8-K

UNITED STATESSECURITIES AND EXCHANGE COMMISSIONWashington, DC 20549______________FORM 8-KCURRENT REPORTPURSUANT TO SECTION 13 OR 15(d) OF THESECURITIES EXCHANGE ACT OF 1934Date of Report (Date of earliest event reported):August 11, 2014

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.)

1211 Avenue of the Americas Suite 2902 New York, New York	10036
(Address of principal executive offices)	(Zip Code)

Registrant’s telephone number, including area code:  (646) 454-3759

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 August 11, 2014, the registrant issued a press release announcing its financial results for the quarter ended June 30, 2014.  A copy of the press release is furnished as Exhibit 99.1 to this report.

On August 11, 2014, the registrant posted supplemental financial information on the Investor Relations section of its website (www.chimerareit.com).  A copy of the supplemental financial information is furnished as Exhibit 99.2 to this report and incorporated herein by reference.


Item 9.01.  Financial Statements and Exhibits

(d)	Exhibits
99.1	Press Release, dated August 11, 2014, issued by Chimera Investment Corporation
99.2	Supplemental Financial Information for the quarter ended June 30, 2014

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:	August 11, 2014

EX-99.1

Exhibit 99.1

Chimera Investment Corporation Reports EPS for the 2nd Quarter 2014 of $0.10 Per Share and Book Value of $3.35 Per Share

NEW YORK--(BUSINESS WIRE)--August 11, 2014--Chimera Investment Corporation (NYSE:CIM) today announced its financial results for the quarter ended June 30, 2014.

Financial Performance and Key Metrics

The Company reported net income for the quarter ended June 30, 2014 of $105 million or $0.10 per average share compared to $100 million or $0.10 per average share and $143 million or $0.14 per average share for the quarters ended March 31, 2014 and June 30, 2013 respectively. Net income for the six months ended June 30, 2014 was $205 million or $0.20 per average share as compared to net income for the six months ended June 30, 2013 of $223 million or $0.22 per average share.

GAAP book value was $3.35 per share, an increase of 2% from March 31, 2014 and an increase of 3% from December 31, 2013. Economic book value was $3.09 per share, an increase of 2% from March 31, 2014 and an increase of 10% from December 31, 2013. Book value increases reflect the favorable market fundamentals for both Agency and Non-Agency RMBS during the second quarter of 2014.

During the quarter ended June 30, 2014, the Company purchased $6 billion of Agency RMBS and deconsolidated portions of a re-securitization. The re-securitization transaction yielded a $48 million gain for GAAP reporting and approximately $25 million on a tax basis. For the quarter, the company purchased $52 million of Non-Agency RMBS and sold $38 million, bringing year to date Non-Agency RMBS purchases to $189 million and sales to $51 million. Year to date purchases of Non-Agency RMBS have been primarily focused on Non-Agency senior positions and sales have been focused on senior Interest Only positions.

The Company declared a common stock dividend of $0.09 per share for the quarter ended June 30, 2014 and announced the continuation of a $0.09 dividend for the third and fourth quarter of 2014. The annualized dividend yield on the Company’s common stock for the quarter ended June 30, 2014, based on the June 30, 2014 closing price of $3.19, was 11.3%.

For the quarter ended June 30, 2014, the yield on average interest earning assets was 7.84% and the annualized cost of average borrowed funds, including the net interest payments on interest rate swaps, was 2.92% for a net interest spread of 4.92% and net interest rate margin of 5.93%. For the six months ended June 30, 2014, the yield on average interest earning assets was 8.25% and the annualized cost of average borrowed funds, including the net interest payments on interest rate swaps, was 3.16% for a net interest spread of 5.09% and interest rate margin of 6.28%.

Leverage was 2.6:1 and recourse leverage was 2.4:1 as of June 30, 2014 compared to 0.9:1 of leverage and 0.5:1 of recourse leverage as of March 31, 2014 and 1.0:1 of leverage and 0.5:1 of recourse leverage as of December 31, 2013.

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”).

Conference Call

The Company will hold the second quarter 2014 earnings conference call on Tuesday, August 12, 2014, at 10:00 a.m. EDT. The number to call is 888-317-6003 for domestic calls and 412-317-6061 for international calls and the pass code is 0155047. The replay number is 877-344-7529 for domestic calls and 412-317-0088 for international calls and the pass code is 10049861. The replay is available for one week after the earnings call. There will be a web cast of the call on www.chimerareit.com. If you would like to be added to the email distribution list, please visit www.chimerareit.com, click on Email Alerts, complete the email notification form and click the Submit button. For further information, please contact Investor Relations at 1-866-315-9930 or visit www.chimerareit.com.

