pass-through	1,226,725		102.57		106.76		3.5	%	3.0	%
Interest-only	3,077,732		4.81		4.61		0.9	%	4.1	%

	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 June 30, 2016 and December 31, 2015, the repurchase agreements collateralized by RMBS had the following remaining maturities.



	June 30, 2016		December 31, 2015
	(dollars in thousands)
Overnight	$	331,855	$	—
1 to 29 days	2,491,293		3,312,902
30 to 59 days	804,971		2,501,513
60 to 89 days	1,086,872		246,970
90 to 119 days	432,569		430,026
Greater than or equal to 120 days	708,703		947,928
Total	$	5,856,263	$	7,439,339

The following table summarizes certain characteristics of our portfolio at June 30, 2016 and December 31, 2015.




	June 30, 2016			December 31, 2015
Interest earning assets at period-end ⁽¹⁾	$	17,185,187		$	14,959,081
Interest bearing liabilities at period-end	$	13,815,136		$	11,689,250
GAAP Leverage at period-end	4.7:1			4.0:1
GAAP Leverage at period-end (recourse)	2.0:1			2.5:1
Economic Leverage at period-end (recourse)	2.1:1			2.7:1
Portfolio Composition, at amortized cost
Non-Agency RMBS	8.7		%	10.4		%
Senior	3.7		%	4.7		%
Senior, interest only	1.8		%	1.9		%
Subordinated	3.1		%	3.7		%
Subordinated, interest only	0.1		%	0.1		%
RMBS transferred to consolidated VIEs	8.0		%	10.1		%
Agency MBS	26.9		%	46.0		%
Residential	18.3		%	37.2		%
Commercial	7.7		%	6.8		%
Interest-only	0.9		%	2.0		%
Securitized loans held for investment	56.4		%	33.5		%
Fixed-rate percentage of portfolio	87.9		%	84.7		%
Adjustable-rate percentage of portfolio	12.1		%	15.3		%
Annualized yield on average interest earning assets for the periods ended	6.1		%	6.0		%
Annualized cost of funds on average borrowed funds for the periods ended⁽²⁾	2.7		%	2.5		%
(1) Excludes cash and cash equivalents.
(2) Includes the effect of realized losses on interest rate swaps.

Economic Book Value

The table below presents our estimated economic book value. We believe that the presentation of economic book value is useful to our stockholders as it represents an estimate of the fair value of the assets we own or are able to dispose of, pledge, or otherwise monetize. The estimated economic book value should not be viewed in isolation and is not a substitute for book value computed in accordance with GAAP.



June 30, 2016
(dollars in thousands, except per share data)
GAAP Book Value	$	2,963,080
GAAP Book Value per Share	$	15.78

Economic Adjustments:
Assets of Consolidated VIEs	(11,185,498		)
Non-Recourse Liabilities of Consolidated VIEs	7,958,873
Interests in VIEs eliminated in consolidation	3,013,777

Total Adjustments - Net	(212,848		)
Total Adjustments - Net (per share)	(1.13		)

Economic Book Value	$	2,750,232
Economic Book Value per Share	$	14.65

December 31, 2015
(dollars in thousands, except per share data)
GAAP Book Value	$	2,946,188
GAAP Book Value per Share	$	15.70

Economic Adjustments:
Assets of Consolidated VIEs	(6,908,910		)
Non-Recourse Liabilities of Consolidated VIEs	4,249,911
Interests in VIEs eliminated in consolidation	2,462,713

Total Adjustments - Net	(196,286		)
Total Adjustments - Net (per share)	(1.05		)

