CHIMERA INVESTMENT CORP (Form: 8-K, Received: 10/30/2019 07:01:32)

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

____________

FORM 8-K

PURSUANT TO SECTION 13 OR 15(d) OF THE

SECURITIES EXCHANGE ACT OF 1934

Date of Report (Date of earliest event reported):

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 2.02. Results of Operations and Financial Condition

On October 30, 2019, the registrant issued a press release announcing its financial results for the quarter ended September 30, 2019. A copy of the press release is furnished as Exhibit 99.1 to this report.

On October 30, 2019, the registrant posted supplemental financial information on the Investors 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

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

Title: Chief Financial Officer

Date: October 30, 2019

CHIMERA INVESTMENT CORPORATION

New York, New York 10022

_________________________________________________________________________________________________

FOR IMMEDIATE RELEASE

CHIMERA INVESTMENT CORPORATION REPORTS 3RD QUARTER 2019 EARNINGS

3^RD QUARTER GAAP NET INCOME OF $0.47 PER COMMON SHARE

3^RD QUARTER CORE EARNINGS⁽¹⁾ OF $0.50 PER COMMON SHARE

GAAP BOOK VALUE OF $16.38 PER COMMON SHARE

NEW YORK - (BUSINESS WIRE) - Chimera Investment Corporation (NYSE:CIM) today announced its financial results for the third quarter ended September 30, 2019. The Company’s GAAP net income for the third quarter was $88 million or $0.47 per common share. Core earnings⁽¹⁾for the third quarter ended September 30, 2019 was $94 million or $0.50 per common share. Economic return on book value for the third quarter was 3.9%⁽²⁾.

“During the third quarter, we sponsored three loan securitizations and purchased $1.1 billion in loans for our investment portfolio,” said Matthew Lambiase, Chimera’s CEO and President. “Chimera continues to deliver solid performance for our shareholders with total economic return of 12.5% for the first nine months of 2019.”

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

(2) Economic return on book value is based on the change in GAAP book value per common share plus the dividend declared per common share.

Chimera Investment Corporation is a publicly traded real estate investment trust, or REIT, that is primarily engaged in the business of investing directly or indirectly through our subsidiaries, on a leveraged basis, in a diversified portfolio of mortgage assets, including residential mortgage loans, Non-Agency RMBS, Agency CMBS, Agency RMBS, and other real estate related securities.



CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
(dollars in thousands, except share and per share data)
(Unaudited)
	September 30, 2019			December 31, 2018
Cash and cash equivalents	$	160,894		$	47,486
Non-Agency RMBS, at fair value	2,649,834			2,486,130
Agency MBS, at fair value	11,615,323			12,188,950
Loans held for investment, at fair value	13,101,728			12,572,581
Accrued interest receivable	125,601			123,442
Other assets	973,681			252,582
Derivatives, at fair value, net	5,228			37,468
Total assets ⁽¹⁾	$	28,632,289		$	27,708,639
Liabilities:
Repurchase agreements ($17.0 billion and $15.8 billion pledged as collateral, respectively)	$	15,002,106		$	14,030,465
Securitized debt, collateralized by Non-Agency RMBS ($612 million and $1.0 billion pledged as collateral, respectively)	139,163			159,955
Securitized debt at fair value, collateralized by loans held for investment ($11.5 billion and $12.3 billion pledged as collateral, respectively)	7,800,786			8,455,376
Payable for investments purchased	1,484,572			1,136,157
Accrued interest payable	81,232			110,402
Dividends payable	98,006			95,986
Accounts payable and other liabilities	31,380			16,469
Total liabilities ⁽¹⁾	$	24,637,245		$	24,004,810

Commitments and Contingencies (See Note 15)

