Form 8-K CHIMERA INVESTMENT CORP For: Feb 14

February 14, 2017 5:02 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):

February 14, 2017

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



Maryland	1-33796	26-0630461
(State or Other Jursidiction	(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 February 14, 2017, the registrant issued a press release announcing its financial results for the quarter and year ended December 31, 2016. A copy of the press release is furnished as Exhibit 99.1 to this report.

On February 14, 2017, 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 7.01. Regulation FD Disclosure

On February 14, 2017, the registrant issued a press release announcing the declaration of its first quarter cash dividend of $0.50 per share of common stock and $0.50 per share of Series A Cumulative Redeemable Preferred Stock.

Item 9.01 Financial Statements and Exhibits



(d)	Exhibits

99.1	Press Release, dated February 14, 2017, issued by Chimera Investment Corporation
99.2	Supplemental Financial Information for the quarter and year ended December 31, 2016.
99.3	Press Release, dated February 14, 2017, issued by Chimera Investment Corporation

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 14, 2017

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 4TH QUARTER AND FULL YEAR 2016 EARNINGS


•	4TH QUARTER GAAP EARNINGS OF $1.17 PER COMMON SHARE


•	4TH QUARTER CORE EARNINGS⁽¹⁾ OF $0.65 PER COMMON SHARE


•	FULL YEAR GAAP EARNINGS OF $2.92 PER COMMON SHARE UP FROM $1.25 PER COMMON SHARE IN 2015


•	FULL YEAR CORE EARNINGS OF $2.42 PER COMMON SHARE UP FROM $2.37 PER COMMON SHARE IN 2015


•	GAAP BOOK VALUE OF $15.87 PER COMMON SHARE UP FROM $15.70 PER COMMON SHARE IN 2015, COMPARED TO $16.18 IN 3RD QUARTER 2016

“Chimera’s portfolio produced a positive total return despite a significant rise in long term interest rates in the fourth quarter of 2016”, said Matthew Lambiase, Chimera’s CEO and President. “Full year 2016 included meaningful new investments in securitized mortgage loans which helped us grow earnings. We finished our first calendar year as an internally managed company and remain committed to creating value for our shareholders.”

(1) Core earnings is a non-GAAP measure. See additional discussion on page 5.

Note: All per common share amounts presented on a diluted basis.

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)
	December 31, 2016			December 31, 2015
Assets:
Cash and cash equivalents	$	177,714		$	114,062
Non-Agency RMBS, at fair value	3,330,063			3,675,841
Agency MBS, at fair value	4,167,754			6,514,824
Securitized loans held for investment, at fair value	8,753,653			4,768,416
Accrued interest receivable	79,697			66,247
Other assets	166,350			189,796
Derivatives, at fair value, net	9,677			15,460
Total assets ⁽¹⁾	$	16,684,908		$	15,344,646
Liabilities:
Repurchase agreements, MBS ($7.0 billion and $8.8 billion pledged as collateral, respectively)	$	5,600,903		$	7,439,339
Securitized debt, collateralized by Non-Agency RMBS ($1.8 billion and $2.1 billion pledged as collateral, respectively)	334,124			529,415
Securitized debt at fair value, collateralized by loans held for investment ($8.8 billion and $4.8 billion pledged as collateral, respectively)	6,941,097			3,720,496
Payable for investments purchased	520,532			560,641
Accrued interest payable	48,670			37,432
Dividends payable	97,005			90,097
Accounts payable and other liabilities	16,694			11,404
Derivatives, at fair value	2,350			9,634
Total liabilities ⁽¹⁾	$	13,561,375		$	12,398,458

Stockholders' Equity:
Preferred Stock: par value $0.01 per share; 8% Series A cumulative redeemable; 100,000,000 shares authorized, 5,800,000 and 0 shares issued and outstanding, respectively ($145,000 liquidation preference)	$	58		$	—
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,739,634 and 187,711,868 shares issued and outstanding, respectively	1,877			1,877
Additional paid-in-capital	3,508,779			3,366,568
Accumulated other comprehensive income	718,106			773,791
Cumulative earnings	2,443,184			1,891,239
Cumulative distributions to stockholders	(3,548,471		)	(3,087,287		)
Total stockholders' equity	$	3,123,533		$	2,946,188
Total liabilities and stockholders' equity	$	16,684,908		$	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 December 31, 2016 and December 31, 2015, total assets of consolidated VIEs were $10,761,954 and $7,031,278, respectively, and total liabilities of consolidated VIEs were $7,300,163 and $4,262,017, respectively.



CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF OPERATIONS
(dollars in thousands, except share and per share data)
	For the Year Ended
	December 31, 2016			December 31, 2015			December 31, 2014
Net Interest Income:
Interest income ⁽¹⁾	$	934,068		$	872,737		$	687,795
Interest expense ⁽²⁾	347,857			259,365			147,785
Net interest income	586,211			613,372			540,010
Other-than-temporary impairments:
Total other-than-temporary impairment losses	(9,589		)	(8,700		)	(8,713		)
Portion of loss recognized in other comprehensive income	(48,398		)	(58,744		)	(55,279		)
Net other-than-temporary credit impairment losses	(57,987		)	(67,444		)	(63,992		)
Other investment gains (losses):
Net unrealized gains (losses) on derivatives	50,093			67,385			(103,496		)
Realized gains (losses) on terminations of interest rate swaps	(60,616		)	(98,949		)	—
Net realized gains (losses) on derivatives	(44,886		)	(83,073		)	(82,852		)
Net gains (losses) on derivatives	(55,409		)	(114,637		)	(186,348		)
Net unrealized gains (losses) on financial instruments at fair value	59,552			(158,433		)	193,534
Net realized gains (losses) on sales of investments	18,155			77,074			91,709
Gain (loss) on deconsolidation	—			(256		)	47,846
Gains (losses) on Extinguishment of Debt	(477		)	(5,930		)	(2,184		)
Total other gains (losses)	21,821			(202,182		)	144,557
Other income:
Other income	95,000			—			23,783
Total other income	95,000			—			23,783
Other expenses:
Management fees	—			24,609			32,514
Expense recoveries from Manager	—			(6,906		)	(8,936		)
Net management fees	—			17,703			23,578
Provision for loan losses, net	—			—			(232		)
Compensation and benefits	26,901			10,544			—
General and administrative expenses	17,516			31,633			20,403
Servicing Fees of consolidated VIEs	31,178			25,244			10,004
Deal Expenses	17,424			8,272			1,398
Total other expenses	93,019			93,396			31,368
Income (loss) before income taxes	552,026			250,350			589,207
Income taxes	83			1			2
Net income (loss)	$	551,943		$	250,349		$	589,205

Dividend on preferred stock	2,449			—			—

Net income (loss) available to common shareholders	$	549,494		$	250,349		$	589,205

Net income (loss) per share available to common shareholders:
Basic	$	2.93		$	1.25		$	2.87
Diluted	$	2.92		$	1.25		$	2.87

Weighted average number of common shares outstanding:
Basic	187,728,634			199,563,196			205,450,095
Diluted	188,024,838			199,650,177			205,508,769

Dividends declared per share of common stock	$	2.44		$	1.92		$	1.80

(1) Includes interest income of consolidated VIEs of $678,623, $575,715, and $428,992 for the years ended December 31, 2016, 2015, and 2014 respectively.

(2) Includes interest expense of consolidated VIEs of $249,708, $191,922 and $119,103 for the years ended December 31, 2016, 2015, 2014 respectively.



