EX-99.1 2 a50846167ex99_1.htm EXHIBIT 99.1

Exhibit 99.1

GRAPHIC Information is unaudited, estimated and subject to change. WWW.ANNALY.COM CHIMERAREIT.COM Supplemental Financial Information as of December 2013

GRAPHIC Information is unaudited, estimated and subject to change. 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, including the impact of the transition to a new independent registered public accounting firm and the Company’s ability to timely complete the process necessary to file its quarterly and annual reports for the quarters and year subsequent to September 30, 2013. Furthermore, none of the financial information contained in this material has been audited or approved by the Company’s independent registered public accounting firm.

GRAPHIC Information is unaudited, estimated and subject to change. Chimera GAAP Asset Allocation: Quarter Over Quarter Comparison (1)The cash balance includes net trade date receivables. (2)Consists of RMBS and loans transferred to variable interest entities which are consolidated under GAAP December 31, 2013 September 30, 2013 Total Portfolio: $6.9 Billion (2) Total Portfolio: $7.0 Billion (2) 56% 29% 6% 4% 4% Consolidated RMBS & Loans Agency RMBS Non-Agency Subordinate Non-Agency Senior IO Cash and Cash Equivalents(1) 55% 29% 7% 3% 5% 1% Consolidated RMBS & Loans Agency RMBS Non-Agency Subordinate Non-Agency Senior IO Cash and Cash Equivalents Non-Agency Senior(1)

GRAPHIC Information is unaudited, estimated and subject to change. GAAP Financing Sources: Quarter Over Quarter Comparison (1) Consists of tranches of RMBS and loan securitizations sold to third parties. December 31, 2013 September 30, 2013 Total Financing: $3.3 Billion Total Financing: $3.3 Billion (1) (1) 51% 49% Repurchase Agreements, Agency RMBS Non-Recourse Liabilities of Consolidated RMBS and Loans48% 52% Repurchase Agreements, Agency RMBS Non-Recourse Liabilities of Consolidated RMBS and Loans

GRAPHIC Information is unaudited, estimated and subject to change. Maturity Principal Balance Weighted Average Rate Weighted Average Days 2 to 30 days $644,332 0.40% 31 to 59 days 606,945 0.43% 90 to 119 days 129,049 0.47% 120 to 360 days 278,235 0.58% Total $1,658,561 0.44% 58 Coupon Current Face Weighted Average Price Weighted Average CPR 3.00% $132,755 96.24 6.2 3.50% 278,043 106.42 5.7 4.00% 803,994 106.19 4.4 4.50% 594,338 102.94 11.8 5.50% 78,981 103.13 18.4 7.00% 10,020 103.26 72.1 Totals $1,898,131 Agency & Repo Summary Agency Pass-Throughs – As of December 31, 2013 Repo Days to Maturity - As of December 31, 2013 Agency Pass-Throughs – As of September 30, 2013 Repo Days to Maturity - As of September 30, 2013 Maturity Principal Balance Weighted Average Rate Weighted Average Days 2 to 30 days $725,407 0.39% 31 to 59 days 654,992 0.40% 90 to 119 days 23,475 0.43% 120 to 360 days 185,451 0.58% Total $1,589,325 0.42% 58 ($ in thousands) Coupon Current Face Weighted Average Price Weighted Average CPR 3.00% $99,705 96.46 1.0 3.50% 285,021 106.42 7.5 4.00% 821,551 106.16 9.0 4.50% 614,367 102.93 14.0 5.50% 86,998 103.13 31.0 7.00% 12,378 103.26 51.9 Totals $1,920,020

GRAPHIC Information is unaudited, estimated and subject to change. Interest Rate Sensitivity Agency Pass-Through Portfolio and Swap Book Note: As of December 31, 2013. ($ in thousands) Description-50 basis pointsUnchanged+50 basis points+100 basis points Agency Market Value$2,009,845$1,961,268$1,907,651$1,850,512MTM Gain48,5770(53,617)(110,756)Percentage Change2.5%(2.7)%(5.6)% Swaps Current Face$1,355,000$1,355,000$1,355,000$1,355,000MTM Gain(13,979)013,76127,308Percentage Change(1.0)%1.0%2.0%FuturesCurrent Face$550,000$550,000$550,000$550,000MTM Gain(17,075)016,75133,016Percentage Change(3.1)%3.0%6.0%Net Gain / (Loss)$17,523$0($23,105)($50,432)

