8-K

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):

May 3, 2018

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 May 3, 2018, the registrant issued a press release announcing its financial results for the quarter ended March 31, 2018. A copy of the press release is furnished as Exhibit 99.1 to this report.

On May 3, 2018, 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 May 3, 2018, issued by Chimera Investment Corporation
99.2	Supplemental Financial Information for the quarter ended March 31, 2018

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: May 3, 2018

EX-99.1

PRESS RELEASE

NYSE: CIM    

CHIMERA INVESTMENT CORPORATION

520 Madison Avenue

New York, New York 10022

_________________________________________________________________________________________________

Investor Relations

888-895-6557

www.chimerareit.com

FOR IMMEDIATE RELEASE

CHIMERA INVESTMENT CORPORATION REPORTS 1ST QUARTER 2018 EARNINGS

• 1^ST QUARTER GAAP NET INCOME OF $1.22 PER COMMON SHARE

• 1^ST QUARTER CORE EARNINGS⁽¹⁾ OF $0.58 PER COMMON SHARE

• GAAP BOOK VALUE OF $17.12 PER COMMON SHARE

• REPURCHASED $15 MILLION OF COMMON STOCK

NEW YORK - (BUSINESS WIRE) - Chimera Investment Corporation (NYSE:CIM) today announced its financial results for the first quarter ended March 31, 2018. The Company’s GAAP net income for the first quarter was $230 million or $1.22 per common share. Core earnings⁽¹⁾ for the first quarter ended March 31, 2018 was $109 million or $0.58 per common share. Economic return on book value for the first quarter was 4.5%.⁽²⁾ The Company sponsored two mortgage loan securitizations during the first quarter for $549 million and incurred $1.1 million in securitization deal related expenses. The Company also repurchased $15 million of common stock at an average price of $16.81 per share.

“Chimera’s book value increased to $17.12 per share contributing to our total economic return of 4.5% for the first quarter 2018,” said Matthew Lambiase, Chimera’s CEO and President. “We remain focused on our core investment strategy while continuing to generate a favorable return for our shareholders.”

(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.

1

Other Information

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.

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

CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
(dollars in thousands, except share and per share data)
	March 31, 2018			December 31, 2017
Assets:
Cash and cash equivalents	$	100,752		$	63,569
Non-Agency RMBS, at fair value	2,760,711			2,851,316
Agency MBS, at fair value	4,557,799			4,364,828
Loans held for investment, at fair value	13,619,995			13,678,263
Accrued interest receivable	98,669			100,789
Other assets	99,631			114,391
Derivatives, at fair value, net	93,171			48,914
Total assets (1)	$	21,330,728		$	21,222,070
Liabilities:
Repurchase agreements ($8.7 billion and $8.8 billion, pledged as collateral, respectively)	$	7,202,924		$	7,250,452
Securitized debt, collateralized by Non-Agency RMBS ($1.5 billion and $1.6 billion pledged as collateral, respectively)	194,967			205,780
Securitized debt at fair value, collateralized by loans held for investment ($13.2 billion and $13.3 billion pledged as collateral, respectively)	9,321,154			9,388,657
Payable for investments purchased	766,250			567,440
Accrued interest payable	69,929			61,888
Dividends payable	95,335			95,365
Accounts payable and other liabilities	9,426			17,191
Derivatives, at fair value, net	—			320
Total liabilities (1)	$	17,659,985		$	17,587,093
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
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 186,969,715 and 187,809,288 shares issued and outstanding, respectively	1,870			1,878
Additional paid-in-capital	3,814,391			3,826,691
Accumulated other comprehensive income	709,244			796,902
Cumulative earnings	3,206,859			2,967,852
Cumulative distributions to stockholders	(4,061,809		)	(3,958,534		)
Total stockholders' equity	$	3,670,743		$	3,634,977
Total liabilities and stockholders' equity	$	21,330,728		$	21,222,070

(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 March 31, 2018 and December 31, 2017, total assets of consolidated VIEs were $14,878,283 and $14,987,464, respectively, and total liabilities of consolidated VIEs were $9,553,852 and $9,631,820, respectively.