	For the Quarter Ended
	December 31, 2016			September 30, 2016			June 30, 2016			March 31, 2016
	(dollars in thousands, except per share data)
Net Interest Income:
Interest income	$	260,823		$	250,953		$	221,096		$	201,194
Interest expense	106,737			94,911			83,227			62,981
Net interest income	154,086			156,042			137,869			138,213
Other-than-temporary impairments:
Total other-than-temporary impairment losses	(1,034		)	(993		)	(3,139		)	(4,423		)
Portion of loss recognized in other comprehensive income	(13,746		)	(10,581		)	(17,816		)	(6,255		)
Net other-than-temporary credit impairment losses	(14,780		)	(11,574		)	(20,955		)	(10,678		)
Net gains (losses) on derivatives	115,523			13,360			(47,755		)	(136,537		)
Net unrealized gains (losses) on financial instruments at fair value	(20,664		)	32,999			30,347			16,871
Gain (loss) on deconsolidation	—			—			—			—
Gain (loss) on Extinguishment of Debt	1,334			(45		)	—			(1,766		)
Net realized gains (losses) on sales of investments	11,121			3,079			6,631			(2,674		)
Other Income	—			—			—			95,000
Total other expenses	24,698			21,031			31,987			15,302
Net income	$	221,903		$	172,817		$	74,127		$	83,098
Dividend on preferred stock	$	2,449		$	—		$	—		$	—
Net income (loss) available to common shareholders	$	219,454		$	172,817		$	74,127		$	83,098
Net income per common share-basic	$	1.17		$	0.92		$	0.39		$	0.44

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 Year Ended
	December 31, 2016			December 31, 2015			December 31, 2014
	(dollars in thousands, except per share data)
GAAP Net income available to common stockholders	$	549,494		$	250,349		$	589,205
Adjustments:
Net other-than-temporary credit impairment losses	57,987			67,444			63,992
Net unrealized (gains) losses on derivatives	(50,093		)	(67,385		)	103,496
Net unrealized (gains) losses on financial instruments at fair value	(59,552		)	158,433			(193,534		)
Net realized (gains) losses on sales of investments	(18,155		)	(77,074		)	(91,709		)
(Gains) losses on extinguishment of debt	477			5,930			2,184
Realized (gains) losses on terminations of interest rate swaps	60,616			98,949			—
Net realized (gains) losses on derivatives - Futures⁽¹⁾	9,170			35,523			38,552
Total other (gains) losses	(95,000		)	256			(71,629		)
Core Earnings	$	454,944		$	472,425		$	440,557

GAAP net income per basic common share	$	2.93		$	1.25		$	2.87
Core earnings per basic common share⁽²⁾	$	2.42		$	2.37		$	2.14



	For the Quarters Ended
	December 31, 2016			September 30, 2016			June 30, 2016			March 31, 2016			December 31, 2015
	(dollars in thousands, except per share data)
GAAP Net income available to common stockholders	$	219,454		$	172,817		$	74,127		$	83,098		$	115,380
Adjustments:
Net other-than-temporary credit impairment losses	14,780			11,574			20,955			10,678			14,696
Net unrealized (gains) losses on derivatives	(101,475		)	(27,628		)	(22,100		)	101,110			(46,842		)
Net unrealized (gains) losses on financial instruments at fair value	20,664			(32,999		)	(30,347		)	(16,871		)	69,793
Net realized (gains) losses on sales of investments	(11,121		)	(3,079		)	(6,631		)	2,674			(34,285		)
(Gains) losses on extinguishment of debt	(1,334		)	45			—			1,766			(8,906		)
Realized (gains) losses on terminations of interest rate swaps	—			—			60,158			458			(754		)
Net realized (gains) losses on Futures ⁽¹⁾	(19,628		)	7,823			(635		)	21,609			(9,018		)
Total other (gains) losses	—			—			—			—			256
Other income	—			—			—			(95,000		)	—
Core Earnings	$	121,340		$	128,553		$	95,527		$	109,522		$	100,320

GAAP net income per basic common share	$	1.17		$	0.92		$	0.39		$	0.44		$	0.61
Core earnings per basic common share⁽²⁾	$	0.65		$	0.68		$	0.51		$	0.58		$	0.53

(1) Included in net realized gains (losses) on derivatives in the Consolidated Statements of Operations.
(2) We note that core and taxable earnings will typically differ, and may materially differ, due to differences on realized gains and losses on investments and related hedges, credit loss recognition,
timing differences in premium amortization, accretion of discounts, equity compensation and other items.

