CHIMERA INVESTMENT CORPORATION RELEASES 4TH QUARTER 2015 EARNINGS

4^TH QUARTER 2015 CORE EARNINGS⁽¹⁾ OF $0.53 PER SHARE AND GAAP EARNINGS OF $0.61 PER SHARE
FULL YEAR CORE EARNINGS⁽¹⁾ OF $2.37 PER SHARE UP FROM $2.14 IN 2014 AND $1.69 IN 2013.
2015 TAXABLE DIVIDENDS PER SHARE OF $1.92 PER SHARE UP 7% FROM $1.79 IN 2014 AND UP 37% FROM $1.40 IN 2013
ECONOMIC BOOK VALUE⁽¹⁾ OF $14.65 PER SHARE AND GAAP BOOK VALUE OF $15.70 PER SHARE

BOARD INCREASES EXISTING SHARE BUYBACK PROGRAM BY $100 MILLION TO $350 MILLION
BOARD DECLARES FIRST QUARTER 2016 DIVIDEND OF $0.48 PER SHARE; EXPECTS TO MAINTAIN A $0.48 DIVIDEND FOR THE REMAINING THREE QUARTERS OF 2016

NEW YORK--(BUSINESS WIRE)-- “Chimera took a number of important steps in fiscal year 2015 that enabled us to deliver growth in core earnings per share, further enhance dividend coverage and better position the company to increase long-term value for shareholders,” said Matt Lambiase, Chimera’s President and Chief Executive Officer.

“These steps included internalizing our management function to better align the interests of management with our shareholders, repurchasing $250 million of our stock in 2015, and strategically managing our portfolio and financing. We continued to securitize loan collateral to reduce our financing costs and increase equity capital, including securitizing residential loan collateral acquired in 2014 from Springleaf. Finally, we reallocated capital into assets with more attractive risk-return profiles, and we successfully grew the principal balance of our Agency CMBS portfolio to $952 million, while reducing our exposure to Agency RMBS.

We are confident about our future heading into 2016. The Board increased our share repurchase authorization and plans to pay a quarterly dividend of $0.48 throughout the fiscal year 2016,” Mr. Lambiase concluded.

(1) Core earnings and economic book value are non-GAAP measures. See additional discussion on page 5.

Other Information

Chimera Investment Corporation is a publicly traded real estate investment trust, or REIT, that is primarily engaged in real estate finance. We were incorporated in Maryland on June 01, 2007 and commenced operations on November 21, 2007. We invest, either directly or indirectly through our subsidiaries, in RMBS, residential mortgage loans, Agency CMBS, commercial mortgage loans, real estate-related securities and various other asset classes. We have elected and believe that we are organized and have operated in a manner that enables us to be taxed as a REIT under the Internal Revenue Code of 1986, as amended, or the Code.

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


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


	December 31, 2015			December 31, 2014
Assets:
Cash and cash equivalents	$	114,062		$	164,620
Non-Agency RMBS, at fair value		3,675,841			3,404,149
Agency RMBS, at fair value		6,514,824			8,441,522
Securitized loans held for investment, net of allowance for loan losses of $0 million and $7 million, respectively		-			626,112
Securitized loans held for investment, at fair value		4,768,416			4,699,215
Receivable for investments sold		-			1,572,056
Accrued interest receivable		66,247			71,099
Other assets		189,796			172,601
Derivatives, at fair value, net		15,460			3,631
Total assets (1)	$	15,344,646		$	19,155,005

Liabilities:
Repurchase agreements, RMBS ($8.8 billion and $9.3 billion pledged as collateral, respectively)	$	7,439,339		$	8,455,381
Securitized debt, collateralized by Non-Agency RMBS ($2.1 billion and $2.5 billion pledged as collateral, respectively)		529,415			704,915
Securitized debt, collateralized by loans held for investment ($0 million and $626 million pledged as collateral, respectively)		-			521,997
Securitized debt at fair value, collateralized by loans held for investment ($4.8 billion and $4.7 billion pledged as collateral, respectively)		3,720,496			3,868,366
Payable for investments purchased		560,641			1,845,282
Accrued interest payable		37,432			31,888
Dividends payable		90,097			92,483
Accounts payable and other liabilities		11,404			2,469
Investment management fees payable		-			10,357
Derivatives, at fair value		9,634			14,177
Total liabilities (1)		12,398,458			15,547,315