2

CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF OPERATIONS
(dollars in thousands, except share and per share data)
(Unaudited)
	For the Quarters Ended
	March 31, 2018			March 31, 2017
Net interest income:
Interest income (1)	$	297,132		$	251,344
Interest expense (2)	149,251			110,231
Net interest income	147,881			141,113
Other-than-temporary impairments:
Total other-than-temporary impairment losses	(294		)	(2,713		)
Portion of loss recognized in other comprehensive income	(864		)	(15,988		)
Net other-than-temporary credit impairment losses	(1,158		)	(18,701		)
Other investment gains (losses):
Net unrealized gains (losses) on derivatives	81,419			4,896
Net realized gains (losses) on derivatives	13,085			(9,358		)
Net gains (losses) on derivatives	94,504			(4,462		)
Net unrealized gains (losses) on financial instruments at fair value	14,466			72,243
Net realized gains (losses) on sales of investments	—			5,167
Gains (losses) on extinguishment of debt	9,670			—
Total other gains (losses)	118,640			72,948
Other expenses:
Compensation and benefits	8,411			7,556
General and administrative expenses	5,489			4,040
Servicing fees	11,334			9,588
Deal expenses	1,088			11,353
Total other expenses	26,322			32,537
Income (loss) before income taxes	239,041			162,823
Income taxes	34			16
Net income (loss)	$	239,007		$	162,807
Dividend on preferred stock	9,400			5,283
Net income (loss) available to common shareholders	$	229,607		$	157,524
Net income (loss) per share available to common shareholders:
Basic	$	1.22		$	0.84
Diluted	$	1.22		$	0.84
Weighted average number of common shares outstanding:
Basic	187,553,281			187,761,748
Diluted	188,176,753			188,195,061
Dividends declared per share of common stock	$	0.50		$	0.50

(1) Includes interest income of consolidated VIEs of $235,026 and $192,989 for the quarters ended March 31, 2018 and 2017, respectively.

(2) Includes interest expense of consolidated VIEs of $99,614 and $82,684 for the quarters ended March 31, 2018 and2017, respectively.

3

CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(dollars in thousands, except share and per share data)
(Unaudited)
	For the Quarters Ended
	March 31, 2018			March 31, 2017
Comprehensive income (loss):
Net income (loss)	$	239,007		$	162,807
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net	(88,816		)	(3,910		)
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses	1,158			18,701
Reclassification adjustment for net realized losses (gains) included in net income	—			(5,186		)
Other comprehensive income (loss)	(87,658		)	9,605
Comprehensive income (loss) before preferred stock dividends	$	151,349		$	172,412
Dividends on preferred stock	$	9,400		$	5,283
Comprehensive income (loss) available to common stock shareholders	$	141,949		$	167,129

4

Core earnings

Core earnings is a non-GAAP measure and is defined as GAAP net income excluding unrealized gains on the aggregate portfolio, impairment losses, realized gains on sales of investments, realized gains or losses on futures, realized gains or losses on swap terminations, gain on deconsolidation, extinguishment of debt and certain other non-recurring gains or losses. As defined, core earnings include interest income and expense as well as realized losses on interest rate swaps used to hedge interest rate risk. Management believes that the presentation of core earnings is useful to investors because it can provide a useful measure of comparability to our other REIT peers, but has important limitations. We believe core earnings as described above helps evaluate our financial performance without the impact of certain transactions but is of limited usefulness as an analytical tool. Therefore, core earnings should not be viewed in isolation and is not a substitute for net income or net income per basic share computed in accordance with GAAP.

The following table provides GAAP measures of net income and net income per basic share available to common stockholders for the periods presented and details with respect to reconciling the line items to core earnings and related per average basic common share amounts:

	For the Quarters Ended
	March 31, 2018			December 31, 2017			September 30, 2017			June 30, 2017			March 31, 2017
	(dollars in thousands, except per share data)
GAAP Net income available to common stockholders	$	229,607		$	98,208		$	129,832		$	105,617		$	157,524
Adjustments:
Net other-than-temporary credit impairment losses	1,158			18,179			11,468			13,509			18,701
Net unrealized (gains) losses on derivatives	(81,419		)	(28,074		)	(9,204		)	(5,802		)	(4,896		)
Net unrealized (gains) losses on financial instruments at fair value	(14,466		)	47,637			(19,042		)	(67,762		)	(72,243		)
Net realized (gains) losses on sales of investments	—			586			(1		)	(4,541		)	(5,167		)
(Gains) losses on extinguishment of debt	(9,670		)	(12,742		)	1			48,014			—
Realized (gains) losses on terminations of interest rate swaps	—			—			—			16,143			—
Net realized (gains) losses on Futures (1)	(16,424		)	(8,204		)	3,267			6,914			2,084
Core Earnings	$	108,786		$	115,590		$	116,321		$	112,092		$	96,003
GAAP net income per basic common share	$	1.22		$	0.52		$	0.69		$	0.56		$	0.84
Core earnings per basic common share(2)	$	0.58		$	0.62		$	0.62		$	0.60		$	0.51
(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.

5

The following tables provide a summary of the Company’s MBS portfolio at March 31, 2018 and December 31, 2017.

	March 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	$	2,627,375	$	53.96	$	81.96	4.6	%	17.1	%
Senior, interest-only	4,646,297		5.42		4.25		1.3	%	7.0	%
Subordinated	495,128		67.34		81.13		4.1	%	9.3	%
Subordinated, interest-only	196,208		3.68		4.12		0.8	%	12.4	%
Agency MBS
Residential pass-through	2,265,632		105.56		102.07		3.9	%	3.0	%
Commercial pass-through	2,153,980		102.15		99.71		3.6	%	3.3	%
Interest-only	2,960,181		3.53		3.29		0.7	%	3.2	%
	December 31, 2017
	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	$	2,733,926	$	54.04	$	81.62	4.6	%	16.7	%
Senior, interest-only	4,862,461		5.41		4.34		1.3	%	8.0	%
Subordinated	501,455		66.77		80.01		4.1	%	9.6	%
Subordinated, interest-only	201,378		3.66		3.89		0.8	%	11.8	%
Agency MBS
Residential pass-through	2,227,128		105.53		104.27		3.8	%	2.9	%
Commercial pass-through	1,894,594		102.26		102.31		3.6	%	3.2	%
Interest-only	3,021,840		3.68		3.45		0.7	%	3.4	%
(1) Bond Equivalent Yield at period end.

At March 31, 2018 and December 31, 2017, the repurchase agreements collateralized by MBS had the following remaining maturities.

	March 31, 2018		December 31, 2017
	(dollars in thousands)
Overnight	$	—	$	—
1 to 29 days	4,140,691		4,745,342
30 to 59 days	1,538,864		1,206,769
60 to 89 days	685,239		592,865
90 to 119 days	—		—
Greater than or equal to 120 days	838,130		705,476
Total	$	7,202,924	$	7,250,452

6

The following table summarizes certain characteristics of our portfolio at March 31, 2018 and December 31, 2017.

	March 31, 2018			December 31, 2017
Interest earning assets at period-end (1)	$	20,938,505		$	20,894,407
Interest bearing liabilities at period-end	$	16,719,045		$	16,844,889
GAAP Leverage at period-end	4.6:1			4.6:1
GAAP Leverage at period-end (recourse)	2.0:1			2.0:1
Portfolio Composition, at amortized cost
Non-Agency RMBS	5.7		%	5.9		%
Senior	2.7		%	2.9		%
Senior, interest only	1.3		%	1.3		%
Subordinated	1.7		%	1.7		%
Subordinated, interest only	0.0		%	0.0		%
RMBS transferred to consolidated VIEs	4.4		%	4.6		%
Agency MBS	23.5		%	22.2		%
Residential	12.0		%	11.8		%
Commercial	11.0		%	9.8		%
Interest-only	0.5		%	0.6		%
Loans held for investment	66.4		%	67.3		%
Fixed-rate percentage of portfolio	94.0		%	93.7		%
Adjustable-rate percentage of portfolio	6.0		%	6.3		%
Annualized yield on average interest earning assets for the periods ended	6.2		%	6.3		%
Annualized cost of funds on average borrowed funds for the periods ended (2)	3.7		%	3.6		%

(1) Excludes cash and cash equivalents.

(2) Includes the effect of realized losses on interest rate swaps.