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



	December 31, 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	$	3,190,947	$	55.76	$	78.69	4.3	%	15.5	%
Senior, interest-only	5,648,339		5.18		4.49		1.5	%	11.7	%
Subordinated	673,259		70.83		82.21		3.8	%	9.2	%
Subordinated, interest-only	266,927		5.20		4.50		1.1	%	13.5	%
Agency MBS
Residential pass-through	2,594,570		105.78		104.29		3.9	%	3.0	%
Commercial pass-through	1,331,543		102.64		98.91		3.6	%	2.9	%
Interest-only	3,356,491		4.53		4.31		0.8	%	3.5	%

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



	December 31, 2016		December 31, 2015
	(dollars in thousands)
Overnight	$	—	$	—
1 to 29 days	2,947,604		3,312,902
30 to 59 days	958,956		2,501,513
60 to 89 days	407,625		246,970
90 to 119 days	559,533		430,026
Greater than or equal to 120 days	727,185		947,928
Total	$	5,600,903	$	7,439,339

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




	December 31, 2016			December 31, 2015
Interest earning assets at period-end ⁽¹⁾	$	16,251,470		$	14,959,081
Interest bearing liabilities at period-end	$	12,876,124		$	11,689,250
GAAP Leverage at period-end	4.1:1			4.0:1
GAAP Leverage at period-end (recourse)	1.8:1			2.5:1
Portfolio Composition, at amortized cost
Non-Agency RMBS	9.0		%	10.4		%
Senior	3.9		%	4.7		%
Senior, interest only	1.9		%	1.9		%
Subordinated	3.1		%	3.7		%
Subordinated, interest only	0.1		%	0.1		%
RMBS transferred to consolidated VIEs	7.6		%	10.1		%
Agency MBS	27.7		%	46.0		%
Residential	17.8		%	37.2		%
Commercial	8.9		%	6.8		%
Interest-only	1.0		%	2.0		%
Securitized loans held for investment	55.7		%	33.5		%
Fixed-rate percentage of portfolio	88.4		%	84.7		%
Adjustable-rate percentage of portfolio	11.6		%	15.3		%
Annualized yield on average interest earning assets for the periods ended	6.4		%	6.0		%
Annualized cost of funds on average borrowed funds for the periods ended⁽²⁾	3.0		%	2.5		%
(1) Excludes cash and cash equivalents.
(2) Includes the effect of realized losses on interest rate swaps.

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		Net Realized Losses on Interest Rate Swaps		Other⁽²⁾			Economic Interest Expense		GAAP Net Interest Income		Net Realized Losses on Interest Rate Swaps			Other⁽¹⁾⁽²⁾			Economic Net Interest Income
For the Year Ended December 31, 2016	$	934,068	$	347,857	$	28,107	$	—		$	375,964	$	586,211	$	(28,107	)	$	(882	)	$	557,222
For the Year Ended December 31, 2015	$	872,737	$	259,365	$	47,227	$	(2,217	)	$	304,375	$	613,372	$	(47,227	)	$	1,218		$	567,363
For the Year Ended December 31, 2014	$	687,795	$	147,785	$	52,522	$	—		$	200,307	$	540,010	$	(52,522	)	$	(22	)	$	487,466

For the Quarter Ended December 31, 2016	$	260,823	$	106,737	$	4,151	$	—		$	110,888	$	154,086	$	(4,151	)	$	40		$	149,975
For the Quarter Ended September 30, 2016	$	250,953	$	94,911	$	4,595	$	—		$	99,506	$	156,042	$	(4,595	)	$	(105	)	$	151,342
For the Quarter Ended June 30, 2016	$	221,096	$	83,227	$	8,141	$	—		$	91,368	$	137,869	$	(8,141	)	$	(367	)	$	129,361
For the Quarter Ended March 31, 2016	$	201,194	$	62,981	$	11,220	$	—		$	74,201	$	138,213	$	(11,220	)	$	(448	)	$	126,545

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

(2) Other includes $2 million of deferred financing expenses written off during the quarter ended September 30, 2015.

