CHIMERA INVESTMENT CORP (Form: 8-K, Received: 11/03/2015 16:47:39)

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):
November 3, 2015

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

Maryland

1-33796

26-0630461

(State or Other Jurisdiction

of Incorporation)

(Commission

File Number)

(IRS Employer

Identification No.)

520 Madison Avenue New York, New York	10022
(Address of principal executive offices)	(Zip Code)

Registrant’s telephone number, including area code: (212) 626-2300

No Change
(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 November 3, 2015, the registrant issued a press release announcing its financial results for the quarter ended September 30, 2015. A copy of the press release is furnished as Exhibit 99.1 to this report.

On November 3, 2015, 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 November 3, 2015, issued by Chimera Investment Corporation

99.2 Supplemental Financial Information for the quarter ended September 30, 2015.

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:	November 3, 2015

Exhibit 99.1

CHIMERA INVESTMENT CORPORATION RELEASES 3RD QUARTER 2015 EARNINGS

CORE EARNINGS OF $98 MILLION OR $0.50 PER SHARE
PURCHASED 16.6 MILLION OR 8% OF CHIMERA’S OUTSTANDING SHARES FOR $231 MILLION OR $13.94 PER SHARE; A 17% DISCOUNT FROM Q2 2015 ENDING GAAP BOOK VALUE PER SHARE
BECAME A MEMBER OF THE FEDERAL HOME LOAN BANK OF DES MOINES THROUGH WHOLLY-OWNED INSURANCE COMPANY
GAAP BOOK VALUE OF $16.38 PER SHARE
GAAP NET LOSS OF $48 MILLION OR $0.24 PER SHARE

NEW YORK--(BUSINESS WIRE)--November 3, 2015--"Chimera had a number of positive advances in the third quarter. We made significant progress in our transition to a fully independent, internally managed mortgage REIT, repurchased $231 million of our stock and became a member of the Federal Home Loan Bank System. Chimera has also taken a number of steps to position our portfolio and balance sheet in light of the continuing volatility in the fixed income market. This includes lowering our interest rate risk by reducing our Agency portfolio by $2 billion earlier this year, increasing the notional balances of our interest rate swaps and extending the term of our non-agency financing. Given the current uncertainty around interest rates, we believe defending book value in the near term while creating an investor friendly operating structure will be the right path to maximizing value for our shareholders over the long term."

3rd Quarter 2015 Financial Results and Highlights

Core earnings ⁽¹⁾ of $0.50 per share down, from $0.53 earned in the 2 ^nd quarter of 2015 and $0.56 earned in the 3 ^rd quarter of 2014. Core earnings for the third quarter were based on 198 million average shares outstanding for the quarter compared to 189 million shares currently outstanding.
Net interest income of $144 million, down from $150 million in the 2 ^nd quarter of 2015 and $151 million in the 3 ^rd quarter of 2014
GAAP book value of $16.38 per share, down from $16.73 per share for the 2 ^nd quarter of 2015 and down from $17.50 per share in the 3 ^rd quarter of 2014
Economic book value of $15.28 per share, down from $15.54 per share for the 2 ^nd quarter of 2015 and $15.75 for the 3 ^rd quarter of 2014
Purchased 8% of Chimera’s outstanding shares during the quarter which is expected to be beneficial to Chimera’s shareholders in future quarters.
- Purchased all shares held by Annaly, 4.4% of outstanding, for $14.05 per share.
- Open market purchases were executed at $13.81 per share for an average of $13.94 per share on all purchases.
Exercised call right on Springleaf 2012-2 trust and securitized related mortgage loans in a new CIM 2015-3AG trust reducing financing costs from 4.1% to 2.2%. Incurred $2.4m of non-recurring deal expenses during the third quarter in relation to this transaction.