Stockholders' Equity:
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized:
8.00% Series A cumulative redeemable: 5,800,000 shares issued and outstanding, respectively ($145,000 liquidation preference)	$	58		$	58
8.00% Series B cumulative redeemable: 13,000,000 shares issued and outstanding, respectively ($325,000 liquidation preference)	130			130
7.75% Series C cumulative redeemable: 10,400,000 shares issued and outstanding, respectively ($260,000 liquidation preference)	104			104
8.00% Series D cumulative redeemable: 8,000,000 and 0 shares issued and outstanding, respectively ($200,000 liquidation preference)	80			—
Common stock: par value $0.01 per share; 500,000,000 and 300,000,000 shares authorized, 187,158,540 and 187,052,398 shares issued and outstanding, respectively	1,872			1,871
Additional paid-in-capital	4,274,721			4,072,093
Accumulated other comprehensive income	769,070			626,832
Cumulative earnings	3,662,722			3,379,489
Cumulative distributions to stockholders	(4,713,713		)	(4,376,748		)
Total stockholders' equity	$	3,995,044		$	3,703,829
Total liabilities and stockholders' equity	$	28,632,289		$	27,708,639

(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 September 30, 2019 and December 31, 2018, total assets of consolidated VIEs were $12,356,439 and $13,392,951, respectively, and total liabilities of consolidated VIEs were $7,972,942 and $8,652,158, respectively.



CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF OPERATIONS
(dollars in thousands, except share and per share data)
(Unaudited)
	For the Quarters Ended						For the Nine Months Ended
	September 30, 2019			September 30, 2018			September 30, 2019			September 30, 2018
Net interest income:
Interest income ⁽¹⁾	$	330,144		$	321,715		$	1,020,448		$	925,282
Interest expense ⁽²⁾	188,551			174,671			589,611			485,189
Net interest income	141,593			147,044			430,837			440,093
Other-than-temporary impairments:
Total other-than-temporary impairment losses	—			(772		)	(801		)	(1,871		)
Portion of loss recognized in other comprehensive income	—			(6,461		)	(4,052		)	(15,651		)
Net other-than-temporary credit impairment losses	—			(7,233		)	(4,853		)	(17,522		)
Other investment gains (losses):
Net unrealized gains (losses) on derivatives	31,620			71,197			(189,865		)	178,511
Realized gains (losses) on terminations of interest rate swaps	(148,114		)	—			(351,372		)	—
Net realized gains (losses) on derivatives	(20,178		)	2,881			(37,151		)	14,573
Net gains (losses) on derivatives	(136,672		)	74,078			(578,388		)	193,084
Net unrealized gains (losses) on financial instruments at fair value	130,825			(34,306		)	522,386			(38,204		)
Net realized gains (losses) on sales of investments	1,596			(6,123		)	2,673			(3,956		)
Gains (losses) on extinguishment of debt	—			9,263			(608		)	19,320
Total other gains (losses)	(4,251		)	42,912			(53,937		)	170,244

Other expenses:
Compensation and benefits	12,191			8,642			38,675			25,741
General and administrative expenses	6,528			5,576			18,569			16,351
Servicing fees	8,881			9,766			27,125			31,044
Transaction expenses	3,415			1,411			4,289			5,168
Total other expenses	31,015			25,395			88,658			78,304
Income (loss) before income taxes	106,327			157,328			283,389			514,511
Income taxes	1			7			156			76
Net income (loss)	$	106,326		$	157,321		$	283,233		$	514,435

Dividends on preferred stock	18,438			9,960			54,267			28,760

Net income (loss) available to common shareholders	$	87,888		$	147,361		$	228,966		$	485,675

Net income (loss) per share available to common shareholders:
Basic	$	0.47		$	0.79		$	1.22		$	2.59
Diluted	$	0.47		$	0.79		$	1.22		$	2.59

Weighted average number of common shares outstanding:
Basic	187,158,167			187,006,777			187,141,377			187,182,932
Diluted	188,440,171			187,584,958			188,331,109			187,705,831

(1) Includes interest income of consolidated VIEs of $192,622 and $223,948 for the quarters ended September 30, 2019 and 2018, respectively and $600,436 and $688,720 for the nine months ended September 30, 2019 and 2018.

(2) Includes interest expense of consolidated VIEs of $82,234 and $99,622 for the quarters ended September 30, 2019 and 2018, respectively and $260,790 and $298,744 for the nine months ended September 30, 2019 and 2018.