This news release and our public documents to which we refer contain or incorporate by reference certain forward-looking statements within the meaning of Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934. Forward-looking statements which are based on various assumptions (some of which are beyond our control) 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,” “will” or similar expressions, or variations on those terms or the negative of those terms. Actual results could differ materially from those set forth in forward-looking statements due to a variety of factors, including, but not limited to, our business and investment strategy; our projected financial and operating results; our ability to maintain existing financing arrangements, obtain future financing arrangements and the terms of such arrangements; general volatility of the securities markets in which we invest; the implementation, timing and impact of, and changes to, various government programs, our expected investments; changes in the value of our investments; interest rate mismatches between our investments and our borrowings used to fund such purchases; changes in interest rates and mortgage prepayment rates; effects of interest rate caps on our adjustable-rate investments; rates of default or decreased recovery rates on our investments; prepayments of the mortgage and other loans underlying our mortgage-backed or other asset-backed securities; the degree to which our hedging strategies may or may not protect us from interest rate volatility; impact of and changes in governmental regulations, tax law and rates, accounting guidance, and similar matters; availability of investment opportunities in real estate-related and other securities; availability of qualified personnel; estimates relating to our ability to make distributions to our stockholders in the future; our understanding of our competition; market trends in our industry, interest rates, the debt securities markets or the general economy; our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended; and our ability to maintain our qualification as a REIT for federal income tax purposes. For a discussion of the risks and uncertainties which could cause actual results to differ from those contained in the forward-looking statements, see “Risk Factors” in our Annual Report on Form 10-K, and any subsequent Quarterly Reports on Form 10-Q. We do not undertake, and specifically disclaim all obligations, to publicly release the result of any revisions which may be made to any forward-looking statements to reflect the occurrence of anticipated or unanticipated events or circumstances after the date of such statements.

CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME (LOSS)
(dollars in thousands, except share and per share data)
(unaudited)
	For the Quarter Ended						For the Six Months Ended
	June 30, 2014			June 30, 2013			June 30, 2014			June 30, 2013
Net Interest Income:
Interest income	$	49,056		$	33,629		$	84,512		$	62,696
Interest expense		(3,504	)		(1,629	)		(5,230	)		(3,462	)
Interest income, Assets of consolidated VIEs		85,262			93,936			170,473			190,664
Interest expense, Non-recourse liabilities of consolidated VIEs		(17,176	)		(24,982	)		(37,875	)		(51,978	)
Net interest income (expense)		113,638			100,954			211,880			197,920
Other-than-temporary impairments:
Total other-than-temporary impairment losses		(3,813	)		-			(4,213	)		-
Portion of loss recognized in other comprehensive income (loss)		(1,534	)		-			(2,668	)		(6,163	)
Net other-than-temporary credit impairment losses		(5,347	)		-			(6,881	)		(6,163	)
Other gains (losses):
Net unrealized gains (losses) on derivatives		(22,497	)		13,178			(24,695	)		18,580
Net realized gains (losses) on derivatives		(19,792	)		(5,391	)		(25,540	)		(10,921	)
Net gains (losses) on derivatives		(42,289	)		7,787			(50,235	)		7,659
Net unrealized gains (losses) on interest-only RMBS		5,791			(12,974	)		20,801			(13,987	)
Net realized gains (losses) on sales of investments		(4,339	)		54,117			4,038			54,123
Gain of deconsolidation		47,846			-			47,846			-
Loss on Extinguishment of Debt		-			-			(2,184	)		-
Total other gains (losses)		7,009			48,930			20,266			47,795
Net investment income (loss)		115,300			149,884			225,265			239,552
Other expenses:
Management fees		6,271			6,498			12,492			12,947
Expense recoveries from Manager		(2,164	)		(3,315	)		(2,845	)		(5,170	)
Net management fees		4,107			3,183			9,647			7,777
Provision for loan losses, net		214			(1,703	)		533			(1,279	)
General and administrative expenses		6,210			5,197			9,946			10,044
Total other expenses		10,531			6,677			20,126			16,542
Income (loss) before income taxes		104,769			143,207			205,139			223,010
Income taxes		-			-			2			2
Net income (loss)	$	104,769		$	143,207		$	205,137		$	223,008
Net income (loss) per share available to common shareholders:
Basic	$	0.10		$	0.14		$	0.20		$	0.22
Diluted	$	0.10		$	0.14		$	0.20		$	0.22
Weighted average number of common shares outstanding:
Basic		1,027,208,949			1,027,066,041			1,027,235,633			1,027,052,341
Diluted		1,027,534,449			1,027,593,441			1,027,561,456			1,027,594,472
Dividends declared per share of common stock	$	0.09		$	0.09		$	0.18		$	0.18
Comprehensive income (loss):
Net income (loss)	$	104,769		$	143,207		$	205,137		$	223,008
Other comprehensive income (loss):
Unrealized gains (losses) on available-for-sale securities, net		100,647			(22,582	)		138,150			95,012
Reclassification adjustment for net losses included in net income (loss) for other-than- temporary credit impairment losses		5,347			-			6,881			6,163
Reclassification adjustment for net realized losses (gains) included in net income (loss)		37			(54,117	)		(8,340	)		(54,123	)
Reclassification adjustment for gain on deconsolidation included in net income		(47,846	)		-			(47,846	)		-
Other comprehensive income (loss)		58,185			(76,699	)		88,845			47,052
Comprehensive income (loss)	$	162,954		$	66,508		$	293,982		$	270,060