(1) Core earnings is a non-GAAP measure and is defined as GAAP net income (loss) excluding unrealized gains on the aggregate portfolio, impairment losses, realized gains on sales of investments, gain on deconsolidation, extinguishment of debt and certain other non-recurring gains or losses. Core earnings includes interest income and expense as well as realized gains or losses on derivatives used to hedge interest rate risk, including $9m of realized losses on treasury futures during the 3 ^rd quarter of 2015. Core earnings is provided for purposes of comparability to other peer issuers, but has important limitations. 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.

Gross asset yields were 8.3% on the residential mortgage credit portfolio and 2.8% on the Agency MBS portfolio. The net interest spread on the total portfolio was 3.4% and net interest margin was 4.0% reflecting total leverage of 3.8:1 and recourse “at risk” leverage of 2.5:1 at September 30, 2015.

The Company declared a common stock dividend of $0.48 per share for the quarter ended September 30, 2015. The annualized dividend yield on the Company’s common stock for the quarter ended September 30, 2015 was 14%.

Other Information

Chimera Investment Corporation invests in residential mortgage loans, residential mortgage-backed securities, real estate-related securities and various other asset classes. The Company’s principal business objective is to generate income from the spread between yields on its investments and its cost of borrowing and hedging activities. The Company is a Maryland corporation that has elected to be taxed as a real estate investment trust (“REIT”).

Please visit www.chimerareit.com and click on Investor Relations for additional information about the Company.

CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
(dollars in thousands, except share and per share data)
(Unaudited)

	September 30, 2015		December 31, 2014
Assets:
Cash and cash equivalents	$	40,097	$	164,620
Non-Agency RMBS, at fair value		3,789,967		3,404,149
Agency RMBS, at fair value		6,514,728		8,441,522
Securitized loans held for investment, net of allowance for loan losses of $0 million and $7 million, respectively		-		626,112
Securitized loans held for investment, at fair value		5,281,652		4,699,215
Receivable for investments sold		57,680		1,572,056
Accrued interest receivable		69,774		71,099
Other assets		173,512		172,601
Derivatives, at fair value, net		12,235		3,631
Total assets (1)	$	15,939,645	$	19,155,005

Liabilities:
Repurchase agreements, RMBS ($8.5 billion and $9.3 billion pledged as collateral, respectively)	$	7,150,821	$	8,455,381
Securitized debt, collateralized by Non-Agency RMBS ($2.2 billion and $2.5 billion pledged as collateral, respectively)		571,853		704,915
Securitized debt, collateralized by loans held for investment ($0 million and $626 million pledged as collateral, respectively)		-		521,997
Securitized debt at fair value, collateralized by loans held for investment ($5.3 billion and $4.7 billion pledged as collateral, respectively)		4,221,295		3,868,366
Payable for investments purchased		715,512		1,845,282
Accrued interest payable		39,842		31,888
Dividends payable		91,383		92,483
Accounts payable and other liabilities		11,516		2,469
Investment management fees payable		3,992		10,357
Derivatives, at fair value		14,714		14,177
Total liabilities (1)		12,820,928		15,547,315

Commitments and Contingencies (See Note 16)

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, 190,394,216 and 205,546,144 shares issued and outstanding, respectively		10,163		10,275
Additional paid-in-capital		3,394,637		3,606,191
Accumulated other comprehensive income		935,248		1,046,680
Accumulated deficit		(1,221,331)		(1,055,456)
Total stockholders' equity	$	3,118,717	$	3,607,690
Total liabilities and stockholders' equity	$	15,939,645	$	19,155,005

(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 Corp.). As of September 30, 2015 and December 31, 2014, total assets of consolidated VIEs were $7,649,737 and $7,924,232, respectively, and total liabilities of consolidated VIEs were $4,806,481 and $5,111,348, 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, 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 gains or losses on derivatives used to hedge interest rate risk. Core earnings are provided for the purpose of comparability to other peer issuers, but have important limitations. Core earnings as described above helps evaluate our financial performance without the impact of certain transactions and 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 quarters ended September 30, 2015 and 2014 and details with respect to reconciling the line items to core earnings and related per average basic common share amounts:

	For the Quarter Ended						For the Nine Months Ended
	September 30, 2015			September 30, 2014			September 30, 2015			September 30, 2014
	(dollars in thousands, except per share data)
GAAP Net income	$	(48,259	)	$	377,580		$	134,969		$	582,717
Adjustments:
Net other-than-temporary credit impairment losses		17,832			1,990			52,748			8,871
Net unrealized gains (losses) on derivatives		71,540			(12,975	)		(20,543	)		11,720
Net unrealized (gains) losses on financial instruments at fair value		40,955			(162,921	)		88,640			(183,722	)
Net realized (gains) losses on sales of investments		(3,539	)		(64,107	)		(42,789	)		(68,145	)
(Gains) losses on extinguishment of debt		19,915			-			14,836			2,184
Gain on deconsolidation		-			-			-			(47,846	)
Realized (gains) losses on terminations of interest rate swaps		-			-			99,703			-
Other (income) expense		-			(23,783	)		-			(23,783	)
Core Earnings	$	98,444		$	115,784		$	327,564		$	281,996

GAAP net income per basic common share	$	(0.24	)	$	1.85		$	0.65		$	2.85
Core earnings per basic common share	$	0.50		$	0.55		$	1.61		$	1.36

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 Nine Months Ended
Net Interest Income:	September 30, 2015			September 30, 2014			September 30, 2015			September 30, 2014
Interest income (1)	$	211,876		$	190,355		$	670,825		$	445,340



Interest expense (2)		67,910			38,886			194,410			81,991
Net interest income		143,966			151,469			476,415			363,349

Other-than-temporary impairments:
Total other-than-temporary impairment losses		(3,129	)		(726	)		(6,389	)		(4,939	)
Portion of loss recognized in other comprehensive income		(14,703	)		(1,264	)		(46,359	)		(3,932	)
Net other-than-temporary credit impairment losses		(17,832	)		(1,990	)		(52,748	)		(8,871	)

Other investment gains (losses):
Net unrealized gains (losses) on derivatives		(71,540	)		12,975			20,543			(11,720	)

Realized gains (losses) on terminations of interest rate swaps		-			-			(99,703	)		-
Net realized gains (losses) on derivatives		(21,160	)		(23,152	)		(80,023	)		(48,692	)
Net gains (losses) on derivatives		(92,700	)		(10,177	)		(159,183	)		(60,412	)
Net unrealized gains (losses) on financial instruments at fair value		(40,955	)		162,921			(88,640	)		183,722
Net realized gains (losses) on sales of investments		3,539			64,107			42,789			68,145
Gain on deconsolidation		-			-			-			47,846
Gains (losses) on Extinguishment of Debt		(19,915	)		-			(14,836	)		(2,184	)
Realized losses on principal write-downs of Non-Agency RMBS		-						-			-
Total other gains (losses)		(150,031	)		216,851			(219,870	)		237,117

Other expenses:
Management fees		4,088			9,381			24,610			21,873
Expense recoveries from Manager		(1,140	)		(1,975	)		(6,905	)		(4,820	)
Net management fees		2,948			7,406			17,705			17,053
Compensation and benefits		3,955			-			4,482			-
General and administrative expenses		8,534			2,538			22,028			11,996
Servicing Fees of consolidated VIEs		6,499			2,589			19,276			3,610
Deal Expenses		2,426			-			5,337			-
Other (income) expense		-			(23,783	)		-			(23,783	)
Total other expenses		24,362			(11,250	)		68,828			8,876

Income (loss) before income taxes		(48,259	)		377,580			134,969			582,719
Income taxes		-			-			-			2
Net income (loss)	$	(48,259	)	$	377,580		$	134,969		$	582,717

Net income (loss) per share available to common shareholders:
Basic	$	(0.24	)	$	1.85		$	0.65		$	2.85
Diluted	$	(0.24	)	$	1.85		$	0.65		$	2.85