7

Economic Net Interest Income

Our “Economic net interest income” is a non-GAAP financial measure, that equals interest income, less interest expense and realized losses on our interest rate swaps. Realized losses on our interest rate swaps are the periodic net settlement payments made or received.  For the purpose of computing economic net interest income and ratios relating to cost of funds measures throughout this section, interest expense includes net payments on our interest rate swaps, which is presented as a part of Realized gains (losses) on derivatives in our Consolidated Statements of Operations and Comprehensive Income. Interest rate swaps are used to manage the increase in interest paid on repurchase agreements in a rising rate environment. Presenting the net contractual interest payments on interest rate swaps with the interest paid on interest-bearing liabilities reflects our total contractual interest payments. We believe this presentation is useful to investors because it depicts the economic value of our investment strategy by showing actual interest expense and net interest income. Where indicated, interest expense, including interest payments on interest rate swaps, is referred to as economic interest expense. Where indicated, net interest income reflecting interest payments on interest rate swaps, is referred to as economic net interest income.

The following table reconciles the GAAP and non-GAAP measurements reflected in the Management’s Discussion and Analysis of Financial Condition and Results of Operations.

	GAAP Interest Income		GAAP Interest Expense		Net Realized Losses on Interest Rate Swaps		Economic Interest Expense		GAAP Net Interest Income		Net Realized Losses on Interest Rate Swaps			Other (1)			Economic Net Interest Income
For the Quarter Ended March 31, 2018	$	297,132	$	149,251	$	2,612	$	151,863	$	147,881	$	(2,612	)	$	143		$	145,412
For the Quarter Ended December 31, 2017	$	301,957	$	144,204	$	4,369	$	148,573	$	157,753	$	(4,369	)	$	(61	)	$	153,323
For the Quarter Ended September 30, 2017	$	296,813	$	140,358	$	3,489	$	143,847	$	156,455	$	(3,489	)	$	(167	)	$	152,799
For the Quarter Ended June 30, 2017	$	288,644	$	137,955	$	3,486	$	141,441	$	150,689	$	(3,486	)	$	(350	)	$	146,853
For the Quarter Ended March 31, 2017	$	251,344	$	110,231	$	4,106	$	114,337	$	141,113	$	(4,106	)	$	(519	)	$	136,488

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

8

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
	March 31, 2018						March 31, 2017
	(dollars in thousands)						(dollars in thousands)
	Average Balance		Interest		Average Yield/Cost		Average Balance		Interest		Average Yield/Cost
Assets:
Interest-earning assets (1):
Agency MBS	$	3,880,870	$	33,342	3.4	%	$	3,730,939	$	27,632	3.0	%
Non-Agency RMBS	1,150,135		22,004		7.7	%	1,372,359		30,205		8.8	%
Non-Agency RMBS transferred to consolidated VIEs	896,139		52,107		23.3	%	1,141,388		60,134		21.1	%
Residential mortgage loans held for investment	13,265,821		189,822		5.7	%	9,091,646		132,854		5.8	%
Total	$	19,192,965	$	297,275	6.2	%	$	15,336,332	$	250,825	6.5	%
Liabilities and stockholders' equity:
Interest-bearing liabilities:
Repurchase agreements collateralized by:
Agency MBS (2)	$	3,253,529	$	16,140	2.0	%	$	3,120,531	$	11,473	1.5	%
Non-Agency RMBS	411,143		3,025		2.9	%	745,920		5,532		3.0	%
Re-Remic repurchase agreements	828,745		7,727		3.7	%	605,366		4,669		3.1	%
RMBS from loan securitizations	2,763,631		25,358		3.7	%	1,328,324		9,978		3.0	%
Securitized debt, collateralized by Non-Agency RMBS	200,374		2,825		5.6	%	318,756		5,012		6.3	%
Securitized debt, collateralized by loans	9,185,049		96,788		4.2	%	7,121,397		77,673		4.4	%
Total	$	16,642,471	$	151,863	3.7	%	$	13,240,294	$	114,337	3.5	%
Economic net interest income/net interest rate spread			$	145,412	2.5	%			$	136,488	3.0	%
Net interest-earning assets/net interest margin	$	2,550,494			3.0	%	$	2,096,038			3.6	%
Ratio of interest-earning assets to interest bearing liabilities	1.15						1.16
(1) Interest-earning assets at amortized cost
(2) Interest includes cash paid on swaps

The table below shows our Net Income, Economic Net Interest Income and Core Earnings, each as a percentage of average equity. Return on average equity is defined as our GAAP net income (loss) as a percentage of average equity. Average equity is defined as the average of the Company’s beginning and ending equity balance for the period reported. Economic Net Interest Income is a non-GAAP financial measure, that equals interest income, less interest expense and realized losses on our interest rate swaps. Core Earnings is a non-GAAP measures as defined in previous section.