The following tables provide a summary of the Company’s RMBS portfolio at June 30, 2014 and December 31, 2013.

	June 30, 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 Mortgage-Backed Securities
Senior	$	317,544	$	68.72	$	72.58	1.9	%	5.0	%
Senior, interest only	$	5,605,322	$	4.51	$	3.93	1.6	%	12.4	%
Subordinated	$	807,222	$	42.33	$	60.15	3.0	%	13.1	%
Subordinated, interest only	$	266,766	$	5.01	$	5.85	1.1	%	11.7	%
RMBS transferred to consolidated variable interest entities	$	3,471,222	$	54.02	$	78.99	4.6	%	16.9	%
Agency Mortgage-Backed Securities
Pass-through	$	7,522,103	$	104.98	$	106.56	3.9	%	3.1	%
Interest-only	$	219,301	$	18.82	$	17.61	3.3	%	4.8	%
(1) Bond Equivalent Yield at period end.
	December 31, 2013
	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 Mortgage-Backed Securities
Senior	$	128,217	$	69.27	$	69.95	1.4	%	5.9	%
Senior, interest only	$	5,742,781	$	4.93	$	3.99	1.4	%	17.2	%
Subordinated	$	830,632	$	40.96	$	55.09	2.9	%	13.5	%
Subordinated, interest only	$	274,462	$	5.34	$	6.04	1.7	%	9.0	%
RMBS transferred to consolidated variable interest entities	$	3,912,376	$	54.17	$	77.82	4.7	%	15.8	%
Agency Mortgage-Backed Securities
Pass-through	$	1,898,131	$	104.52	$	105.24	3.6	%	3.3	%
Interest-only	$	247,344	$	17.69	$	17.30	3.2	%	5.3	%
(1) Bond Equivalent Yield at period end.

At June 30, 2014 and December 31, 2013, the repurchase agreements collateralized by RMBS had the following remaining maturities.

	June 30, 2014		December 31, 2013
	(dollars in thousands)
Overnight	$	-	$	-
1-29 days		1,694,284		644,332
30 to 59 days		1,085,418		606,945
60 to 89 days		1,684,618		-
90 to 119 days		63,545		129,049
Greater than or equal to 120 days		1,036,689		278,235
Total	$	5,564,554	$	1,658,561

The following table summarizes certain characteristics of our portfolio at June 30, 2014 and December 31, 2013.

	June 30, 2014			December 31, 2013
Interest earning assets at period-end (1)	$	12,364,078		$	6,555,525
Interest bearing liabilities at period-end	$	6,956,371		$	3,262,274
Leverage at period-end		2.6:1			1.0:1
Leverage at period-end (recourse)		2.4:1			0.5:1
Portfolio Composition, at amortized cost
Non-Agency RMBS		23.5	%		49.8	%
Senior		1.9	%		1.5	%
Senior, interest only		2.2	%		5.1	%
Subordinated		3.0	%		6.0	%
Subordinated, interest only		0.1	%		0.3	%
RMBS transferred to consolidated VIEs		16.3	%		36.9	%
Agency RMBS		70.1	%		36.1	%
Pass-through		69.7	%		35.3	%
Interest-only		0.4	%		0.8	%
Securitized loans		6.4	%		14.1	%
Fixed-rate percentage of portfolio		88.0	%		76.3	%
Adjustable-rate percentage of portfolio		12.0	%		23.7	%
(1) Excludes cash and cash equivalents.