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

	For the Quarters Ended					For the Nine Months Ended
	September 30, 2019		September 30, 2018			September 30, 2019		September 30, 2018
Comprehensive income (loss):
Net income (loss)	$	106,326	$	157,321		$	283,233	$	514,435
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net	29,980		(50,728		)	115,198		(181,885		)
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses	—		7,233			4,853		17,522
Reclassification adjustment for net realized losses (gains) included in net income	—		(220		)	22,187		(4,603		)
Other comprehensive income (loss)	29,980		(43,715		)	142,238		(168,966		)
Comprehensive income (loss) before preferred stock dividends	$	136,306	$	113,606		$	425,471	$	345,469
Dividends on preferred stock	$	18,438	$	9,960		$	54,267	$	28,760
Comprehensive income (loss) available to common stock shareholders	$	117,868	$	103,646		$	371,204	$	316,709

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 expenses incurred in relation to securitizations. In addition, stock compensation expense charges incurred on awards to retirement eligible employees is reflected as an expense over a vesting period (36 months) rather than reported as an immediate expense.

As defined, core earnings include interest income and expense as well as periodic cash settlements on interest rate swaps used to hedge interest rate risk and other expenses. Core earnings is inclusive of preferred dividend charges, compensation and benefits (adjusted for awards to retirement eligible employees), general and administrative expenses, servicing fees, as well as income tax expenses incurred during the period. Management believes that the presentation of core earnings provides investors with a useful measure, but has important limitations. We believe core earnings as described above helps us evaluate our financial performance period over period 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. In addition, our methodology for calculating core earnings may differ from the methodologies employed by other REITs to calculate the same or similar supplemental performance measures, and accordingly, our reported core earnings may not be comparable to the core earnings reported by other REITs.

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. Certain prior period amounts have been reclassified to conform to the current period's presentation.



	For the Quarters Ended
	September 30, 2019			June 30, 2019			March 31, 2019			December 31, 2018			September 30, 2018
	(dollars in thousands, except per share data)
GAAP Net income available to common stockholders	$	87,888		$	40,322		$	100,755		$	(117,235	)	$	147,361
Adjustments:
Net other-than-temporary credit impairment losses	—			—			4,853			4,269			7,233
Net unrealized (gains) losses on derivatives	(31,620		)	132,171			89,315			319,673			(71,197		)
Net unrealized (gains) losses on financial instruments at fair value	(130,825		)	(190,748		)	(200,812		)	(84,836		)	34,306
Net realized (gains) losses on sales of investments	(1,596		)	7,526			(8,603		)	(1,213		)	6,123
(Gains) losses on extinguishment of debt	—			608			—			(7,055		)	(9,263		)
Realized (gains) losses on terminations of interest rate swaps	148,114			95,211			108,046			—			—
Net realized (gains) losses on Futures⁽¹⁾	19,138			13,544			12,579			(4,320		)	(2,799		)
Transaction expenses	3,415			812			62			4,441			1,411
Stock Compensation expense for retirement eligible awards	(145		)	(144		)	1,533			99			—
Core Earnings	$	94,369		$	99,302		$	107,728		$	113,823		$	113,175

GAAP net income per basic common share	$	0.47		$	0.22		$	0.54		$	(0.63	)	$	0.79
Core earnings per basic common share ⁽²⁾	$	0.50		$	0.53		$	0.58		$	0.61		$	0.60

(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 MBS portfolio at September 30, 2019 and December 31, 2018.



	September 30, 2019
	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	$	2,105,577	$	52.82	$	83.21	5.0	%	20.5	%
Senior, interest-only	7,795,886		3.97		3.81		1.0	%	7.9	%
Subordinated	808,647		62.97		72.96		3.8	%	7.5	%
Subordinated, interest-only	195,807		4.62		5.58		0.9	%	15.1	%
Agency MBS
Residential pass-through	7,790,386		102.32		104.46		4.0	%	3.2	%
Commercial pass-through	3,031,643		101.90		108.80		3.7	%	3.5	%
Interest-only	3,206,236		5.70		5.58		1.1	%	3.9	%
(1) Bond Equivalent Yield at period end.