Economic Book Value	$	2,749,902
Economic Book Value per Share	$	14.65

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		Add: Net Realized Losses on Interest Rate Swaps		Economic Interest Expense		GAAP Net Interest Income		Less: Net Realized Losses on Interest Rate Swaps		Economic Net Interest Income ⁽¹⁾
For the Quarter Ended June 30, 2016	$	221,096	$	83,227	$	8,141	$	91,368	$	137,869	$	8,141	$	129,361
For the Quarter Ended March 31, 2016	$	201,194	$	62,981	$	11,220	$	74,201	$	138,213	$	11,220	$	126,545
For the Quarter Ended December 31, 2015	$	201,912	$	64,954	$	11,673	$	76,627	$	136,958	$	11,673	$	125,272
For the Quarter Ended September 30, 2015	$	211,876	$	65,696	$	11,355	$	77,051	$	146,180	$	11,355	$	134,714
For the Quarter Ended June 30, 2015	$	215,804	$	66,044	$	9,030	$	75,074	$	149,760	$	9,030	$	140,173

(1) Excludes interest income on cash and cash equivalents.

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
	June 30, 2016						June 30, 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	$	4,882,776	$	29,376	2.4	%	$	6,360,739	$	44,821	2.8	%
Non-Agency RMBS	1,432,834		30,469		8.5	%	1,322,212		25,651		7.8	%
Non-Agency RMBS transferred to consolidated VIEs	1,346,840		62,889		18.7	%	1,593,971		68,885		17.3	%
Jumbo Prime securitized residential mortgage loans held for investment	411,343		3,489		3.4	%	559,150		6,250		4.5	%
Seasoned subprime securitized residential mortgage loans held for investment	6,214,467		94,505		6.1	%	4,518,897		71,765		6.4	%
Total	$	14,288,260	$	220,728	6.2	%	$	14,354,969	$	217,372	6.1	%

Liabilities and stockholders' equity:
Interest-bearing liabilities:
Agency repurchase agreements ⁽²⁾	$	4,612,205	$	15,795	1.4	%	$	5,395,795	$	16,580	1.2	%
Non-Agency repurchase agreements	2,251,755		16,801		3.0	%	1,508,721		8,069		2.1	%
Securitized debt, collateralized by Non-Agency RMBS	458,350		5,922		5.2	%	648,437		9,218		5.7	%
Securitized debt, collateralized by jumbo prime residential mortgage loans	313,077		2,450		3.1	%	447,975		5,157		4.6	%
Securitized debt, collateralized by seasoned subprime residential mortgage loans	5,351,393		50,399		3.8	%	3,799,069		36,050		3.8	%
Total	$	12,986,780	$	91,367	2.8	%	$	11,799,997	$	75,074	2.5	%

Economic net interest income/net interest rate spread			$	129,361	3.4	%			$	142,298	3.6	%

Net interest-earning assets/net interest margin	$	1,301,480			3.6	%	$	2,554,972			4.0	%

Ratio of interest-earning assets to interest bearing liabilities	1.10						1.22

(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 Quarter Ended June 30, 2016	10.09	%	17.61	%	13.00	%
For The Quarter Ended March 31, 2016	11.34	%	17.28	%	14.95	%
For The Quarter Ended December 31, 2015	15.22	%	16.52	%	13.23	%
For The Quarter Ended September 30, 2015	(5.89	)%	16.43	%	13.14	%
For The Quarter Ended June 30, 2015	13.35	%	16.10	%	13.40	%
For The Year Ended
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	%

The table below presents changes in accretable yield, or the excess of the security’s cash flows expected to be collected over the Company’s investment, solely as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30.



	For the Quarter Ended						For the Six Months Ended
	June 30, 2016			June 30, 2015			June 30, 2016			June 30, 2015
	(dollars in thousands)						(dollars in thousands)
Balance at beginning of period	$	1,726,541		$	1,536,862		$	1,742,744		$	1,534,497
Purchases	22,417			23,872			42,600			108,625
Accretion	(35,054		)	(71,005		)	(71,407		)	(140,710		)
Reclassification (to) from non-accretable difference	27,492			211,625			27,459			218,807
Sales and deconsolidation	(26,804		)	(3,031		)	(26,804		)	(22,896		)
Balance at end of period	$	1,714,592		$	1,698,323		$	1,714,592		$	1,698,323

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.