Commitments and Contingencies (See Note 16)

Stockholders' Equity:
Preferred Stock: par value $0.01 per share; 100,000,000 shares authorized, 0 shares issued and outstanding, respectively	$	-		$	-
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,711,868 and 205,546,144 shares issued and outstanding, respectively		1,877			2,055
Additional paid-in-capital		3,366,568			3,614,411
Accumulated other comprehensive income		773,791			1,046,680
Accumulated deficit		(1,196,048	)		(1,055,456	)
Total stockholders' equity	$	2,946,188		$	3,607,690
Total liabilities and stockholders' equity	$	15,344,646		$	19,155,005

(1) The Company's consolidated statements of financial condition include assets of consolidated variable interest entities ("VIEs") that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corp.). As of December 31, 2015 and 2014, total assets of consolidated VIEs were $7,031,278 and $7,924,232, respectively, and total liabilities of consolidated VIEs were $4,262,017 and $5,111,348, respectively. See Note 8 for further discussion.


CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME
(dollars in thousands, except share and per share data)


	For the Year Ended
Net Interest Income:	December 31, 2015			December 31, 2014			December 31, 2013
Interest income (1)	$	872,737		$	687,795		$	511,783
Interest expense (2)		259,365			147,785			101,999
Net interest income		613,372			540,010			409,784

Other-than-temporary impairments:
Total other-than-temporary impairment losses		(8,700	)		(8,713	)		(4,356	)
Portion of loss recognized in other comprehensive income		(58,744	)		(55,279	)		(40,811	)
Net other-than-temporary credit impairment losses		(67,444	)		(63,992	)		(45,167	)

Other investment gains (losses):
Net unrealized gains (losses) on derivatives		67,385			(103,496	)		34,369
Realized gains (losses) on terminations of interest rate swaps		(98,949	)		-			-
Net realized gains (losses) on derivatives		(83,073	)		(82,852	)		(7,713	)
Net gains (losses) on derivatives		(114,637	)		(186,348	)		26,656
Net unrealized gains (losses) on financial instruments at fair value		(158,433	)		193,534			(44,277	)
Net realized gains (losses) on sale of investments		77,074			91,709			68,107
Gain (loss) on deconsolidation		(256	)		47,846			-
Gains (losses) on Extinguishment of Debt		(5,930	)		(2,184	)		-
Realized losses on principal write-downs of Non-Agency RMBS		-			-			(18,316	)
Total other gains (losses)		(202,182	)		144,557			32,170

Other expenses:
Management fees		24,609			32,514			25,952
Expense recoveries from Manager		(6,906	)		(8,936	)		(6,788	)
Net management fees		17,703			23,578			19,164

Provision for loan losses, net		-			(232	)		(1,799	)
Compensation and benefits		10,544			-			-
General and administrative expenses		31,633			20,403			14,085
Servicing Fees of consolidated VIEs		25,244			10,004			2,649
Deal Expenses		8,272			1,398			-
Other (income) expense		-			(23,783	)		-
Total other expenses		93,396			31,368			34,099

Income (loss) before income taxes		250,350			589,207			362,688
Income taxes		1			2			2
Net income (loss)	$	250,349		$	589,205		$	362,686

Net income (loss) per share available to common shareholders:
Basic	$	1.25		$	2.87		$	1.77
Diluted	$	1.25		$	2.87		$	1.76

Weighted average number of common shares outstanding:
Basic		199,563,196			205,450,095			205,418,876
Diluted		199,650,177			205,508,769			205,514,069