	December 31, 2018
	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	$	2,386,049	$	53.40	$	81.44	5.0	%	19.5	%
Senior, interest-only	5,667,198		5.06		4.50		1.2	%	8.4	%
Subordinated	394,037		56.60		70.16		4.0	%	9.9	%
Subordinated, interest-only	221,549		4.48		5.26		1.1	%	16.4	%
Agency MBS
Residential pass-through	8,984,249		102.47		102.12		4.0	%	3.6	%
Commercial pass-through	2,895,679		101.98		99.50		3.6	%	3.4	%
Interest-only	3,028,572		4.49		4.40		0.8	%	4.3	%
(1) Bond Equivalent Yield at period end.

At September 30, 2019 and December 31, 2018, the repurchase agreements collateralized by MBS and Loans held for investment had the following remaining maturities.



	September 30, 2019		December 31, 2018
	(dollars in thousands)
Overnight	$	35,252	$	—
1 to 29 days	10,204,493		6,326,232
30 to 59 days	1,236,687		4,620,656
60 to 89 days	619,035		1,504,695
90 to 119 days	120,465		169,244
Greater than or equal to 120 days	2,786,174		1,409,638
Total	$	15,002,106	$	14,030,465

The following table summarizes certain characteristics of our portfolio at September 30, 2019 and December 31, 2018.



	September 30, 2019			December 31, 2018
Interest earning assets at period-end ⁽¹⁾	$	27,366,885		$	27,247,661
Interest bearing liabilities at period-end	$	22,942,055		$	22,645,796
GAAP Leverage at period-end	5.7:1			6.1:1
GAAP Leverage at period-end (recourse)	3.8:1			3.8:1
Portfolio Composition, at amortized cost
Non-Agency RMBS	6.3		%	4.7		%
Senior	3.1		%	2.8		%
Senior, interest only	1.2		%	1.1		%
Subordinated	2.0		%	0.8		%
Subordinated, interest only	0.0		%	0.0		%
RMBS transferred to consolidated VIEs	1.3		%	2.1		%
Agency MBS	43.8		%	46.7		%
Residential	31.1		%	35.0		%
Commercial	12.0		%	11.2		%
Interest-only	0.7		%	0.5		%
Loans held for investment	48.6		%	46.5		%
Fixed-rate percentage of portfolio	95.9		%	95.8		%
Adjustable-rate percentage of portfolio	4.1		%	4.2		%

(1) Excludes cash and cash equivalents.

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 (Gains) Losses on Interest Rate Swaps			Economic Interest Expense		GAAP Net Interest Income		Net Realized Gains (Losses) on Interest Rate Swaps			Other⁽¹⁾			Economic Net Interest Income
For the Quarter Ended September 30, 2019	$	330,144	$	188,551	$	963		$	189,514	$	141,593	$	(963	)	$	(2,465	)	$	138,165
For the Quarter Ended June 30, 2019	$	339,914	$	198,110	$	(3,923	)	$	194,187	$	141,804	$	3,923		$	(2,237	)	$	143,490
For the Quarter Ended March 31, 2019	$	350,389	$	202,950	$	(5,462	)	$	197,488	$	147,439	$	5,462		$	(1,571	)	$	151,330
For the Quarter Ended December 31, 2018	$	348,033	$	193,920	$	364		$	194,284	$	154,113	$	(364	)	$	(140	)	$	153,609
For the Quarter Ended September 30, 2018	$	321,715	$	174,671	$	(242	)	$	174,429	$	147,044	$	242		$	321		$	147,607

(1) Primarily interest expense/(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
	September 30, 2019						September 30, 2018
	(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	$	10,778,708	$	89,163	3.3	%	$	7,776,334	$	66,863	3.4	%
Non-Agency RMBS	1,497,124		36,146		9.7	%	1,186,945		29,213		9.8	%
Non-Agency RMBS transferred to consolidated VIEs	459,508		34,228		29.8	%	632,155		42,416		26.8	%
Residential mortgage loans held for investment	12,017,663		168,142		5.6	%	12,613,816		183,544		5.8	%
Total	$	24,753,003	$	327,679	5.3	%	$	22,209,250	$	322,036	5.8	%