	Return on Average Equity		Economic Net Interest Income/Average Equity *		Core Earnings/Average Equity
	(Ratios have been annualized)
For the Quarter Ended March 31, 2018	26.17	%	15.92	%	11.91	%
For the Quarter Ended December 31, 2017	11.82	%	16.85	%	12.70	%
For the Quarter Ended September 30, 2017	15.42	%	16.92	%	12.88	%
For the Quarter Ended June 30, 2017	12.98	%	16.57	%	12.65	%
For the Quarter Ended March 31, 2017	19.63	%	16.46	%	11.57	%

* Includes effect of realized losses on interest rate swaps.

9

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)	March 31, 2018			December 31, 2017			September 30, 2017			June 30, 2017			March 31, 2017
	(dollars in thousands)
Balance, beginning of period	$	582,193		$	622,982		$	627,724		$	648,659		$	683,648
Accretion of discount	(37,309		)	(39,640		)	(43,502		)	(42,625		)	(43,715		)
Purchases	—			(2,914		)	1,723			(108		)	(3,642		)
Sales and deconsolidation	174			—			5,792			212			(7,303		)
Transfers from/(to) credit reserve, net	10,386			1,765			31,245			21,586			19,671
Balance, end of period	$	555,444		$	582,193		$	622,982		$	627,724		$	648,659

Disclaimer

This press release includes “forward-looking statements” within the meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act of 1995. Actual results may differ from expectations, estimates and projections and, consequently, readers should not rely on these forward-looking statements as predictions of future events. Words such as “expect,” “target,” “assume,” “estimate,” “project,” “budget,” “forecast,” “anticipate,” “intend,” “plan,” “may,” “will,” “could,” “should,” “believe,” “predicts,” “potential,” “continue,” and similar expressions are intended to identify such forward-looking statements. These forward-looking statements involve significant risks and uncertainties that could cause actual results to differ materially from expected results, including, among other things, those described in our 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.

10

EX-99.2

FINANCIAL SUPPLEMENT NYSE: CIM 1st Quarter 2018

Information is unaudited, estimated and subject to change. DISCLAIMER This presentation includes “forward-looking statements” within the meaning of the safe harbor provisions of the UnitedStates Private Securities Litigation Reform Act of 1995. Actual results may differ from expectations, estimates andprojections and, consequently, readers should not rely on these forward-looking statements as predictions of future events. Words such as “goal” “expect,” “target,” “assume,” “estimate,” “project,” “budget,” “forecast,” “anticipate,” “intend,” “plan,” “may,” “will,” “could,” “should,” “believe,” “predicts,” “potential,” “continue,” and similar expressions are intended to identify such forward-looking statements. These forward-looking statements involve significant risks and uncertainties that could cause actual results to differ materially from expected results, including, among other things, those described in our 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. 2 PORTFOLIO COMPOSITION Residential Mortgage Credit Portfolio Agency Portfolio Total Portfolio Gross Asset Yield: 6.9% 3.4% 6.2% Financing Cost(3): 4.1% 2.0% 3.7% Net Interest Spread: 2.8% 1.4% 2.5% Net Interest Margin: 3.3% 1.8% 3.0% All data as of March 31, 2018 (1) Financing excludes unsettled trades. (2) Reflects first quarter 2018 average assets, yields, and spreads. (3) Includes the interest incurred on interest rate swaps. Net Investment Analysis(2) 17 16 15 14 13 12 11 10 9 8 7 6 5 4 3 2 1 0 B ill io ns $3.1 $0.6 $3.9 $3.3 $9.5 Non-Recourse (Securitization) Recourse (Repo) Recourse (Repo) Equity Equity Agency Portfolio Total Assets: 4.6 billion(1) Residential Mortgage Credit Portfolio Total Assets: 16.4 billion(1) 84% of Chimera's equity capital is allocated to mortgage credit

