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INVESTOR
PRESENTATION
NYSE: CIM
4th Quarter 2017
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
CHIMERA IS A RESIDENTIAL MORTGAGE REIT
Chimera develops and manages a portfolio of leveraged mortgage investments to
produce an attractive quarterly dividend for shareholders
▪ Established in 2007
▪ Internally managed since August 2015
▪ Total Capital $3.6 Billion
▪ Total Portfolio $20.9 Billion
▪ Common Stock Price $18.48 / Dividend Yield 10.82%
▪ 8.00% Fixed Series A Preferred Stock Price $25.82
▪ 8.00% Variable Series B Preferred Stock Price $25.80
▪ Overall leverage ratio 4.6:1 / Recourse leverage ratio 2.0:1
All data as of December 31, 2017
Information is unaudited, estimated and subject to change. 3
TOTAL RETURN
Chimera has outperformed it's peers since internalization of management in August 2015
All data as of December 31, 2017
*Assuming reinvestment of dividends
Source: Bloomberg
CIM US Equity REM US Equity SPY US Equity
Cumulative Total Return*
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
-10%
-20%
-30%
8/5
/20
15
9/1
6/2
015
10/
27/
201
5
12/
8/2
015
1/2
1/2
016
3/3
/20
16
4/1
4/2
016
5/2
5/2
016
7/7
/20
16
8/1
7/2
016
9/2
8/2
016
11/
8/2
016
12/
20/
201
6
2/2
/20
17
3/1
6/2
017
4/2
7/2
017
6/8
/20
17
7/2
0/2
017
8/3
0/2
017
10/
11/
201
7
11/
21/
201
7
81%
36%
34%
12/31/201
7
Information is unaudited, estimated and subject to change. 4
HISTORICAL TOTAL RETURN
Chimera has consistently produced industry and market leading returns
All data as of December 31, 2017
*Assuming reinvestment of dividends
Source: Bloomberg
1 year 3 year 5 year
Cumulative Total Return *
200%
150%
100%
50%
0%
CIM US Equity REM US Equity SPY US Equity
20% 19% 22%
73%
31%
38%
182%
49%
107%
Information is unaudited, estimated and subject to change. 5
DIVIDENDS
Chimera has paid $3.96 billion in dividends since inception
Common Dividends Preferred Dividends Special Dividends Cummulative Dividends Paid
700
600
500
400
300
200
100
0
$
(M
illi
on
s)
5,000
4,000
3,000
2,000
1,000
0
$
(M
illi
on
s)
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Period Ending
All data as of December 31, 2017
Information is unaudited, estimated and subject to change. 6
DYNAMIC INVESTMENT STRATEGY
Chimera's focus of investment activities has been through acquiring residential mortgage
loans, non-agency RMBS, agency RMBS and agency CMBS
Residential
Mortgage Loans
Chimera acquires seasoned residential mortgage loans. Chimera utilizes leverage through a
combination of securitization, repo and warehouse facilities to manage risk and increase returns on
the portfolio. Chimera's loan portfolio has historically generated higher returns with less price
volatility and interest rate risk than comparable Agency RMBS.
Non-Agency
RMBS
Chimera invests in both investment grade and non-investment grade RMBS. This portfolio provides
high risk adjusted returns for the investment portfolio while providing increased liquidity for the
credit portfolio of mortgages. Non-Agency RMBS securities carry higher yields than Agency RMBS.
Agency
RMBS
Agency mortgage-backed securities that are backed by residential loans provide spread income for the
portfolio with added benefit of liquidity. Chimera utilizes repo and various hedging techniques to
increase returns on the portfolio while managing interest rate risk. Agency securities are amongst the
most liquid securities available in the fixed income market.
Agency
CMBS
Agency CMBS provides many of the same benefits as Agency RMBS while adding convexity to the
portfolio. Agency CMBS typically carries prepay protection for the investor enabling more efficient
hedging techniques than RMBS.