Liabilities and stockholders' equity:
Interest-bearing liabilities:
Repurchase agreements collateralized by:
Agency MBS (2)	$	10,108,425	$	64,589	2.6	%	$	6,720,205	$	38,492	2.3	%
Non-Agency RMBS (2)	980,242		8,800		3.6	%	428,363		4,186		3.9	%
Re-REMIC repurchase agreements	395,972		4,116		4.2	%	621,042		6,681		4.3	%
RMBS from loan securitizations	3,112,001		29,775		3.8	%	2,465,678		25,449		4.1	%
Securitized debt, collateralized by Non-Agency RMBS	141,997		1,821		5.1	%	173,825		2,471		5.7	%
Securitized debt, collateralized by loans	7,677,138		80,413		4.2	%	8,938,962		97,150		4.3	%
Total	$	22,415,775	$	189,514	3.4	%	$	19,348,075	$	174,429	3.6	%

Economic net interest income/net interest rate spread			$	138,165	1.9	%			$	147,607	2.2	%

Net interest-earning assets/net interest margin	$	2,337,228			2.2	%	$	2,861,175			2.7	%

Ratio of interest-earning assets to interest bearing liabilities	1.10						1.15

(1) Interest-earning assets at amortized cost
(2) Interest includes net cash paid/received on swaps

The table below shows our Net Income and Economic Net Interest Income as a percentage of average stockholders' equity and Core Earnings as a percentage of average common stockholders' 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 our beginning and ending stockholders' equity balance for the period reported. Economic Net Interest Income and Core Earnings are non-GAAP measures as defined in previous sections.



	Return on Average Equity		Economic Net Interest Income/Average Equity *		Core Earnings/Average Common Equity
	(Ratios have been annualized)
For the Quarter Ended September 30, 2019	10.68	%	13.88	%	12.37	%
For the Quarter Ended June 30, 2019	5.93	%	14.49	%	13.10	%
For the Quarter Ended March 31, 2019	12.34	%	15.81	%	14.37	%
For the Quarter Ended December 31, 2018	(10.80	)%	16.13	%	14.79	%
For the Quarter Ended September 30, 2018	16.64	%	15.61	%	14.23	%

* 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)	September 30, 2019			June 30, 2019			March 31, 2019			December 31, 2018			September 30, 2018
	(dollars in thousands)
Balance, beginning of period	$	514,095		$	485,040		$	505,763		$	539,020		$	540,269
Accretion of discount	(33,256		)	(35,964		)	(35,551		)	(36,287		)	(35,184		)
Purchases	(13,772		)	48,736			6,638			4,589			1,966
Sales and deconsolidation	1,536			409			127			(625		)	(986		)
Transfers from/(to) credit reserve, net	26,177			15,874			8,063			(934		)	32,955
Balance, end of period	$	494,780		$	514,095		$	485,040		$	505,763		$	539,020

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 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.

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 3rd Quarter 2019

DISCLAIMER 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 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.

PORTFOLIO COMPOSITION 73% of Chimera's equity capital is allocated to mortgage credit (2) Residential Mortgage Net Investment Analysis Credit Portfolio 17 Total Assets: 15.8 billion(1) RESIDENTIAL 16 MORTGAGE AGENCY TOTAL CREDIT PORTFOLIO PORTFOLIO 15 PORTFOLIO 14 Non-Recourse 13 GROSS ASSET (Securitization) Agency Portfolio 6.8% 3.3% 5.3% (1) YIELD: 12 $7.9 Total Assets: 11.6 billion 11 FINANCING (3) 10 COSTS 4.1% 2.6% 3.4% s n 9 o i l l i NET INTEREST B 8 SPREAD: 2.7% 0.7% 1.9% 7 Recourse (Repo) 6 Recourse (Repo) $10.0 NET INTEREST $5.0 MARGIN: 3.3% 0.9% 2.2% 5 4 All data as of September 30, 2019 3 (1) Financing excludes unsettled trades. (2) Reflects third quarter 2019 average assets, yields, and spreads. 2 Equity (3) Includes the interest incurred on interest rate swaps. $2.9 1 Equity $1.1 0 Information is unaudited, estimated and subject to change. 2