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
	December 31, 2016						December 31, 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	$	3,730,032	$	38,494	4.1	%	$	5,967,169	$	37,762	2.5	%
Non-Agency RMBS	1,390,837		32,098		9.2	%	1,452,456		27,993		7.7	%
Non-Agency RMBS transferred to consolidated VIEs	1,208,217		61,021		20.2	%	1,465,966		64,045		17.5	%
Jumbo Prime securitized residential mortgage loans held for investment	355,578		2,958		3.3	%	474,543		3,688		3.1	%
Seasoned subprime securitized residential mortgage loans held for investment	8,337,725		126,292		6.1	%	4,523,675		68,411		6.0	%
Total	$	15,022,389	$	260,863	6.9	%	$	13,883,809	$	201,899	5.8	%

Liabilities and stockholders' equity:
Interest-bearing liabilities:
Agency repurchase agreements ⁽²⁾	$	3,199,755	$	11,340	1.4	%	$	5,296,934	$	20,045	1.5	%
Non-Agency repurchase agreements	2,499,313		18,579		3.0	%	2,095,149		12,677		2.4	%
Securitized debt, collateralized by Non-Agency RMBS	357,422		5,610		6.3	%	550,634		8,171		5.9	%
Securitized debt, collateralized by jumbo prime residential mortgage loans	261,882		2,128		3.2	%	370,160		3,041		3.3	%
Securitized debt, collateralized by seasoned subprime residential mortgage loans	6,720,323		73,231		4.4	%	3,601,082		32,694		3.6	%
Total	$	13,038,695	$	110,888	3.4	%	$	11,913,959	$	76,628	2.6	%

Economic net interest income/net interest rate spread			$	149,975	3.5	%			$	125,271	3.2	%

Net interest-earning assets/net interest margin	$	1,983,694			4.0	%	$	1,969,850			3.6	%

Ratio of interest-earning assets to interest bearing liabilities	1.15						1.17

(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 Year Ended December 31, 2016	18.42	%	18.59	%	15.18	%
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	%

For the Quarter Ended December 31, 2016	28.82	%	19.48	%	15.76	%
For the Quarter Ended September 30, 2016	23.04	%	20.18	%	17.14	%
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	%
* Includes effect of realized losses on interest rate swaps.

The following table presents changes to Accretable Discount (net of premiums) as it pertains to our Non-Agency RMBS portfolio, excluding premiums on IOs, during the previous five quarters.



	For the Quarters Ended
Accretable Discount (Net of Premiums)	December 31, 2016			September 30, 2016			June 30, 2016			March 31, 2016			December 31, 2015
	(dollars in thousands)
Balance, beginning of period	$	733,060		$	769,764		$	778,847		$	824,154		$	873,091
Accretion of discount	(44,427		)	(44,455		)	(42,297		)	(45,481		)	(43,520		)
Purchases	(33,987		)	8,959			(1,001		)	(11,102		)	1,845
Sales and deconsolidation	(2,138		)	(14,386		)	(20,590		)	—			(35,144		)
Transfers from/(to) credit reserve, net	31,140			13,178			54,805			11,276			27,882
Balance, end of period	$	683,648		$	733,060		$	769,764		$	778,847		$	824,154

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 4th 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 Portfolio Total Portfolio Gross Asset Yield: 7.9% 4.1% 6.9% Financing Cost(2): 4.0% 1.4% 3.4% Net Interest Spread: 3.9% 2.7% 3.5% Net Interest Margin: 4.4% 2.9% 4.0% All data as of December 31, 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 $0.7 $2.5 $3.1 $7.3 Non-Recourse (Securitization) Recourse (Repo) Recourse (Repo) Equity Equity Agency Portfolio Total Assets: 4.2 billion(1) Residential Mortgage Credit Portfolio Total Assets: 12.1 billion(1) 76% of Chimera's equity capital is allocated to mortgage credit