Comprehensive income (loss):
Net income (loss)	$	250,349		$	589,205		$	362,686
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net		(263,049	)		134,113			23,807
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses		67,444			63,992			45,167
Reclassification adjustment for net realized losses (gains) included in net income		(77,284	)		(94,382	)		(68,107	)
Reclassification adjustment for gain on deconsolidation included in net income		-			(47,846	)		-
Other comprehensive income (loss)		(272,889	)		55,877			867
Comprehensive income (loss)	$	(22,540	)	$	645,082		$	363,553

(1)		Includes interest income of consolidated VIEs of $575,715, $428,992 and $371,559 for the years ended December 31, 2015, 2014, and 2013 respectively. See Note 8 for further discussion.

(2)		Includes interest expense of consolidated VIEs of $191,922, $119,103 and $95,229 for the years ended December 31, 2015, 2014, and 2013 respectively. See Note 8 for further discussion.


CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME (LOSS)
(dollars in thousands, except share and per share data)
(unaudited)

	For the Quarter Ended
	December 31, 2015			September 30, 2015			June 30, 2015			March 31, 2015
	(dollars in thousands, except per share data)
Net Interest Income:
Interest income	$	201,912		$	211,876		$	215,804		$	243,145
Interest expense		64,955			67,910			66,044			60,456
Net interest income		136,957			143,966			149,760			182,689
Other-than-temporary impairments:
Total other-than-temporary impairment losses		(2,311	)		(3,129	)		(2,208	)		(1,052	)
Portion of loss recognized in other comprehensive income		(12,385	)		(14,703	)		(24,893	)		(6,763	)
Net other-than-temporary credit impairment losses		(14,696	)		(17,832	)		(27,101	)		(7,815	)
Net gains (losses) on derivatives		44,546			(92,700	)		40,127			(106,610	)
Net unrealized gains (losses) on financial instruments at fair value		(69,793	)		(40,955	)		(37,260	)		(10,425	)
Gain (loss) on deconsolidation		(256	)		-			-			-
Gain (loss) on Extinguishment of Debt		8,906			(19,915	)		5,079			-
Net realized gains (losses) on sales of investments		34,285			3,539			9,685			29,565
Total other expenses		24,569			24,362			24,103			20,362
Net income	$	115,380		$	(48,259	)	$	116,187		$	67,042
Net income per share-basic	$	0.61		$	(0.24	)	$	0.57		$	0.33

	For the Quarter Ended
	December 31, 2014			September 30, 2014			June 30, 2014			March 31, 2014
	(dollars in thousands, except per share data)
Net Interest Income:
Interest income	$	242,455		$	190,355		$	134,318		$	120,667
Interest expense		65,794			38,886			20,680			22,425
Net interest income		176,661			151,469			113,638			98,242
Other-than-temporary impairments:
Total other-than-temporary impairment losses		(3,774	)		(726	)		(3,813	)		(400	)
Portion of loss recognized in other comprehensive income		(51,347	)		(1,264	)		(1,534	)		(1,134	)
Net other-than-temporary credit impairment losses		(55,121	)		(1,990	)		(5,347	)		(1,534	)
Net gains (losses) on derivatives		(125,936	)		(10,177	)		(42,289	)		(7,946	)
Net unrealized gains (losses) on financial instruments at fair value		9,812			162,921			5,791			15,010
Gain of deconsolidation		-			-			47,846			-
Loss on Extinguishment of Debt		-			-			-			(2,184	)
Net realized gains (losses) on sales of investments		23,564			64,107			(4,339	)		8,377
Total other expenses		22,494			(11,250	)		10,531			9,597
Net income	$	6,486		$	377,580		$	104,769		$	100,368
Net income per share-basic	$	0.03		$	1.85		$	0.50		$	0.49

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. Core earnings are provided for the purpose of comparability to other peer issuers, but have important limitations. Core earnings as described above helps evaluate our financial performance without the impact of certain transactions and is of limited usefulness as an analytical tool. Therefore, core earnings should not be viewed in isolation and is not a substitute for net income or net income per basic share computed in accordance with GAAP.