GAAP ASSET ALLOCATION Chimera added to the loan portfolio during the quarter September 30, 2019 June 30, 2019 10% 10% 45% 48% 42% 45% Non-Agency MBS Agency MBS Non-Agency MBS Agency MBS Loan Portfolio Loan Portfolio Total Portfolio: $27.4 billion Total Portfolio: $27.2 billion Based on fair value. Information is unaudited, estimated and subject to change. 3

GAAP FINANCING SOURCES Chimera operates at 5.7:1 total leverage and 3.8:1 recourse leverage(1) September 30, 2019 June 30, 2019 35% 36% 43% 45% 22% 19% Agency Repurchase Agreements, RMBS Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Recourse Debt, Securitized RMBS and Loans (2) Non-Recourse Debt, Securitized RMBS and Loans (2) Total Portfolio: $22.9 billion Total Portfolio: $22.5 billion (1) Leverage ratios as of September 30, 2019 (2) Consists of tranches of RMBS and loan securitizations sold to third parties. Information is unaudited, estimated and subject to change. 4

CONSOLIDATED LOAN SECURITIZATIONS TOTAL OF VINTAGE DEAL TOTAL ORIGINAL TOTAL OF TRANCHES TOTAL REMAINING REMAINING FACE OF REMAINING FACE OF FACE TRANCHES SOLD RETAINED FACE TRANCHES SOLD TRANCHES RETAINED 2019 CIM 2019-R1 $371,762 297,409 $74,353 $366,787 292,382 $74,405 2018 CIM 2018-NR1 $257,548 — $257,548 $198,597 — $198,597 2018 CIM 2018-R6 478,251 334,775 143,476 421,405 278,462 142,943 2018 CIM 2018-R5 380,194 266,136 114,058 324,148 210,697 113,451 2018 CIM 2018-R4 387,222 271,056 116,166 338,125 222,486 115,639 2018 CIM 2018-R3 181,073 146,669 34,404 145,903 111,746 34,157 2018 CIM 2018-R2 380,292 266,204 114,088 310,206 196,021 114,185 2018 CIM 2018-R1 169,032 140,297 28,735 140,640 111,699 28,941 2017 CMLTI 2017-RP2 421,329 341,276 80,053 343,240 263,941 79,299 2017 CIM 2017-8 1,148,050 688,829 459,221 911,477 457,942 453,535 2017 CIM 2017-7 512,446 341,062 171,384 406,106 238,797 167,309 2017 CIM 2017-6 782,725 626,179 156,546 594,585 440,311 154,274 2017 CIM 2017-5 377,034 75,407 301,627 298,215 74,013 224,202 2017 CIM 2017-4 830,510 710,003 120,507 497,136 390,251 106,885 2017 CIM 2017-3 2,434,640 2,113,267 321,373 1,622,913 1,315,568 307,345 2017 CIM 2017-2 331,440 248,580 82,860 243,345 162,479 80,866 2017 CIM 2017-1 526,267 368,387 157,880 363,170 210,640 152,530 2016 CIM 2016-FRE1 185,811 115,165 70,646 126,143 61,138 65,005 2016 CIM 2016-4 601,733 493,420 108,313 380,720 276,174 104,546 2016 CIM 2016-3 1,746,084 1,478,933 267,151 1,048,538 806,486 242,052 2016 CIM 2016-2 1,762,177 1,492,563 269,614 1,051,505 805,759 245,746 2016 CIM 2016-1 1,499,341 1,266,898 232,443 884,864 680,856 204,008 2012 CSMC 2012-CIM1 741,939 707,810 34,129 43,724 18,560 25,164 2012 CSMC 2012-CIM2 425,091 404,261 20,830 36,162 19,719 16,443 2012 CSMC 2012-CIM3 329,886 305,804 24,082 96,324 79,412 16,912 2008 PHHMC 2008-CIM1 619,710 549,142 70,568 25,514 18,656 6,858 TOTAL $17,881,587 $14,049,532 $3,832,055 $11,219,492 $7,744,195 $3,475,297 All data as of September 30, 2019 $ in thousands Information is unaudited, estimated and subject to change. 5