Information is unaudited, estimated and subject to change. 3 December 31, 2016 September 30, 2016 Total Portfolio: $16.3 billion Total Portfolio: $16.7 billion Non-Agency MBS Agency MBS Securitized Loan Portfolio 20% 26% 54% Non-Agency MBS Agency MBS Securitized Loan Portfolio 21% 26% 53% GAAP ASSET ALLOCATION(1) (1) Based on fair value. The portfolio composition remained stable through the fourth quarter of 2016

Information is unaudited, estimated and subject to change. 4 December 31, 2016 September 30, 2016 Total Financing: $12.9 Billion Total Financing: $13.4 Billion Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Recourse Debt, Securitized RMBS and Loans (2) 24% 20% 57% Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Recourse Debt, Securitized RMBS and Loans (2) 25% 18% 57% GAAP FINANCING SOURCES (1) Leverage ratios as of December 31, 2016 (2) Consists of tranches of RMBS and loan securitizations sold to third parties. Total Leverage(1): 4.1:1 Recourse Leverage(1): 1.8:1

Information is unaudited, estimated and subject to change. 5 ($ in thousands) At Issuance / Acquisition December 31, 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-FRE1 $185,811 $115,165 $70,646 $183,559 $112,759 $70,800 2016 CIM 2016-5(1) 66,171 10,000 56,171 61,738 9,331 52,407 2016 CIM 2016-4(1) 601,733 493,420 108,313 588,843 477,317 111,526 2016 CIM 2016-3 1,746,084 1,478,933 267,151 1,604,890 1,336,072 268,818 2016 CIM 2016-2 1,762,177 1,492,563 269,614 1,621,288 1,350,131 271,157 2016 CIM 2016-1 1,499,341 1,266,898 232,443 1,368,925 1,135,135 233,790 2015 CIM 2015-4AG(2) 750,647 425,000 325,647 625,316 426,219 199,097 2015 CIM 2015-3AG(3) 698,812 520,935 177,877 556,946 393,865 163,081 2015 CIM 2015-2AG(4) 330,293 276,998 53,295 253,001 204,735 48,266 2015 CIM 2015-1EC 268,731 214,985 53,746 224,266 167,724 56,542 2014 CSMC 2014-CIM1(5) 333,865 268,087 65,778 231,412 170,829 60,583 2013 SLFMT 2013-2A 1,137,308 1,134,464 2,844 818,749 789,574 29,175 2013 SLFMT 2013-3A 500,390 499,139 1,251 398,160 239,119 159,041 2012 CSMC 2012-CIM1 741,939 707,810 34,129 75,705 44,897 30,808 2012 CSMC 2012-CIM2 425,091 404,261 20,830 64,679 45,531 19,148 2012 CSMC 2012-CIM3 329,886 305,804 24,082 134,840 115,226 19,614 2008 PHHMC 2008-CIM1 619,710 549,142 70,568 56,465 40,800 15,665 TOTAL $11,997,989 $10,163,604 $1,834,385 $8,868,782 $7,059,264 $1,809,518 % of origination remaining 74% (1) Contains collateral from Springleaf 2013-1A Trust. (2) Contains collateral from Springleaf 2012-3A Trust. (3) Contains collateral from Springleaf 2012-2A Trust. (4) Contains collateral from Springleaf 2012-1A Trust. (5) Contains collateral from Springleaf 2011-1A Trust. CONSOLIDATED LOAN SECURITIZATIONS