Weighted average number of common shares outstanding:
Basic		197,787,858			205,436,676			202,891,610			205,443,605
Diluted		197,875,408			205,501,776			202,979,160			205,508,748

Comprehensive income (loss):
Net income (loss)	$	(48,259	)	$	377,580		$	134,969		$	582,717
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net		16,512			(74,155	)		(121,142	)		63,995
Reclassification adjustment for net losses included in net income for other-than- temporary credit impairment losses		17,832			1,990			52,748			8,871
Reclassification adjustment for net realized losses (gains) included in net income		(3,903	)		(62,477	)		(43,038	)		(70,817	)
Reclassification adjustment for gain on deconsolidation included in net income		-			-			-			(47,846	)
Other comprehensive income (loss)		30,441			(134,642	)		(111,432	)		(45,797	)
Comprehensive income (loss)	$	(17,818	)	$	242,938		$	23,537		$	536,920

(1)		Includes interest income of consolidated VIEs of $142,053 and $103,742 for the quarters ended September 30, 2015 and 2014, respectively.
		Includes interest income of consolidated VIEs of $439,571 and $274,215 for the nine months ended September 30, 2015 and 2014, respectively.
		See Note 8 for further discussion.

(2)		Includes interest expense of consolidated VIEs of $50,837 and $28,984 for the quarters ended September 30, 2015 and 2014, respectively.
		Includes interest expense of consolidated VIEs of $148,017 and $66,859 for the nine months ended September 30, 2015 and 2014, respectively.
		See Note 8 for further discussion.

The following tables provide a summary of the Company’s RMBS portfolio at September 30, 2015 and December 31, 2014.

All Portfolio Assets
		September 30, 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	$	3,691,932	$	57.29	$	78.46	3.8%	17.2%
	Senior, interest-only		5,673,250		4.77		4.31	1.6%	13.0%
	Subordinated		821,814		63.76		77.25	3.1%	10.1%
	Subordinated, interest-only		297,851		5.61		4.65	1.3%	10.9%
Agency MBS
	Residential pass-through		5,061,800		105.21		105.68	3.8%	3.1%
	Commercial pass-through		853,404		102.21		104.14	3.4%	3.0%
	Interest-only		6,593,418		4.25		4.20	0.8%	3.6%

(1) Bond Equivalent Yield at period end.

		December 31, 2014
		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	$	3,435,362	$	55.09	$	79.63	4.3%	15.9%
	Senior, interest-only		5,221,937		4.35		3.97	1.6%	14.4%
	Subordinated		690,599		50.18		65.79	3.1%	10.6%
	Subordinated, interest-only		216,403		4.43		3.14	0.9%	9.2%
Agency MBS
	Pass-through		7,774,266		104.96		106.19	4.0%	3.2%
	Interest-only		3,884,523		4.89		4.79	0.9%	3.1%

(1) Bond Equivalent Yield at period end.

At September 30, 2015 and December 31, 2014, the repurchase agreements collateralized by RMBS had the following remaining maturities.

	September 30, 2015		December 31, 2014
	(dollars in thousands)
Overnight	$	33,119	$	-
1 to 29 days		1,620,979		2,652,717
30 to 59 days		1,846,105		1,371,856
60 to 89 days		877,448		656,915
90 to 119 days		1,224,940		2,068,740
Greater than or equal to 120 days		1,548,230		1,705,153
Total	$	7,150,821	$	8,455,381

Average days to maturity	114 Days		100 Days

The following table summarizes certain characteristics of our portfolio at September 30, 2015 and December 31, 2014.