FINANCIAL SUPPLEMENT NYSE: CIM 2nd 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 MBS Portfolio Total Portfolio Gross Asset Yield: 8.1% 2.4% 6.2% Financing Cost(2): 3.6% 1.4% 2.8% Net Interest Spread: 4.5% 1.0% 3.4% Net Interest Margin: 4.9% 1.1% 3.6% All data as of June 30, 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 $0.5 $2.5 $3.4 $8.0 Non-Recourse (Securitization) Recourse (Repo) Recourse (Repo) Equity Equity Agency MBS Portfolio Total Assets: 4.5 billion(1) Residential Mortgage Credit Portfolio Total Assets: 12.7 billion(1) 83% of Chimera's equity capital is allocated to mortgage credit

Information is unaudited, estimated and subject to change. 3 June 30, 2016 March 31, 2016 Total Portfolio: $17.2 billion Total Portfolio: $14.9 billion Agency MBS Non-Agency MBS Securitized Loan Portfolio 20% 26% 54% Agency MBS Non-Agency MBS Securitized Loan Portfolio 45% 24% 31% GAAP ASSET ALLOCATION(1) (1) Based on fair value. The increases in Securitized Loan and Non-Agency MBS portfolios were partially funded through Agency MBS sales

Information is unaudited, estimated and subject to change. 4 June 30, 2016 March 31, 2016 Total Financing: $13.8 Billion Total Financing: $11.7 Billion Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Recourse Debt, Securitized RMBS and Loans (2) 25% 18% 58% Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Recourse Debt, Securitized RMBS and Loans (2) 47% 18% 35% GAAP FINANCING SOURCES (1) Leverage ratios as of June 30, 2016 (2) Consists of tranches of RMBS and loan securitizations sold to third parties. Total Leverage(1): 4.7:1 Recourse Leverage: 2.0:1

Information is unaudited, estimated and subject to change. 5 ($ in thousands) At Issuance / Acquisition June 30, 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 2016-3 $1,746,084 $1,478,933 $267,151 $1,746,084 $1,478,933 $267,151 2016 CIM 2016-2 1,762,177 1,492,563 269,614 1,762,177 1,492,563 269,614 2016 CIM 2016-1 1,499,341 1,266,898 232,443 1,470,568 1,237,705 232,863 2015 CIM 2015-4AG(1) 750,647 425,000 325,647 679,307 472,231 207,076 2015 CIM 2015-3AG(3) 698,812 520,935 177,877 607,246 438,716 168,530 2015 CIM 2015-2AG(2) 330,293 276,998 53,295 275,692 225,490 50,202 2015 CIM 2015-1EC 268,731 214,985 53,746 236,962 180,482 56,480 2014 CSMC 2014-CIM1(4) 333,865 268,087 65,779 255,750 193,544 62,206 2013 SLFMT 2013-1A 1,021,846 1,019,291 2,555 707,071 594,815 112,256 2013 SLFMT 2013-2A 1,137,308 1,134,464 2,844 876,951 842,200 34,751 2013 SLFMT 2013-3A 500,390 499,139 1,251 420,777 258,210 162,567 2012 CSMC 2012-CIM1 741,939 707,810 34,129 90,669 59,507 31,162 2012 CSMC 2012-CIM2 425,091 404,261 20,830 80,896 61,562 19,334 2012 CSMC 2012-CIM3 329,886 305,804 24,082 151,997 131,922 20,075 2008 PHHMC 2008-CIM1 619,710 549,142 70,568 63,502 45,443 18,059 TOTAL $12,166,120 $10,564,310 $1,601,811 9,425,649 7,713,323 1,712,326 % of origination remaining 77% (1) Contains collateral from Springleaf 2012-3A Trust. (2) Contains collateral from Springleaf 2012-2A Trust. (3) Contains collateral from Springleaf 2012-1A Trust. (4) Contains collateral from Springleaf 2011-1A Trust. CONSOLIDATED LOAN SECURITIZATIONS