Information is unaudited, estimated and subject to change. 3 March 31, 2018 Total Portfolio: $20.9 billion Non-Agency MBS Agency MBS Loan Portfolio 13% 22% 65% GAAP ASSET ALLOCATION(1) (1) Based on fair value. Chimera securitized $549 million of residential mortgage loans in the first quarter of 2018 December 31, 2017 Total Portfolio: $20.9 billion Non-Agency MBS Agency MBS Loan Portfolio 14% 21% 65%

Information is unaudited, estimated and subject to change. 4 March 31, 2018 Total Financing: $16.7 Billion Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Recourse Debt, Securitized RMBS and Loans (2) 20% 23% 57% GAAP FINANCING SOURCES Total Leverage(1): 4.6:1 Recourse Leverage(1): 2.0:1 December 31, 2017 Total Financing: $16.8 Billion Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Recourse Debt, Securitized RMBS and Loans (2) 19% 24% 57% (1) Leverage ratios as of March 31, 2018 (2) Consists of tranches of RMBS and loan securitizations sold to third parties.

Information is unaudited, estimated and subject to change. 5 ($ in thousands) At Issuance / Acquisition March 31, 2018 Vintage Deal Total OriginalFace Total of Tranches Sold Total of Tranches Retained Total Remaining Face Remaining Face of Tranches Sold Remaining Face of Tranches Retained 2018 CIM 2018-R2 $380,292 $266,204 114,088 $380,292 $266,204 $114,088 2018 CIM 2018-R1 169,032 140,297 28,735 169,032 140,297 28,735 2017 CMLTI 2017-RP2 421,329 42,133 379,196 408,748 103,463 305,285 2017 CIM 2017-8(1) 1,148,050 688,829 459,221 1,095,472 636,401 459,071 2017 CIM 2017-7 512,446 301,062 211,384 483,442 313,067 170,375 2017 CIM 2017-6 782,725 626,179 156,546 727,978 570,627 157,351 2017 CIM 2017-5 377,034 75,407 301,627 346,898 45,347 301,551 2017 CIM 2017-4 830,510 710,003 120,507 664,003 548,951 115,052 2017 CIM 2017-3 2,434,640 2,113,267 321,373 2,069,526 1,748,418 321,108 2017 CIM 2017-2 331,440 248,580 82,860 290,364 207,320 83,044 2017 CIM 2017-1 526,267 368,387 157,880 450,136 293,139 156,997 2016 CIM 2016-FRE1 185,811 115,165 70,646 160,004 88,852 71,152 2016 CIM 2016-4(1) 601,733 493,420 108,313 489,829 379,794 110,035 2016 CIM 2016-3 1,746,084 1,478,933 267,151 1,328,775 1,066,141 262,634 2016 CIM 2016-2 1,762,177 1,492,563 269,614 1,343,666 1,076,717 266,949 2016 CIM 2016-1 1,499,341 1,266,898 232,443 1,130,710 903,758 226,952 2015 CIM 2015-4AG(1) 750,647 425,000 325,647 502,371 315,119 187,252 2015 CIM 2015-3AG(1) 698,812 520,935 177,877 441,967 286,378 155,589 2015 CIM 2015-2AG(1) 330,293 276,998 53,295 201,300 154,212 47,088 2012 CSMC 2012-CIM1 741,939 707,810 34,129 53,721 25,487 28,234 2012 CSMC 2012-CIM2 425,091 404,261 20,830 45,279 27,275 18,004 2012 CSMC 2012-CIM3 329,886 305,804 24,082 115,931 97,242 18,689 2008 PHHMC 2008-CIM1 619,710 549,142 70,568 42,935 31,273 11,662 TOTAL $17,605,289 $13,617,277 $3,988,012 $12,942,379 $9,325,482 $3,616,897 (1) Contains collateral from Springleaf deals acquired in 2014. CONSOLIDATED LOAN SECURITIZATIONS