	September 30, 2015			December 31, 2014

Interest earning assets at period-end (1)	$	15,586,347		$	17,170,998
Interest bearing liabilities at period-end	$	11,943,969		$	13,550,659
Leverage at period-end		3.8:1			3.8:1
Leverage at period-end (recourse)		2.5:1			2.6:1
Portfolio Composition, at amortized cost
Non-Agency RMBS		9.8	%		5.1	%
Senior		4.3	%		1.5	%
Senior, interest only		1.8	%		1.4	%
Subordinated		3.6	%		2.2	%
Subordinated, interest only		0.1	%		0.1	%
RMBS transferred to consolidated VIEs		10.2	%		10.3	%
Agency MBS		44.3	%		52.1	%
Residential		36.4	%		50.9	%
Commercial		6.0	%		N/A
Interest-only		1.9	%		1.2	%
Securitized loans held for investment		35.7	%		32.5	%
Fixed-rate percentage of portfolio		85.6	%		92.5	%
Adjustable-rate percentage of portfolio		14.4	%		7.5	%
Annualized yield on average interest earning assets for the year ended		6.1	%		6.9	%
Annualized cost of funds on average borrowed funds for the year ended (2)		2.5	%		2.5	%
(1) Excludes cash and cash equivalents.
(2) Includes the effect of realized losses on interest rate swaps.

The tables below present the adjustments to GAAP book value that we believe are necessary to adequately reflect our calculation of estimated economic book value as of September 30, 2015 and December 31, 2014.

September 30, 2015
(dollars in thousands, except per share data)

GAAP Book Value	$	3,118,717
GAAP Book Value per Share	$	16.38

Economic Adjustments:
Assets of Consolidated VIEs		(7,525,004	)
Non-Recourse Liabilities of Consolidated VIEs		4,793,148
Interests in VIEs eliminated in consolidation		2,522,817

Total Adjustments - Net		(209,039	)
Total Adjustments - Net (per share)		1.10

Economic Book Value	$	2,909,678
Economic Book Value per Share	$	15.28



December 31, 2014
(dollars in thousands, except per share data)

GAAP Book Value	$	3,607,690
GAAP Book Value per Share	$	17.55

Economic Adjustments:
Assets of Consolidated VIEs		(7,798,794	)
Non-Recourse Liabilities of Consolidated VIEs		5,095,278
Interests in VIEs eliminated in consolidation		2,367,953

Total Adjustments - Net		(335,563	)
Total Adjustments - Net (per share)		1.65

Economic Book Value	$	3,272,127
Economic Book Value per Share	$	15.90

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, 2015					September 30, 2014
			(dollars in thousands)
			Average Balance		Interest		Average Yield/Cost	Average Balance		Interest		Average Yield/Cost
Assets:
	Interest-earning assets (1):
		Agency RMBS	$	5,935,743	$	42,132	2.8%	$	7,614,237	$	64,065	3.4%
		Non-Agency RMBS		1,450,827		27,579	7.6%		812,667		22,544	11.1%
		Non-Agency RMBS transferred to consolidated VIEs		1,527,414		65,028	17.0%		1,787,994		71,108	15.9%
		Jumbo Prime securitized residential mortgage loans held for investment		510,708		3,972	3.1%		710,865		5,282	3.0%
		Seasoned sub-prime securitized residential mortgage loans held for investment		4,664,014		73,054	6.3%		1,556,948		27,352	7.0%
Total			$	14,088,706	$	211,765	6.0%	$	12,482,711	$	190,351	6.1%

Liabilities and stockholders' equity:
	Interest-bearing liabilities:
		Agency repurchase agreements (2)	$	5,243,274	$	18,690	1.4%	$	7,181,000	$	23,872	1.3%
		Non-Agency repurchase agreements		1,772,806		9,739	2.2%		560,836		3,162	2.3%
		Securitized debt, collateralized by Non-Agency RMBS		598,562		9,946	6.6%		765,028		13,540	7.1%
		Securitized debt, collateralized by jumbo prime residential mortgage loans		401,222		3,227	3.2%		588,699		5,205	3.5%
		Securitized debt, collateralized by seasoned sub-prime residential mortgage loans		3,843,969		35,449	3.7%		1,255,689		10,239	3.3%
Total			$	11,859,833	$	77,051	2.6%	$	10,351,252	$	56,018	2.2%