The following table provides GAAP measures of net income and net income per basic share available to common stockholders for the years ended December 31, 2015, 2014, and 2013 and details with respect to reconciling the line items to core earnings and related per average basic common share amounts:


	For the Year Ended
	December 31, 2015			December 31, 2014			December 31, 2013
	(dollars in thousands, except per share data)
GAAP Net income	$	250,349		$	589,205		$	362,686
Adjustments:
Net other-than-temporary credit impairment losses		67,444			63,992			45,167
Net unrealized (gains) losses on derivatives		(67,385	)		103,496			(34,369	)
Net unrealized (gains) losses on financial instruments at fair value		158,433			(193,534	)		44,277
Net realized (gains) losses on sales of investments		(77,074	)		(91,709	)		(68,107	)
(Gains) losses on extinguishment of debt		5,930			2,184			-
Realized (gains) losses on terminations of interest rate swaps		98,949			-			-
Net realized (gains) losses on derivatives		35,523			38,552			(2,029	)
Total other (gains) losses		256			(71,629	)		-
Core Earnings	$	472,425		$	440,557		$	347,625

GAAP net income per basic common share	$	1.25		$	2.87		$	1.77
Core earnings per basic common share	$	2.37		$	2.14		$	1.69

	For the Quarter Ended
	December 31, 2015			September 30, 2015			June 30, 2015			March 31, 2015			December 31, 2014
	(dollars in thousands, except per share data)
GAAP Net income	$	115,380		$	(48,259	)	$	116,187		$	67,041		$	6,485
Adjustments:
Net other-than-temporary credit impairment losses		14,696			17,832			27,101			7,815			55,122
Net unrealized (gains) losses on derivatives		(46,842	)		71,540			(88,028	)		(4,055	)		91,777
Net unrealized (gains) losses on financial instruments at fair value		69,793			40,955			37,260			10,425			(9,812	)
Net realized (gains) losses on sales of investments		(34,285	)		(3,539	)		(9,685	)		(29,565	)		(23,564	)
(Gains) losses on extinguishment of debt		(8,906	)		19,915			(5,079	)		-			-
Realized (gains) losses on terminations of interest rate swaps		(754	)		-			31,124			68,579			-
Net realized (gains) losses on derivatives		(9,018	)		9,309			7,778			27,454			17,523
Total other (gains) losses		256			-			-			-			-
Core Earnings	$	100,320		$	107,753		$	116,658		$	147,694		$	137,531

GAAP net income per basic common share	$	0.61		$	(0.24	)	$	0.57		$	0.33		$	0.03
Core earnings per basic common share	$	0.53		$	0.54		$	0.57		$	0.72		$	0.67

Note - The Company has excluded the impact of realized gains and losses on treasury futures in core earnings. For the years ended 2015, 2014 and 2013 the Company had a realized loss of $36 million, a realized loss of $39 million and a realized gain of $2 million, respectively on its treasury futures. Realized gains and losses on futures are the costs the Company has incurred on its futures portfolio.

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


	December 31, 2015
	Principal or Notional Value at Period-End (dollars in thousands)		Weighted Average Amortized Cost Basis		Weighted Average Fair Value		Weighted Average Coupon	Weighted Average Yield at Period-End (1)
Non-Agency RMBS
Senior	$	3,651,869	$	57.47	$	77.39	3.8%	13.7%
Senior, interest-only		5,426,029		4.95		4.32	1.7%	12.9%
Subordinated		762,466		69.25		79.26	3.2%	8.8%
Subordinated, interest-only		284,931		5.34		3.95	1.2%	10.9%
Agency MBS
Residential pass-through		5,045,418		105.07		104.41	3.7%	2.8%
Commercial pass-through		952,091		102.27		102.28	3.4%	2.9%
Interest-only		6,722,472		4.17		4.06	0.8%	3.4%

(1) Bond Equivalent Yield at period end.