Information is unaudited, estimated and subject to change. 6 ($ in thousands) At Issuance / Acquisition December 31, 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 — 367,271 246,677 — 246,677 2010 CSMC 2010-1R 1,730,581 691,630 1,038,951 615,007 5,530 609,477 2010 CSMC 2010-11R 566,571 338,809 227,762 260,480 48,657 211,823 2009 CSMC 2009-12R 1,730,698 915,566 815,132 564,394 108,489 455,905 2009 JPMRR 2009-7 1,522,474 856,935 665,539 522,827 151,135 371,692 2009 JMAC 2009-R2 281,863 192,500 89,363 94,278 36,398 57,880 TOTAL 6,199,458 2,995,440 3,204,018 2,303,663 350,209 1,953,454 % of origination remaining 37% 12% 61% 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 December 31, 2016 Repo Days to Maturity – As of December 31, 2016 Agency Securities – As of September 30, 2016 Repo Days to Maturity – As of September 30, 2016 Maturity PrincipalBalance Weighted Average Rate Weighted Average Days Within 30 days $1,553,423 0.82% 30 to 59 days 332,006 0.78% 60 to 89 days 827,670 0.83% 90 to 360 days 665,480 0.79% Over 360 days — — Total $3,378,579 0.81% 49 Days (1) Coupon is a weighted average for Commercial and Agency IO (2) Notional Agency IO was $3.4 billion and $3.5 billion as of December 31, 2016 and September 30, 2016 respectively. Security Type Coupon (1) Current Face Weighted Average Market Price Weighted Average CPR Agency Pass- through 3.50% $1,036,300 102.4 18.3 4.00% 1,266,884 105.1 23.3 4.50% 291,385 107.5 24.2 Commercial 3.6% 1,331,544 98.9 0.2 Agency IO 0.8% N/M(2) 4.3 26.4 Total $3,926,113 Maturity PrincipalBalance Weighted Average Rate Weighted Average Days Within 30 days $1,886,437 0.87% 30 to 59 days 700,615 0.97% 60 to 89 days 267,663 0.93% 90 to 360 days 233,019 0.93% Over 360 days — — Total $3,087,734 0.90% 32 Days Security Type Coupon (1) Current Face Weighted Average Market Price Weighted Average CPR Agency Pass- through 3.50% $1,085,704 105.6 15 4.00% 1,271,630 107.7 20.4 4.50% 314,759 109.6 22.8 Commercial 3.6% 1,273,235 105.6 0.1 Agency IO 0.9% N/M(2) 4.5 8.3 Total $3,945,328 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 $ 4,390,545 $ 4,284,593 $ 4,167,754 $ 4,044,409 $ 3,918,360 Percentage Change 5.3 % 2.8 % - (3.0)% (6.0)% Swap Market Value (110,312) (54,630) - 54,401 107,458 Percentage Change (2.6)% (1.3)% - 1.3 % 2.6 % Futures Market Value (35,383) (17,456) - 16,991 33,522 Percentage Change (0.8)% (0.4)% - 0.4 % 0.8 % Net Gain/(Loss) $ 77,096 $ 44,753 - $ (51,953) $ (108,414) Percentage Change in Portfolio Value(1) 1.8 % 1.1 % - (1.2)% (2.6)% Near Term 0-3 Short Term 3-5 Medium Term 5-10 Long Term 10-30 Hedge Book Maturities 36% 58% 6% INTEREST RATE SENSITIVITY Chimera continues to reduce its rate exposure by reducing its Agency portfolio and hedges Total Notional Balance - Derivative Instruments December 31, 2016 September 30, 2016 Interest Rate Swaps 1,396,900 1,380,900 Swaptions 624,000 699,000 Futures 619,700 619,700 (1) Based on instantaneous moves in interest rates.

chimerareit.com

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 DECLARES FIRST QUARTER 2017 DIVIDEND OF $0.50 PER SHARE


•	BOARD DECLARES FIRST QUARTER 2017 DIVIDEND OF $0.50 PER SHARE OF COMMON STOCK


•	BOARD EXPECTS TO MAINTAIN A $0.50 DIVIDEND FOR THE REMAINING THREE QUARTERS OF 2017


•	BOARD DECLARES FIRST QUARTER 2017 DIVIDEND OF $0.50 PER SHARE OF 8% SERIES A CUMULATIVE REDEEMABLE PREFERRED STOCK

The Board of Directors of Chimera announced the declaration of its first quarter cash dividend of $0.50 per common share. The dividend is payable April 28, 2017 to common stockholders of record on March 31, 2017. The ex-dividend date is March 29, 2017.

The Board of Directors of Chimera also announced the declaration of its first quarter cash dividend of $0.50 per share of 8% Series A Cumulative Redeemable Preferred Stock. The dividend is payable March 30, 2017 to preferred shareholders of record on March 1, 2017. The ex-dividend date is February 27, 2017.

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