Information is unaudited, estimated and subject to change. 7
PORTFOLIO COMPOSITION
Residential
Mortgage Credit
Portfolio
Agency MBS
Portfolio Total Portfolio
Gross Asset Yield: 7.2% 3.0% 6.3%
Financing Cost(2): 3.9% 2.0% 3.6%
Net Interest
Spread: 3.3% 1.0% 2.7%
Net Interest
Margin: 3.7% 1.4% 3.2%
Portfolio Yields and Spreads(1)
13
12
11
10
9
8
7
6
5
4
3
2
1
0
B
ill
io
ns
$3.0
$0.7
$4.0
$3.2
$9.6
Non-Recourse
(Securitization)
Recourse (Repo)
Recourse (Repo)
Equity Equity
Agency MBS Portfolio
Total Assets: 4.4 billion(1)
Residential Mortgage
Credit Portfolio
Total Assets: 16.5 billion(1)
82% of Chimera's equity capital is allocated to mortgage credit
All data as of December 31, 2017
(1) Reflects fourth quarter 2017 average assets, yields, and spreads
(2) Includes the interest incurred on interest rate swaps
All data as of December 31, 2017
(1) Financing excludes unsettled trades
Information is unaudited, estimated and subject to change. 8
2016-2017 Chimera
Securitizes $13.2 Billion
Seasoned Loans
• Performing loans with 10 years
of payment history
• 14 securitizations with all senior
securities placed
• $ 3.1 billion bonds retained for
investment portfolio
2014 Chimera Acquires
$4.8 Billion Seasoned
Loan Portfolio
• Originated by American
General
• 7 Securitizations with
embedded call options
• 7 deals called and re-securitized
2009–2011 Chimera
Creates and Retains
$3.2 Billion High Yield
Subordinate Bonds
• $1.7 billion current remaining
face value of subordinate bonds
• Durable value over wide band of
prepayment rates
• Difficult to re-create in size and
price
UNIQUE MORTGAGE CREDIT PORTFOLIO
Key transactions distinguish Chimera from other Mortgage REITs
All data as of December 31, 2017
Re-Remic Subordinate Bond
Portfolio
Springleaf Seasoned Loan
Portfolio
Risk Retention Seasoned
Loan Portfolio
Information is unaudited, estimated and subject to change. 9
LOAN PORTFOLIO COMPOSITION
Chimera has acquired a unique portfolio of residential mortgage loans comprising 65% of the total portfolio
All data as of December 31, 2017
Seasoned Low Loan Balance Mortgage Portfolio
Total Current Unpaid Balance $13.5 Billion
Total Number of Loans 149,172
Weighted Average Loan Size $90,672
Weighted Average Coupon 6.88%
Average Loan Age 144 Months
Securitized Loan Portfolio
Non-Agency RMBS
Consolidated RMBS Securitizations
Agency CMBS
Agency Pass Through
65%
6%
8%
10%
11%
Total Portfolio
Information is unaudited, estimated and subject to change. 10
THE SECURITIZATION PROCESS
Chimera created long, term-funding through securitization
Creation of senior and subordinate bonds
$100mm
Non-Agency Mortgage
Bond or Loans
$100mm Trust
(Non-Agency RMBS
Collateral)
Deposit
$70mm Senior A Note
Sold to 3rd Party
$30mm
Subordinate B Note
Retained by CIM
CIM buys $100mm Non-
Agency mortgage bond or
loans from dealer
CIM deposits the bond or loans into a
trust
The trust issues bonds backed
by the cashflow of the underlying bond
• CIM sells the Senior A note
◦ The A note receives P&I from the $100mm bond
until the $70mm is paid off
• CIM retains the Subordinate B note
◦ The B note receives interest, all losses from the
$100mm bond and starts to receive principal only
after the Senior A note is paid off in full
Principa
l
& Interes
t
Losses
&Interes
t
1 2 3