	December 31, 2014
	Principal or Notional Value at Period-End (dollars in thousands)		Weighted Average Amortized Cost Basis		Weighted Average Fair Value		Weighted Average Coupon	Weighted Average Yield at Period-End (1)
Non-Agency RMBS
Senior	$	3,435,362	$	55.09	$	79.63	4.3%	15.9%
Senior, interest-only		5,221,937		4.35		3.97	1.6%	14.4%
Subordinated		690,599		50.18		65.79	3.1%	10.6%
Subordinated, interest-only		216,403		4.43		3.14	0.9%	9.2%
Agency MBS
Pass-through		7,774,266		104.96		106.19	4.0%	3.2%
Interest-only		3,884,523		4.89		4.79	0.9%	3.1%

(1) Bond Equivalent Yield at period end.

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


	December 31, 2015		December 31, 2014
	(dollars in thousands)
Overnight	$	-	$	-
1 to 29 days		3,312,902		2,652,717
30 to 59 days		2,501,513		1,371,856
60 to 89 days		246,970		656,915
90 to 119 days		430,026		2,068,740
Greater than or equal to 120 days		947,928		1,705,153
Total	$	7,439,339	$	8,455,381

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


	December 31, 2015			December 31, 2014

Interest earning assets at period-end (1)	$	14,959,081		$	17,170,998
Interest bearing liabilities at period-end	$	11,689,250		$	13,550,659
Leverage at period-end		4.0:1			3.8:1
Leverage at period-end (recourse)		2.7:1			2.6:1
Portfolio Composition, at amortized cost
Non-Agency RMBS		10.4	%		5.1	%
Senior		4.7	%		1.5	%
Senior, interest only		1.9	%		1.4	%
Subordinated		3.7	%		2.2	%
Subordinated, interest only		0.1	%		0.1	%
RMBS transferred to consolidated VIEs		10.1	%		10.3	%
Agency MBS		46.0	%		52.1	%
Residential		37.2	%		50.9	%
Commercial		6.8	%		N/A
Interest-only		2.0	%		1.2	%
Securitized loans held for investment		33.5	%		32.5	%
Fixed-rate percentage of portfolio		84.7	%		92.5	%
Adjustable-rate percentage of portfolio		15.3	%		7.5	%
Annualized yield on average interest earning assets for the year ended		6.0	%		6.9	%
Annualized cost of funds on average borrowed funds for the year ended (2)		2.5	%		2.5	%
(1) Excludes cash and cash equivalents.
(2) Includes the effect of realized losses on interest rate swaps.

Economic Book Value

The table below presents our estimated economic book value. We calculate and disclose this non-GAAP measurement because we believe it represents an estimate of the fair value of the assets we own or are able to dispose of, pledge, or otherwise monetize. The estimated economic book value should not be viewed in isolation and is not a substitute for book value computed in accordance with GAAP.


December 31, 2015
(dollars in thousands, except per share data)

GAAP Book Value	$	2,946,188
GAAP Book Value per Share	$	15.70

Economic Adjustments:
Assets of Consolidated VIEs		(6,908,910	)
Non-Recourse Liabilities of Consolidated VIEs		4,249,911
Interests in VIEs eliminated in consolidation		2,462,713