Information is unaudited, estimated and subject to change. 6 ($ in thousands) At Issuance / Acquisition June 30, 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 — 367,271 269,644 — 269,644 2010 CSMC 2010-1R 1,730,581 691,630 1,038,951 674,545 21,380 653,165 2010 CSMC 2010-11R 566,571 338,809 227,762 283,565 73,817 209,748 2009 CSMC 2009-12R 1,730,698 915,566 815,132 613,587 127,656 485,931 2009 JPMRR 2009-7 1,522,474 856,935 665,539 566,757 177,397 389,360 2009 JMAC 2009-R2 281,863 192,500 89,363 101,070 41,626 59,444 TOTAL 6,199,458 2,995,440 3,204,018 2,509,168 441,876 2,067,292 % of origination remaining 40% 15% 65% 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 June 30, 2016 Repo Days to Maturity – As of June 30, 2016 Agency Securities – As of March 31, 2016 Repo Days to Maturity – As of March 31, 2016 Maturity PrincipalBalance Weighted Average Rate Weighted Average Days Within 30 days 2,240,043 74% 30 to 59 days 1,938,859 75% 60 to 89 days 166,374 74% 90 to 360 days 1,125,427 84% Over 360 days — — Total $5,470,703 0.57% 80 Days (1) Coupon is a weighted average for Commercial and Agency IO (2) Notional Agency IO was $3.1 billion and $4.0 billion as of 6/30/2016 and 3/31/2016 respectively. Security Type Coupon (1) Current Face Weighted Average Market Price Weighted Average CPR Agency Pass- through 3.50% $1,137,343 105.6 7.6 4.00% 1,356,996 107.4 14.5 4.50% 339,473 109.3 17 Commercial 3.5% 1,226,725 106.8 — Agency IO 0.9% N/M(2) 4.6 6.5 Total $4,060,537 Maturity PrincipalBalance Weighted Average Rate Weighted Average Days Within 30 days 1,823,192 0.79% 30 to 59 days 287,077 0.81% 60 to 89 days 921,941 0.77% 90 to 360 days 361,042 0.97% Over 360 days — — Total $3,393,252 0.80% 41 Days Security Type Coupon (1) Current Face Weighted Average Market Price Weighted Average CPR Agency Pass- through 3.50% $3,006,693 104.8 6.6 4.00% 1,698,645 106.9 6.8 4.50% 358,017 108.9 17.2 Commercial 3.4% 1,072,937 104.9 0.1 Agency IO 0.8% N/M(2) 4.5 5.4 Total $6,136,292 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 $ 4,688,441 $ 4,596,520 $ 4,481,503 $ 4,360,999 $ 4,233,588 Percentage Change 4.6 % 2.6 % - (2.7)% (5.5)% Swap Market Value (114,553) (61,292) - 60,266 120,069 Percentage Change (2.6)% (1.4)% - 1.3 % 2.7 % Futures Market Value (29,919) (17,485) - 17,050 33,685 Percentage Change (0.7)% (0.4)% - 0.4 % 0.8 % Net Gain/(Loss) $ 62,466 $ 36,240 - $ (43,188) $ (94,161) Percentage Change in Portfolio Value(1) 1.4 % 0.8 % - (1.0)% (2.1)% Near Term 0-3 Short Term 3-5 Medium Term 5-10 Long Term 10-30 Hedge Book Maturities 2% 34% 54% 10% INTEREST RATE SENSITIVITY Chimera reduced the outstanding notional balance of its derivative instruments by $2.3 billion Total Notional Balance - Derivative Instruments June 30, 2016 March 31, 2016 Interest Rate Swaps 1,430,900 3,583,900 Swaptions 749,000 749,000 Futures 619,700 814,700 (1) Based on instantaneous moves in interest rates.

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