Information is unaudited, estimated and subject to change. 6 ($ in thousands) At Issuance / Acquisition March 31, 2018 Vintage Deal Total OriginalFace Total of Tranches Sold Total of Tranches Retained Total Remaining Face Remaining Face of Tranches Sold Remaining Face of Tranches Retained 2014 CSMC 2014-4R(1) 367,271 — 367,271 203,750 — 203,750 2010 CSMC 2010-1R 1,730,581 691,630 1,038,951 486,588 3,443 483,145 2010 CSMC 2010-11R 566,571 338,809 227,762 193,230 — 193,230 2009 CSMC 2009-12R 1,730,698 915,566 815,132 460,284 84,623 375,661 2009 JPMRR 2009-7 1,522,474 856,935 665,539 419,677 101,377 318,300 2009 JMAC 2009-R2 281,863 192,500 89,363 73,215 19,378 53,837 TOTAL 6,199,458 2,995,440 3,204,018 1,836,744 208,821 1,627,923 % of origination remaining 30% 7% 51% CONSOLIDATED RMBS SECURITIZATIONS ▪ Re-Remic subordinate bonds have had slow prepayments considering the low interest rate environment ▪ Chimera expects the subordinate bond portfolio to have meaningful impact on earnings for the foreseeable future (1) Contains collateral from CSMC 2010-12R Trust.

Information is unaudited, estimated and subject to change. 7 Agency Securities – As of March 31, 2018 Repo Days to Maturity – As of March 31, 2018 Agency Securities – As of December 31, 2017 Repo Days to Maturity – As of December 31, 2017 Maturity PrincipalBalance Weighted Average Rate Weighted Average Days Within 30 days $2,124,925 1.44% 30 to 59 days 647,890 1.48% 60 to 89 days 429,241 1.63% Total $3,202,056 1.47% 28 Days (1) Coupon is a weighted average for Commercial and Agency IO (2) Notional Agency IO was $3.0 billion and $3.0 billion as of March 31, 2018 and December 31, 2017 respectively. Security Type Coupon (1) Current Face Weighted Average Market Price Weighted Average CPR Agency Pass- through 3.50% $828,730 100.4 7.9 4.00% 1,276,070 102.8 11.9 4.50% 160,833 105.5 15.1 Commercial 3.6% 2,153,980 99.7 — Agency IO 0.7% N/M(2) 3.3 8.0 Total $4,419,613     Maturity PrincipalBalance Weighted Average Rate Weighted Average Days Within 30 days $1,844,287 1.70% 30 to 59 days 887,135 1.80% 60 to 89 days 579,055 1.91% Total $3,310,477 1.77% 32 Days Security Type Coupon (1) Current Face Weighted Average Market Price Weighted Average CPR Agency Pass- through 3.50% $850,775 102.9 9.9 4.00% 1,207,687 104.9 13.4 4.50% 168,666 106.8 14.0 Commercial 3.6% 1,894,594 102.3 — Agency IO 0.7% N/M(2) 3.5 3.1 Total $4,121,722 AGENCY & REPO SUMMARY

Information is unaudited, estimated and subject to change. 8 Description ($ in thousands) - 100 Basis Points - 50 Basis Points Unchanged +50 Basis Points +100 Basis Points Agency Securities Market Value $ 4,842,053 $ 4,703,683 $ 4,557,799 $ 4,407,918 $ 4,256,875 Percentage Change 6.2 % 3.2 % - (3.3)% (6.6)% Swap Market Value (173,915) (84,994) - 84,348 165,956 Percentage Change (3.8)% (1.9)% - 1.9 % 3.6 % Futures Market Value (34,235) (16,884) - 16,432 32,423 Percentage Change (0.8)% (0.4)% - 0.4 % 0.7 % Net Gain/(Loss) $ 76,104 $ 44,006 - $ (49,101) $ (102,545) Percentage Change in Portfolio Value(1) 1.7 % 1.0 % - (1.1)% (2.2)% Near Term 0-3 Short Term 3-5 Medium Term 5-10 Long Term 10-30 Hedge Book Maturities 33% 23% 36% 8% INTEREST RATE SENSITIVITY Chimera added to its Agency Commercial and hedge portfolios during the quarter Total Notional Balance - Derivative Instruments March 31, 2018 December 31, 2017 Agency Interest Rate Swaps 3,358,900 3,011,400 Swaptions 361,000 391,000 Futures 619,700 619,700 (1) Based on instantaneous moves in interest rates.

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