Total Adjustments - Net		(196,286	)
Total Adjustments - Net (per share)		1.05

Economic Book Value	$	2,749,902
Economic Book Value per Share	$	14.65


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

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

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

Total Adjustments - Net		(335,563	)
Total Adjustments - Net (per share)		1.63

Economic Book Value	$	3,272,127
Economic Book Value per Share	$	15.92

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 Year Ended
	December 31, 2015						December 31, 2014
	(dollars in thousands)
	Average Balance		Interest		Average Yield/Cost		Average Balance		Interest		Average Yield/Cost
Assets:
Interest-earning assets (1):
Agency RMBS	$	6,569,743	$	192,501	2.9	%	$	5,222,882	$	180,206	3.5	%
Non-Agency RMBS		1,274,344		105,647	8.3	%		801,547		78,577	9.8	%
Non-Agency RMBS transferred to consolidated VIEs		1,554,681		266,141	17.1	%		1,867,986		295,475	15.8	%
Jumbo Prime securitized residential mortgage loans held for investment		540,156		21,913	4.1	%		720,965		30,010	4.2	%
Seasoned sub-prime securitized residential mortgage loans held for investment		4,527,246		287,661	6.4	%		1,419,155		103,505	7.3	%
Total	$	14,466,170	$	873,863	6.0	%	$	10,032,535	$	687,773	6.9	%

Liabilities and stockholders' equity:
Interest-bearing liabilities:
Agency repurchase agreements (2)	$	5,776,980	$	77,975	1.3	%	$	4,749,283	$	71,569	1.5	%
Non-Agency repurchase agreements		1,627,909		36,694	2.3	%		444,599		9,634	2.2	%
Securitized debt, collateralized by Non-Agency RMBS		620,611		35,282	5.7	%		799,473		53,367	6.7	%
Securitized debt, collateralized by jumbo prime residential mortgage loans		431,179		16,766	3.9	%		720,965		21,602	3.0	%
Securitized debt, collateralized by seasoned sub-prime residential mortgage loans		3,734,069		137,658	3.7	%		1,174,682		44,134	3.8	%
Total	$	12,190,748	$	304,375	2.5	%	$	7,889,002	$	200,306	2.5	%

Net economic interest income/net interest rate spread			$	569,488	3.5	%			$	487,467	4.4	%

Net interest-earning assets/net interest margin	$	2,275,422			3.9	%	$	2,143,533			4.9	%

Ratio of interest-earning assets to interest bearing liabilities		1.19						1.27
(1) Interest-earning assets at amortized cost
(2) Interest includes periodic cash settlements on swaps


	For the Quarter Ended
	December 31, 2015						December 31, 2014
	(dollars in thousands)
	Average Balance		Interest		Average Yield/Cost		Average Balance		Interest		Average Yield/Cost
Assets:
Interest-earning assets (1):
Agency RMBS	$	5,967,169	$	37,762	2.5	%	$	7,898,850	$	70,884	3.6	%
Non-Agency RMBS		1,452,460		27,993	7.7	%		810,882		16,786	8.3	%
Non-Agency RMBS transferred to consolidated VIEs		1,465,966		64,045	17.5	%		1,697,510		70,058	16.5	%
Jumbo Prime securitized residential mortgage loans held for investment		474,543		3,688	3.1	%		666,017		8,564	5.1	%
Seasoned sub-prime securitized residential mortgage loans held for investment		4,522,426		68,411	6.1	%		4,612,214		76,153	6.6	%
Total	$	13,882,564	$	201,899	5.8	%	$	15,685,473	$	242,445	6.2	%

Liabilities and stockholders' equity:
Interest-bearing liabilities:
Agency repurchase agreements (2)	$	5,296,934	$	20,045	1.5	%	$	7,215,664	$	25,533	1.4	%
Non-Agency repurchase agreements		2,095,149		12,677	2.4	%		1,032,058		5,695	2.2	%
Securitized debt, collateralized by Non-Agency RMBS		550,634		8,171	5.9	%		723,905		13,808	7.6	%
Securitized debt, collateralized by jumbo prime residential mortgage loans		368,975		3,041	3.3	%		547,370		4,541	3.3	%
Securitized debt, collateralized by seasoned sub-prime residential mortgage loans		3,601,921		32,693	3.6	%		3,817,717		33,895	3.6	%
Total	$	11,913,613	$	76,627	2.6	%	$	13,336,714	$	83,472	2.5	%