Net economic interest income/net interest rate spread					$	134,714	3.4%			$	134,333	3.9%

Net interest-earning assets/net interest margin			$	2,228,873			4.0%	$	2,131,459			4.3%

Ratio of interest-earning assets to interest bearing liabilities				1.19					1.21
(1) Interest-earning assets at amortized cost
(2) Interest includes cash paid on swaps


			For the Nine Months Ended
			September 30, 2015					September 30, 2014
			(dollars in thousands)
			Average Balance		Interest		Average Yield/Cost	Average Balance		Interest		Average Yield/Cost
Assets:
	Interest-earning assets (1):
		Agency RMBS	$	6,713,571	$	154,739	3.1%	$	4,321,091	$	109,322	3.4%
		Non-Agency RMBS		1,224,947		77,654	8.5%		796,297		61,791	10.3%
		Non-Agency RMBS transferred to consolidated VIEs		1,583,689		202,096	17.0%		1,921,600		225,417	15.6%
		Jumbo Prime securitized residential mortgage loans held for investment		560,772		18,225	4.3%		742,858		21,446	3.8%
		Seasoned sub-prime securitized residential mortgage loans held for investment		4,581,975		219,250	6.4%		518,983		27,352	7.0%
Total			$	14,664,954	$	671,964	6.1%	$	8,300,829	$	445,328	7.2%

Liabilities and stockholders' equity:
	Interest-bearing liabilities:
		Agency repurchase agreements (2)	$	5,945,916	$	57,930	1.3%	$	3,921,089	$	46,036	1.6%
		Non-Agency repurchase agreements		1,466,067		24,017	2.2%		246,603		3,939	2.1%
		Securitized debt, collateralized by Non-Agency RMBS		645,086		27,111	5.6%		823,113		39,559	6.4%
		Securitized debt, collateralized by jumbo prime residential mortgage loans		449,424		13,725	4.1%		621,142		17,061	3.7%
		Securitized debt, collateralized by seasoned sub-prime residential mortgage loans		3,817,215		104,965	3.7%		418,563		10,239	3.3%
Total			$	12,323,708	$	227,748	2.5%	$	6,030,510	$	116,834	2.6%

Net economic interest income/net interest rate spread					$	444,216	3.6%			$	328,494	4.6%

Net interest-earning assets/net interest margin			$	2,341,246			4.0%	$	2,270,319			5.3%

Ratio of interest-earning assets to interest bearing liabilities				1.19					1.38
(1) Interest-earning assets at amortized cost
(2) Interest includes cash paid on swaps

CONTACT:
Chimera Investment Corporation
Investor Relations
866-315-9930
www.chimerareit.com

Exhibit 99.2

Q3 2015 Supplemental Financial Information November 4, 2015

Disclaimer This material is not intended to be exhaustive, is preliminary in nature and may be subject to change. In addition, much of the information contained herein is based on various assumptions (some of which are beyond the control of Chimera Investment Corporation, the “Company”) and may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as “believe,” “expect,” “anticipate,” “estimate,” “plan,” “continue,” “intend,” “should,” “may,” “would,” “projected,” “will” or similar expressions, or variations on those terms or the negative of those terms. The Company’s forward-looking statements are subject to numerous risks, uncertainties and other factors. Furthermore, none of the financial information contained in this material has been audited or approved by the Company’s independent registered public accounting firm.

Portfolio Composition as of September 30, 2015 : Excludes unsettled trades. Includes the interest incurred on interest rate swaps. : Total Portfolio: $15.6 Billion Total Capital: $3.1 Billion Total Leverage: 3.8:1 Net Investment Analysis Agency MBS Portfolio Total Assets: $6.5 Billion(1) Residential Mortgage Credit Portfolio Total Assets: $9.1 Billion(1)

September 30, 2015 : June 30, 2015 : GAAP Asset Allocation: Quarter Over Quarter Comparison(1) : (1) Based on Fair Value. Total Portfolio: $15.4 Billion