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 June 30, 2014 and December 31, 2013.

	June 30, 2014
	(dollars in thousands, except per share data)
	GAAP Book Value		Adjustments			Estimated Economic Book Value
Assets:
Non-Agency RMBS, at fair value
Senior	$	230,465	$	289,799		$	520,264
Senior interest-only		220,131		74,284			294,415
Subordinated		485,544		1,374,462			1,860,006
Subordinated interest-only		15,609		193			15,802
RMBS transferred to consolidated VIEs		2,682,308		(2,682,308	)		-
Agency RMBS, at fair value
Pass-through		7,976,923		-			7,976,923
Interest-only		38,627		-			38,627
Securitized loans held for investment, net of allowance for loan losses		714,471		(714,471	)		-
Other assets		201,839		-			201,839
Total assets	$	12,565,917	$	(1,658,041	)	$	10,907,876
Liabilities:
Repurchase agreements, RMBS		5,564,554		-			5,564,554
Securitized debt, collateralized by Non-Agency RMBS		787,162		(787,162	)		-
Securitized debt, collateralized by loans held for investment		604,655		(604,655	)		-
Other liabilities (1)		2,168,845		-			2,168,845
Total liabilities		9,125,216		(1,391,817	)		7,733,399
Total stockholders' equity		3,440,701		(266,224	)		3,174,477
Total liabilities and stockholders' equity	$	12,565,917	$	(1,658,041	)	$	10,907,876
Book Value Per Share	$	3.35	$	(0.26	)	$	3.09
(1) Primarily payable for investments purchased.
	December 31, 2013
	(dollars in thousands, except per share data)
	GAAP Book Value		Adjustments			Estimated Economic Book Value
Assets:
Non-Agency RMBS, at fair value
Senior	$	89,687	$	12,365		$	102,052
Senior interest-only		229,065		116,951			346,016
Subordinated		457,569		1,593,924			2,051,493
Subordinated interest-only		16,571		280			16,851
RMBS transferred to consolidated VIEs		2,981,571		(2,981,571	)		-
Agency RMBS, at fair value
Pass-through		1,954,796		-			1,954,796
Interest-only		42,782		-			42,782
Securitized loans held for investment, net of allowance for loan losses		783,484		(783,484	)		-
Other assets		380,556		-			380,556
Total assets	$	6,936,081	$	(2,041,535	)	$	4,894,546
Liabilities:
Repurchase agreements, RMBS		1,658,561		-			1,658,561
Securitized debt, collateralized by Non-Agency RMBS		933,732		(933,732	)		-
Securitized debt, collateralized by loans held for investment		669,981		(669,981	)		-
Other liabilities		342,297		-			342,297
Total liabilities		3,604,571		(1,603,713	)		2,000,858
Total stockholders' equity		3,331,510		(437,822	)		2,893,688
Total liabilities and stockholders' equity	$	6,936,081	$	(2,041,535	)	$	4,894,546
Book Value Per Share	$	3.24	$	(0.42	)	$	2.82

The table below shows our average earning assets held, interest earned on assets, yield on average interest earning assets, average debt balance, economic interest expense, economic average cost of funds, economic net interest income, and net interest rate spread for the periods presented.