Information is unaudited, estimated and subject to change. 11
SECURITIZATION ACTIVITY
Chimera has securitized over $23.5 billion of collateral and retained over $7 billion of bonds
($ in thousands) At Issuance
Vintage Type
Total Original
Face
Total Bonds
Sold
(Financing)
Total Bonds
Retained
2008 Loan 619,710 549,142 70,568
2009 RMBS 3,535,035 1,965,001 1,570,034
2010 RMBS 2,297,152 1,030,439 1,266,713
2012 Loan 1,496,916 1,417,875 79,041
2014 RMBS 367,271 — 367,271
2015 Loan 2,048,483 1,437,918 610,565
2016 Loan 5,795,146 4,846,979 948,167
2017 Loan 7,364,441 5,173,847 2,190,594
Total 23,524,154 16,421,201 7,102,953
% of Total 100% 70% 30%
Total Bonds Retained
Total Bonds Sold
Cumulative Total Bonds Retained
Securitization at Issuance
8,000
6,000
4,000
2,000
0
$
(m
illi
on
s)
2008 2009 2010 2012 2014 2015 2016 2017
▪ 87% of our credit portfolio is related to loans or bonds
Chimera securitized
▪ 69% of our total portfolio is related to loans or bonds
Chimera securitized
All data as of December 31, 2017
Information is unaudited, estimated and subject to change. 12
2017 SECURITIZATION ACTIVITY
Chimera has securitized $6.9 billion in 2017 growing the investment portfolio to $20.9 billion
Loan Securitizations
CIM 2017-1
$526,267,000
January 2017
CIM 2017-2
$331,440,000
February 2017
CIM 2017-3
$2,434,640,000
March 2017
CIM 2017-4
$830,510,000
March 2017
▪ Chimera closed eight securitizations in 2017 of seasoned, performing, low-loan
balance residential mortgage loans
▪ Chimera sold $5.1 billion of these securities, retaining an interest of $1.8 billion
All data as of December 31, 2017
CIM 2017-5
$377,034,000
May 2017
CIM 2017-6
$782,725,000
August 2017
CIM 2017-7
$512,446,000
October 2017
CIM 2017-8
$1,148,050,000
October 2017
CIMLTI 2017-RP2
$421,329,000
2017
Information is unaudited, estimated and subject to change. 13
2016 SECURITIZATION ACTIVITY
Chimera securitized $5.8 billion in 2016 growing the investment portfolio to $16.3 billion
Loan Securitizations
CIM 2016-1
$1,499,341,000
April 2016
CIM 2016-2
$1,762,177,000
May 2016
CIM 2016-3
$1,746,084,000
May 2016
CIM 2016-4
$601,733,000
October 2016
CIM 2016-5
$66,171,000
October 2016
CIM 2016-FRE 1
$185,881,000
October 2016
▪ Chimera has one of the largest seasoned, performing, small balance residential
loan portfolios in the Mortgage REIT Industry
▪ Chimera securitized $185 million loans with Freddie Mac in a pilot program
▪ Chimera expects high single digit yields on the portfolio without leverage
All data as of December 31, 2017
Information is unaudited, estimated and subject to change. 14
($ in thousands) At Issuance / Acquisition December 31, 2017
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 — 367,271 210,789 — 210,789
2010 CSMC 2010-1R 1,730,581 691,630 1,038,951 504,330 3,669 500,661
2010 CSMC 2010-11R 566,571 338,809 227,762 207,428 — 207,428
2009 CSMC 2009-12R 1,730,698 915,566 815,132 476,131 87,478 388,653
2009 JPMRR 2009-7 1,522,474 856,935 665,539 435,208 108,077 327,131
2009 JMAC 2009-R2 281,863 192,500 89,363 75,301 19,949 55,352
TOTAL 6,199,458 2,995,440 3,204,018 1,909,187 219,173 1,690,014
% of origination remaining 31% 7% 53%
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
All data as of December 31, 2017
(1) Contains collateral from CSMC 2010-12R Trust.