GRAPHIC Information is unaudited, estimated and subject to change. Consolidated Securitizations ($ in thousands) At Origination As of December 31, 2013 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 2012 Whole Loan Securitization CSMC - 2012-CIM1 $741,939 $707,810 $34,129 $235,879 203,127 32,752 2012 Whole Loan Securitization CSMC - 2012-CIM2 425,091 404,261 20,830 162,118 141,843 20,275 2012 Whole Loan Securitization CSMC - 2012-CIM3 329,886 305,804 24,082 248,704 226,257 22,447 2010 RMBS Securitization CSMC - 2010-1R 1,730,581 691,630 1,038,951 933,259 118,466 814,793 2010 RMBS Securitization CSMC - 2010-12R 1,239,176 435,177 803,999 735,171 56,356 678,815 2010 RMBS Securitization CSMC - 2010-11R 566,571 332,299 234,272 374,583 151,032 223,551 2009 RMBS Securitization CSMC - 2009-12R 1,730,698 915,566 815,132 846,117 241,344 604,773 2009 RMBS Securitization JPMRR - 2009-7 1,522,474 856,935 665,539 768,441 311,074 457,367 2009 RMBS Securitization JMAC - 2009-R2 281,863 192,500 89,363 135,866 68,259 67,607 2008 Whole Loan Securitization PHH - 2008-CIM1 619,710 549,142 70,568 119,147 97,396 21,751 $9,187,989 $5,391,124 $3,796,865 $4,559,285 $1,615,154 $2,944,131 % of origination remaining 50% 30% 78%

GRAPHIC Information is unaudited, estimated and subject to change. Consolidated RMBS – Retained Tranche Performance Weighted Average Loan To Value % Weighted Average FICO Score Weighted Average Loan Size Weighted Average Owner Occupied % ($ in thousands) 68.0%69.0%70.0%71.0%72.0%73.0%74.0%75.0%Jun-10Sep-10Dec-10Mar-11Jun-11Sep-11Dec-11Mar-12Jun-12Sep-12Dec-12Mar-13Jun-13Sep-13Dec-13675680685690695700705710715720725 Jun-10Sep-10Dec-10Mar-11Jun-11Sep-11Dec-11Mar-12Jun-12Sep-12Dec-12Mar-13Jun-13Sep-13Dec-1381.0%81.5%82.0%82.5%83.0%83.5%84.0%84.5%85.0%Jun-10Sep-10Dec-10Mar-11 Jun-11Sep-11Dec-11Mar-12Jun-12Sep-12Dec-12Mar-13Jun-13Sep-13Dec-13$360$370$380$390$400$410$420$430$440Jun-10Sep-10Dec-10Mar-11Jun-11Sep-11Dec-11Mar-12Jun-12Sep-12Dec-12 Mar-13Jun-13Sep-13Dec-13

GRAPHIC Information is unaudited, estimated and subject to change. Consolidated RMBS – Retained Tranches Performance Weighted Average Delinquency Pipeline Weighted Average 12 month Severity Weighted Average CPR and VPR 0%5%10%15%20%25%30%35%40%Jun-10Sep-10Dec-10Mar-11Jun-11Sep-11Dec-11Mar-12Jun-12Sep-12Dec-12Mar-13Jun-13Sep-13Dec-13WA 60+ Day Delinq WA 90+ Day Delinq0%10%20%30%40%50%60%70%80%Jun-10Sep-10Dec-10Mar-11Jun-11Sep-11Dec-11Mar-12Jun-12Sep-12Dec-12Mar-13Jun-13Sep-13 Dec-130%5%10%15%20%Jun-10Sep-10Dec-10Mar-11Jun-11Sep-11Dec-11Mar-12Jun-12Sep-12Dec-12Mar-13Jun-13Sep-13Dec-13WA 3M CPRWA 3M VPR