	For the Quarter Ended
	June 30, 2014						June 30, 2013
	(dollars in thousands)
	Average Balance		Interest		Average Yield/Cost		Average Balance		Interest		Average Yield/Cost
Assets:
Interest-earning assets (1):
Agency RMBS	$	3,351,225	$	29,217	3.49	%	$	1,815,333	$	17,307	3.81	%
Non-Agency RMBS		829,490		19,835	9.56	%		646,725		16,310	10.09	%
Non-Agency RMBS transferred to consolidated VIEs		1,934,640		76,898	15.90	%		2,322,905		85,492	14.72	%
Securitized loans held for investment		740,122		8,364	4.52	%		1,014,216		8,444	3.33	%
Total	$	6,855,477	$	134,314	7.84	%	$	5,799,179	$	127,553	8.80	%
Liabilities and stockholders' equity:
Interest-bearing liabilities:
Agency Repurchase Agreements (2)	$	2,883,892	$	14,788	2.05	%	$	1,449,257	$	7,020	1.94	%
Non-Agency Repurchase Agreements		170,844		777	1.82	%		-		-	-
Securitized debt, collateralized by Non-Agency RMBS		807,913		10,865	5.38	%		1,185,025		18,182	6.14	%
Securitized debt, collateralized by loans		620,923		6,311	4.07	%		882,416		6,800	3.08	%
Total	$	4,483,572	$	32,741	2.92	%	$	3,516,698	$	32,002	3.64	%
Net economic interest income/net interest rate spread			$	101,573	4.92	%			$	95,551	5.16	%
Net interest-earning assets/net interest margin	$	2,371,905			5.93	%	$	2,282,481			6.59	%
Ratio of interest-earning assets to interest bearing liabilities		1.53						1.65
(1) Interest-earning assets at amortized cost
(2) Interest includes cash paid on swaps
	For the Six Months Ended
	June 30, 2014						June 30, 2013
	(dollars in thousands)
	Average Balance		Interest		Average Yield/Cost		Average Balance		Interest		Average Yield/Cost
Assets:
Interest-earning assets (1):
Agency RMBS	$	2,647,226	$	45,257	3.42	%	$	1,783,753	$	30,792	3.45	%
Non-Agency RMBS		795,323		39,247	9.87	%		639,539		31,878	9.97	%
Non-Agency RMBS transferred to consolidated VIEs		1,981,636		154,309	15.57	%		2,360,953		174,331	14.77	%
Securitized loans held for investment		757,597		16,164	4.27	%		1,113,396		16,333	2.93	%
Total	$	6,181,782	$	254,977	8.25	%	$	5,897,641	$	253,334	8.59	%
Liabilities and stockholders' equity:
Interest-bearing liabilities:
Agency Repurchase Agreements (2)	$	2,273,024	$	22,164	1.95	%	$	1,475,514	$	14,383	1.95	%
Non-Agency Repurchase Agreements		86,371		777	1.80	%		-		-	-
Securitized debt, collateralized by Non-Agency RMBS		849,852		26,019	6.12	%		1,235,437		37,252	6.03	%
Securitized debt, collateralized by loans		637,275		11,856	3.72	%		978,180		14,726	3.01	%
Total	$	3,846,522	$	60,816	3.16	%	$	3,689,131	$	66,361	3.60	%
Net economic interest income/net interest rate spread			$	194,161	5.09	%			$	186,973	4.99	%
Net interest-earning assets/net interest margin	$	2,335,260			6.28	%	$	2,208,511			6.34	%
Ratio of interest-earning assets to interest bearing liabilities		1.61						1.60
(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

EX-99.2

Exhibit 99.2

\

Q22014 Supplemental Financial Information August 11, 2014 WWW.CHIMERAREIT.COM

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. 2

Portfolio Composition Total Portfolio: $12.4 Billion Total Capital: $3.4 Billion Total Leverage 2.6:1 $0 $1 $2 $3 $4 $5 $6 $7 Billions Equity Recourse Funding Non-Recourse Debt Residential Mortgage Credit Portfolio Total Assets: $4.4BN Agency MBS Portfolio Total Assets: $8.0BN(1) Equity $2.7BN Recourse Funding $0.3BN Non-Recourse Debt $1.4BN Equity $0.7BN Recourse Funding $5.3BN Net Investment Analysis Residential Mortgage Credit Portfolio Agency MBS Portfolio Gross Asset Yield: 12.0% 3.5% Financing Cost(2): 4.5% 2.1% Net Interest Spread: 7.5% 1.4% Net Interest Margin: 9.9% 1.7% (1) Financing excludes repurchase agreements added in July 2014 to settle $2b of Agency RMBS purchased in June 2014. (2) Financing cost includes the interest incurred on interest rate swaps. 3

GAAP Asset Allocation: Quarter Over Quarter Comparison June 30, 2014 27% 65% 2% 4% 2% Consolidated RMBS & Loans Agency RMBS Non-Agency Senior Non-Agency Subordinate Non-Agency Senior IO Total Portfolio: $12.4 Billion  March 31, 2014 57% 29% 3% 7% 4%  Consolidated RMBS & Loans Agency RMBS Non-Agency Senior Non-Agency Subordinate Non-Agency Senior IO Total Portfolio: $6.5 Billion 4