(2) Projected Balances are estimated based on future cash flows and changes in prepayment speeds
Significant outstanding balances
remain under a number of
prepayment projections
Total Remaining Face - Projected Balances (2)
Change in CPR (%) December 31,2018
December 31,
2019
December 31,
2020
-50% 1,694,685 1,505,348 1,339,923
Unchanged 1,621,727 1,383,139 1,186,684
+50% 1,548,049 1,266,514 1,048,304
Re-Remic subordinate bonds have experienced slow prepayments since securitization
Information is unaudited, estimated and subject to change. 15
AGENCY PORTFOLIO COMPOSITION
Chimera has been increasing Agency CMBS , investing primarily in Ginnie Mae project loans
Agency CMBS have less prepayment risk vs similar agency RMBS
Agency CMBS Agency CMBS as a % of total Agency
2,200
2,000
1,800
1,600
1,400
1,200
1,000
$
(M
illi
on
s)
50
45
40
35
30
25
20
15
%
1Q16 2Q16 3Q16 4Q16 1Q17 2Q17 3Q17 4Q17
Period Ending
All data as of December 31, 2017
Information is unaudited, estimated and subject to change. 16
CAPITAL MANAGEMENT
Chimera continues to add shareholder value while diversifying its capital structure
All data as of December 31, 2017
Preferred Stock
5,800,000 Shares
8.00% Fixed Series A
Cumulative Redeemable Preferred Stock
October 2016
Liquidation Preference $25.00 Per Share
▪ Series A is a fixed coupon and is callable in 5 years on October 30, 2021
▪ Series B is a fixed coupon for 7 years then floats at LIBOR plus 5.791%
▪ Series B is a callable in 7 years on March 30, 2024
▪ Series A and B preferred shared trade on the New York Stock Exchange under symbols
CIM PRA and CIM PRB
13,000,000 Shares
8.00% Variable Series B
Cumulative Redeemable Preferred Stock
February 2017
Liquidation Preference $25.00 Per Share
▪ Board of Directors announces intention to pay $2.00 dividends in 2018
▪ Board of Directors re-authorizes $100 million common stock repurchase in February 2018
▪ Chimera has raised $470 million in preferred stock, representing 13% of total capital
▪ In 2015 Chimera repurchased 18 million shares of common stock for $250 million
Information is unaudited, estimated and subject to change. 17
SUMMARY
Chimera has developed a diversified portfolio of mortgage backed securities to maximize
risk adjusted returns. Consistent dividend generation has equated to industry leading
total rate of return for our common stock.
Chimera has created a high yield mortgage portfolio through securitization. 65 percent of
Chimera’s seasoned mortgage portfolio has a weighted average coupon of 6.88% with a
weighted average loan size of $90,000.
Upward trending macro-economic conditions for U.S. employment and housing are
positive for the credit of Chimera’s mortgage portfolio.
Positive Macro-Economic
Environment
Unique Mortgage
Portfolio
Dynamic Investment
Strategy
Chimera has assembled a portfolio of unique mortgage assets with a goal to provide high
and durable income to shareholders
Information is unaudited, estimated and subject to change.
Appendix
Information is unaudited, estimated and subject to change. 19
Agency Securities – As of December 31, 2017 Repo Days to Maturity – As of December 31, 2017
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
Maturity PrincipalBalance
Weighted
Average Rate
Weighted
Average Days
Within 30 days $2,124,925 1.44%
30 to 59 days 647,889.511 1.48%
60 to 89 days 429,241 1.63%
90 to 360 days — —%
Total $3,202,055.511 1.47% 28 Days
The majority of Chimera's Agency Portfolio consists of highly liquid pass-through securities
AGENCY MBS PORTFOLIO AND FUNDING
All data as of December 31, 2017
(1) Coupon is a weighted average for Commercial and Agency IO
(2) Notional Agency IO was $3.0 billion as of December 31, 2017
Information is unaudited, estimated and subject to change. 20
Description
($ in thousands)
- 100 Basis
Points
- 50 Basis
Points Unchanged
+50 Basis
Points
+100 Basis
Points
Agency
Securities
Market Value $ 4,610,532 $ 4,491,913 $ 4,364,828 $ 4,229,318 $ 4,089,486
Percentage Change 5.6 % 2.9 % - (3.1)% (6.3)%
Swap
Market Value (160,638) (77,945) - 75,607 150,428
Percentage Change (3.7)% (1.8)% - 1.7 % 3.4 %
Futures
Market Value (34,928) (17,228) - 16,767 33,098
Percentage Change (0.8)% (0.4)% - 0.4 % 0.8 %
Net Gain/(Loss) $ 50,138 $ 31,912 - $ (43,136) $ (91,816)
Percentage Change
in Portfolio Value(1) 1.1 % 0.7 % - (1.0)% (2.1)% Near Term 0-3
Short Term 3-5
Medium Term 5-10
Long Term 10-30
Hedge Book Maturities
37%
31%
32%
1%
INTEREST RATE SENSITIVITY
Chimera continues to reduce its rate exposure by reducing its Agency portfolio and hedges
Total Notional Balance - Derivative Instruments
December 31, 2017 September 30, 2017
Interest Rate Swaps 3,816,400 3,373,400
Swaptions 391,000 482,000
Futures 619,700 619,700
(1) Based on instantaneous moves in interest rates.
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