AGENCY SECURITIES AND REPO SUMMARY Agency Securities – As of September 30, 2019 Agency Securities – As of June 30, 2019 WEIGHTED WEIGHTED SECURITY TYPE COUPON(1) CURRENT AVERAGE WEIGHTED SECURITY TYPE COUPON(1) CURRENT AVERAGE WEIGHTED FACE MARKET PRICE AVERAGE CPR FACE MARKET PRICE AVERAGE CPR 3.5% $588,780 103.6 14.9 3.5% $620,190 103.0 10.0 Agency Pass- 4.0% 6,603,563 104.3 26.2 Agency Pass- 4.0% 7,181,831 103.8 13.9 through through 4.5% 358,064 106.6 23.8 4.5% 386,226 105.5 18.7 5.0% 239,977 107.2 37.1 5.0% 270,623 105.7 34.2 Commercial 3.7% 3,031,644 108.8 — Commercial 3.6% 3,036,622 105.9 0.1 Agency IO 1.1% N/M(2) 5.6 6.9 Agency IO 1.1% N/M(2) 5.4 5.2 Total $10,822,028 Total $11,495,492 Repo Days to Maturity – As of September 30, 2019 Repo Days to Maturity – As of June 30, 2019 PRINCIPAL WEIGHTED AVERAGE WEIGHTED AVERAGE PRINCIPAL WEIGHTED AVERAGE WEIGHTED AVERAGE MATURITY BALANCE RATE DAYS MATURITY BALANCE RATE DAYS Within 30 days $9,121,803 2.28% Within 30 days $4,337,493 2.66% 30 to 59 days 843,045 2.24% 30 to 59 days 5,873,771 2.61% 60 to 89 days — —% 60 to 89 days 5,196 2.68% 90 to 360 days — —% 90 to 360 days — —% Total $9,964,848 2.28% 16 Days Total $10,216,460 2.63% 31 Days (1) Coupon is a weighted average for Commercial and Agency IO (2) Notional Agency IO was $3.2 billion and $2.8 billion as of September 30, 2019 and June 30, 2019 respectively. Information is unaudited, estimated and subject to change. 6

INTEREST RATE SENSITIVITY Chimera rebalanced its Agency hedge portfolio during the quarter DESCRIPTION - 100 BASIS - 50 BASIS +50 BASIS +100 BASIS ($ in thousands) POINTS POINTS UNCHANGED POINTS POINTS Hedge Book Maturities Market Value $ 12,004,559 $ 11,810,986 $ 11,615,323 $ 11,391,232 $ 11,127,588 Agency Securities 0% Percentage Change 3.4 % 1.7 % - (1.9)% (4.2)% 15% Market Value (281,120) (137,912) - 133,016 261,335 Swaps Percentage Change (2.4)% (1.2)% - 1.1 % 2.2 % Market Value (35,790) (17,649) - 17,212 33,979 Futures Percentage Change (0.3)% (0.2)% - 0.1 % 0.3 % Market Value 72,326 40,102 - (73,863) (192,421) 85% Net Gain/(Loss) Percentage Change in Portfolio Value(1) 0.6 % 0.3 % - (0.6)% (1.7)% Total Notional Balance - Derivative Instruments Short Term 3-5 September 30, 2019 June 30, 2019 Medium Term 5-10 Interest Rate Swaps 4,390,700 7,706,700 Long Term 10-30 Swaptions 25,000 25,000 Futures 619,700 619,700 (1) Based on instantaneous moves in interest rates. Information is unaudited, estimated and subject to change. 7

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(d)	Exhibits

99.1	Press Release, dated October 30, 2019, issued by Chimera Investment Corporation
99.2	Supplemental Financial Information for the quarter ended September 30, 2019