GAAP Financing Sources: Quarter Over Quarter Comparison June 30, 2014 80% 20% Repurchase Agreements, RMBS Non-Recourse Liabilities of Consolidated RMBS and Loans (1) Total Financing: $7.0 Billion(2) March 31, 2014 52% 48% Repurchase Agreements, RMBS Non-Recourse Liabilities of Consolidated RMBS and Loans (1) Total Financing: $3.0 Billion (1) Consists of tranches of RMBS and loan securitizations sold to third parties. (2) Financing excludes repurchase agreements added in July 2014 to settle $2b of Agency RMBS purchased in June 2014. 5

Agency & Repo Summary ($ in thousands) Agency Pass-Throughs – As of June 30, 2014 Coupon Current Face Weighted Average Price Weighted Average CPR 3.50% $268,494 102.95 5.3 4.00% 6,698,362 105.99 8.3 4.50% 555,247 108.22 10.6 Total $7,522,103 Repo Days to Maturity - As of June 30, 2014 Maturity Principal Balance Weighted Average Rate Weighted Average Days Within 1 day $34,986 0.31% 2 to 30 days 1,374,158 0.34% 31 to 59 days 932,324 0.37% 60 to 89 days 1,822,523 0.34% 120 to 260 days 1,100,234 0.44% Total $5,264,225 0.37% 83   Agency Pass-Throughs – As of March 31, 2014 Coupon Current Face Weighted Average Price Weighted Average CPR 3.50% $273,408 106.42 5.1 4.00% 946,086 105.85 8.9 4.50% 574,290 102.93 11.1 Total $1,793,785 Repo Days to Maturity - As of March 31, 2014 Maturity Principal Balance Weighted Average Rate Weighted Average Days 2 to 30 days $748,081 0.38% 31 to 59 days 647,017 0.45% 60 to 89 days 166,822 0.36% Total $1,561,920 0.41% 40 6

Interest Rate Sensitivity as of June 30, 2014 Agency, Swap and Derivative Portfolio Hedge Book Maturities 30% 31% 39% Short Term 0-5 years Medium Term 5-10 years Long Term 10-30 years Description ($ in thousands) + 100 Basis Points + 50 Basis Points Unchanged -50 Basis Points -100 Basis Points Agency Pass-Through Market Value $7,543,244 $7,774,552 $7,976,923 $8,144,261 $8,283,635 MTM Gain (Loss) (433,679) (202,371) - 167,338 306,712 Percentage Change (5.4%) (2.5%) - 2.1% 3.8% Swap Market Value 3,360,000 3,360,000 3,360,000 3,360,000 3,360,000 MTM Gain (Loss) 195,066 100,355 - (106,467) (219,552) Percentage Change 2.4% 1.3% - (1.3%) (2.8%) Futures Market Value 1,230,000 1,230,000 1,230,000 1,230,000 1,230,000 MTM Gain (Loss) 80,771 41,102 - (42,603) (86,781) Percentage Change 1.0% 0.5% - (0.5%) (1.1%) Net Gain/(Loss) $(157,842) $(60,914) - $18,268 $379 Percentage Change (2.76)% (0.77)% 0.23% 0.00% 7

Consolidated RMBS & Loan Securitizations ($ in thousands) At Origination As of June 30, 2014 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 2014 RMBS Securitization CSMC - 2014-4R $482,261 $482,261 $472,794 472,794 2012 Whole Loan Securitization CSMC - 2012-CIM1 741,939 $707,810 $34,129 212,726 180,229 32,497 2012 Whole Loan Securitization CSMC - 2012-CIM2 425,091 404,261 20,830 149,252 129,132 20,120 2012 Whole Loan Securitization CSMC - 2012-CIM3 329,886 305,804 24,082 238,958 216,805 22,153 2010 RMBS Securitization CSMC - 2010-1R 1,730,581 691,630 1,038,951 886,252 98,091 788,161 2010 RMBS Securitization CSMC - 2010-12R 1,239,176 435,177 803,999 0 0 0 2010 RMBS Securitization CSMC - 2010-11R 566,571 332,299 234,272 365,296 143,595 221,701 2009 RMBS Securitization CSMC - 2009-12R 1,730,698 915,566 815,132 1,171,732 221,481 950,251 2009 RMBS Securitization JPMRR - 2009-7 1,522,474 856,935 665,539 732,153 287,716 444,437 2009 RMBS Securitization JMAC - 2009-R2 281,863 192,500 89,363 130,100 64,560 65,540 2008 Whole Loan Securitization PHH - 2008-CIM1 619,710 549,142 70,568 106,737 87,010 19,727 $9,670,250 $5,391,124 $4,279,126 $4,466,000 $1,428,619 $3,037,380 % of origination remaining 46% 26% 71% 8