Net economic interest income/net interest rate spread			$	125,272	3.2	%			$	158,973	3.7	%

Net interest-earning assets/net interest margin	$	1,968,951			3.6	%	$	2,348,761			4.1	%

Ratio of interest-earning assets to interest bearing liabilities		1.17						1.18
(1) Interest-earning assets at amortized cost
(2) Interest includes periodic cash settlements on swaps

The table below shows our economic net interest income, realized gains (losses) on sale of assets and the credit related OTTI, realized and unrealized gains (losses) on interest rate swaps and IOs, total management fee and G&A expenses, and income tax, each as a percentage of average equity, and the return on average equity for the periods presented.


	Economic Net Interest Income/Average Equity *	Realized Gains (Losses) on Sales and OTTI/Average Equity	Realized and Unrealized Gains (Losses) on Interest Rate Swaps and IOs/Average Equity	Total Management Fee, Compensation and G&A Expenses/Average Equity	Return on Average Equity
	(Ratios have been annualized)
For The Year Ended December 31, 2015	15.70%	(0.01%)	(1.42%)	(2.05%)	11.58%
For The Year Ended December 31, 2014	14.06%	17.67%	(1.83%)	(1.60%)	16.99%
For The Year Ended December 31, 2013	11.70%	0.72%	(0.29%)	(1.04%)	10.55%


For The Quarter Ended December 31, 2015	14.98%	1.27%	(1.54%)	(2.45%)	33.02%
For The Quarter Ended September 30, 2015	15.05%	(1.74%)	5.72%	(2.18%)	(5.89%)
For The Quarter Ended June 30, 2015	15.06%	(2.00%)	3.55%	(2.04%)	13.64%
For The Quarter Ended March 31, 2015	17.06%	2.44%	(8.96%)	(1.57%)	7.52%
* Includes effect of realized losses on interest rate swaps.

The following table presents changes to Accretable Discount and Non-Accretable Difference as it pertains to our entire Non-Agency RMBS portfolio for assets with purchase discounts during the previous five quarters.


	For the Quarters Ended
	December 31, 2015			September 30, 2015			June 30, 2015			March 31, 2015			December 31, 2014
	(dollars in thousands)
	Accretable Discount
Balance, beginning of period	$	1,003,385		$	1,035,492		$	990,332		$	987,861		$	977,042
Accretion of discount		(43,520	)		(41,498	)		(41,302	)		(44,350	)		(44,165	)
Purchases		1,845			6,194			28,894			80,712			2,636
Sales and deconsolidation		(35,144	)		(22,645	)		(1,458	)		(29,147	)		(1,977	)
Transfers from/(to) credit reserve, net		27,882			25,842			59,026			(4,744	)		54,325
Balance, end of period	$	954,448		$	1,003,385		$	1,035,492		$	990,332		$	987,861

	For the Quarters Ended
	December 31, 2015			September 30, 2015			June 30, 2015			March 31, 2015			December 31, 2014
	(dollars in thousands)
	Non-Accretable Difference
Balance, beginning of period	$	879,440		$	1,001,560		$	947,202		$	908,927		$	933,668
Principal Writedowns		(27,064	)		(32,587	)		(34,261	)		(39,955	)		(37,044	)
Purchases		27,855			13,279			121,253			80,712			2,636
Sales and deconsolidation		(29,347	)		(94,802	)		(709	)		(15,041	)		-
Net other-than-temporary credit impairment losses		14,716			17,832			27,101			7,815			63,992
Transfers to/(from) credit reserve, net		(27,882	)		(25,842	)		(59,026	)		4,744			(54,325	)
Balance, end of period	$	837,718		$	879,440		$	1,001,560		$	947,202		$	908,927

Disclaimer

The information contained in this press release 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.

View source version on businesswire.com: http://www.businesswire.com/news/home/20160217006627/en/

Investor Relations
866-315-9930
www.chimerareit.com

Source: Chimera Investment Corporation

Released February 17, 2016