(1) Consists of tranches of RMBS and loan securitizations sold to third parties. : September 30, 2015 : June 30, 2015 : GAAP Financing Sources: Quarter Over Quarter Comparison Total Financing: $11.9 Billion Total Financing: $11.7 Billion

Agency & Repo Summary Agency Securities – As of September 30, 2015 Repo Days to Maturity – As of September 30, 2015 Agency Securities – As of June 30, 2015 Repo Days to Maturity – As of June 30, 2015 : ($ in thousands) : Coupon is a weighted average for Commercial and Agency IO Notional Agency IO was $6.6 and $6.8 million as of 9/30/2015 and 6/30/2015 respectively. Excludes unsettled trades

Interest Rate Sensitivity as of September 30, 2015 : Agency, Swap and Derivative Portfolio : Based on instantaneous moves in interest rates.

Consolidated RMBS & Loan Securitizations : Contains collateral from Springleaf 2012-2A Trust. Contains collateral from Springleaf 2012-1A Trust. Contains collateral from Springleaf 2011-1A Trust. Contains collateral from CSMC 2010-12R. Trust. ($ in thousands) At Issuance / Acquisition As of September 30, 2015 Vintage Deal Type Total Original Face Total of Tranches Sold Total of Tranches Retained Total Remaining Face Remaining Face of Tranches Sold Remaining Face of Tranches Retained 2015 Whole Loan Securitization CSMC 2015-RPL4 $397,098 $186,636 $210,462 $392,753 $341,131 $51,622 2015 Whole Loan Securitization CIM 2015-3AG(1) 698,812 520,935 177,877 680,136 503,747 176,390 2015 Whole Loan Securitization CIM 2015-2AG(2) 330,293 276,998 53,295 308,520 256,527 51,993 2015 Whole Loan Securitization CIM 2015-1EC 268,731 214,985 53,746 256,260 201,301 54,959 2014 Whole Loan Securitization CSMC 2014-CIM1(3) 333,865 268,087 65,779 294,081 229,439 64,642 2011-2013 Whole Loan Securitization SLFMT 2012-3A 1,030,568 899,686 130,882 756,955 521,803 235,152 2011-2013 Whole Loan Securitization SLFMT 2013-1A 1,021,846 1,019,291 2,555 781,311 721,298 60,013 2011-2013 Whole Loan Securitization SLFMT 2013-2A 1,137,308 1,134,464 2,844 953,738 917,028 36,710 2011-2013 Whole Loan Securitization SLFMT 2013-3A 500,390 499,139 1,251 449,584 286,344 163,240 2014 RMBS Securitization CSMC 2014-4R(4) 367,271 - 367,271 300,443 - 300,443 2012 Whole Loan Securitization CSMC 2012-CIM1 741,939 707,810 34,129 122,303 90,617 31,686 2012 Whole Loan Securitization CSMC 2012-CIM2 425,091 404,261 20,830 97,296 77,658 19,638 2012 Whole Loan Securitization CSMC 2012-CIM3 329,886 305,804 24,082 181,189 160,378 20,811 2010 RMBS Securitization CSMC 2010-1R 1,730,581 691,630 1,038,951 751,180 46,530 704,650 2010 RMBS Securitization CSMC 2010-11R 566,571 338,809 227,762 328,664 113,783 214,881 2009 RMBS Securitization CSMC 2009-12R 1,730,698 915,566 815,132 685,116 159,975 525,141 2009 RMBS Securitization JPMRR 2009-7 1,522,474 856,935 665,539 622,852 218,431 404,420 2009 RMBS Securitization JMAC 2009-R2 281,863 192,500 89,363 110,740 50,065 60,675 2008 Whole Loan Securitization PHHMC 2008-CIM1 619,710 549,142 70,568 79,569 56,903 22,666 TOTAL $14,034,995 $9,982,678 $4,052,318 $8,152,690 $4,952,958 $3,199,732 % of origination remaining 58% 50% 79%

Q3 2015 Supplemental Financial Information