DISCLAIMER  This presentation 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 “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 Annual Report on Form 10-K for the year ended December 31, 2015, 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.  chimerareit.com  Information is unaudited, estimated and subject to change. 

Chimera Investment Corporation  Information is unaudited, estimated and subject to change.  We develop and manage a portfolio of leveraged mortgage investments to produce an attractive quarterly dividend for shareholders  Recent Corporate Developments  Chimera Announces Internalization of Management StructureAligns shareholder and management interestsIncrease transparencyFull Transition Completed by December 31, 2015Committed to expense management  Chimera Completes Repurchase$250 Million Common StockDiscount to book valueAccretive to earningsBoard of directors increases share repurchase authorization by $100 Million  Chimera expects to pay $0.48 per quarter totaling $1.92 dividend for 2016*2016 guidance excludes $0.50 special dividend paid 3/31/2016  Business Description:   Hybrid Mortgage REIT  Inception:   2007  Total Capital:  $2.9 billion  Total Portfolio:  $14.9 billion  Overall Leverage Ratio:  4.0:1 (2.6:1 recourse leverage)   May 27, 2016 Stock Price /Dividend Yield:  $14.97 / 12.8%   Data as of March 31, 2016  3

Total portfolio composition  Information is unaudited, estimated and subject to change.  73% of CIM’s equity capital is allocated to mortgage credit  All data as of March 31, 2016 Financing excludes unsettled trades  Residential Mortgage Credit PortfolioTotal Assets: $8.2 Billion(1)  Agency MBS PortfolioTotal Assets: $6.7 Billion(1)  4 

Agency MBS Portfolio and Funding  Information is unaudited, estimated and subject to change.  The majority of Chimera’s Agency Portfolio consists of highly liquid pass-through securities  All data as of March 31, 2016Coupon is a weighted average for Commercial and Agency IONotional Agency IO was $4.0 billion as of 3/31/2016Excludes unsettled tradesReflects first quarter 2016 yields and spreadsIncludes the interest incurred on interest rate swaps  Agency Securities  Agency Repo Days to Maturity  Agency Portfolio Yields and Spreads(4)  Gross Asset Yield:  2.5%  Financing Cost(5):  1.6%  Net Interest Spread:  0.9%  Net Interest Margin:  1.1%  Security Type  Coupon(1)  Current Face  Weighted Average Price  Weighted Average CPR  Agency Pass-through (RMBS)  3.50%  $3,006,693   104.8  6.6    4.00%  1,698,645   106.9  6.8    4.50%  358,017   108.9  17.2  ACMBS  3.5%  1,072,937   104.9  0.1  Agency IO  0.9%  N/M(2)   4.5  5.4    Total  $6,136,292        Maturity  Principal Balance(3)  Weighted Average Rate  Weighted Average Days  Within 30 days  2,240,043   0.74%    30 to 59 days  1,938,859   0.75%    60 to 89 days  166,374   0.74%    90 to 360 days  1,125,427   0.84%    Over 360 days  -   -    Total  $5,470,703  0.76%  52  5

Interest Rate Sensitivity  Information is unaudited, estimated and subject to change.  Chimera hedges interest rate risk with interest rate swaps and financial futures  All data as of March 31, 2016. (1) Projected Percentage Change in Portfolio Value is based on instantaneous moves in interest rates.   Description($ in thousands)    - 100 Basis Points  - 50 Basis Points  Unchanged  +50 Basis Points  +100 Basis Points  Agency Pass-Throughs (RMBS)  Market Value  $5,705,084   $5,633,678   $5,535,687   $5,404,071   $5,260,482     Change  3.1%  1.8%  -   (2.4%)  (5.0%)                Swap  Market Value  (109,503)  (59,627)  -   57,898   113,577     Change  (2.0%)  (1.1%)  -   1.0%  2.1%                Futures  Market Value  (41,048)  (22,254)  -   21,382   42,320     Change  (0.7%)  (0.4%)  -   0.4%  0.8%                Net Gain/(Loss)    18,846   16,110  -   (52,336)  (119,308)  Percentage Change in Portfolio Value(1)    0.3%  0.3%   -   (0.9%)  (2.2%)  Description($ in thousands)    - 100 Basis Points  - 50 Basis Points  Unchanged  +50 Basis Points  +100 Basis Points  Agency CMBS(ACMBS)  Market Value  $1,215,177   $1,170,719   $1,125,603   $1,083,778   $1,044,645     Change  8.0%  4.0%  -   (3.7%)  (7.2%)                  Swap  Market Value  (66,963)  (34,550)  -   34,618   69,145     Change  (5.9%)  (3.1%)  -   3.1%  6.1%                  Net Gain/(Loss)    22,611   10,566   -   (7,207)  (11,813)  Percentage Change in Portfolio Value(1)    2.0%  0.9%  -   (0.6%)  (1.0%)  6 

Residential Mortgage Credit Portfolio  Information is unaudited, estimated and subject to change.  Chimera’s residential credit portfolio provides a high net interest spread  Gross Asset Yield:  8.6%  Financing Cost:  3.4%  Net Interest Spread:  5.2%  Net Interest Margin:  5.8%  Credit Portfolio Composition Q1 ‘16  Reflects first quarter 2016 average assets, yields and spreads  Credit Portfolio Yields and Spreads(1)  7 

Unique Mortgage Credit Portfolio  Information is unaudited, estimated and subject to change.  Key transactions distinguish Chimera from other Mortgage REITs  8 

Re-Remic Subordinate Bond Portfolio  Information is unaudited, estimated and subject to change.  Chimera creates long, term-funding through securitization  The Securitization Process  $100mm Non-Agency Mortgage Bond  $100mm Trust(Non-Agency RMBS Collateral)  $60mm Senior A Note Sold to 3rd party  Deposit  Losses & Interest  Principal& Interest  $40mm Subordinate B Note Retained by CIM  CIM buys $100mm Non-Agency mortgage bond from dealer  CIM deposits the bond into a trust The trust issues bonds backed by the cashflow of the underlying bond  CIM sells the Senior A noteThe A note receives P&I from the $100mm bond until the $60mm is paid offCIM retains the Subordinate B noteThe 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  1  2  3  9 

Re-Remic Subordinate Bond Portfolio  Information is unaudited, estimated and subject to change.  The average yield on consolidated retained subordinate bonds is over 17%  Re-Remic subordinate bonds have had slow prepayments considering the low interest rate environmentChimera expects the subordinate bond portfolio to have meaningful impact on earnings for the foreseeable future  ($ in thousands)        At Issuance / Acquisition        As of March 31, 2016      Vintage  Type  Deal    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(1)  CSMC - 2014-4R    367,271   -   367,271     279,581   -   279,581   2010  RMBS Securitization  CSMC 2010-1R    1,730,581   691,630   1,038,951     698,570   29,687   668,883   2010  RMBS Securitization  CSMC 2010-11R    566,571   338,809   227,762     310,292   97,632   212,661   2009  RMBS Securitization  CSMC 2009-12R    1,730,698   915,566   815,132     635,231   141,291   493,940   2009  RMBS Securitization  JPMRR 2009-7    1,522,474   856,935   665,539     587,061   197,010   390,051   2009  RMBS Securitization  JMAC 2009-R2     281,863   192,500   89,363     103,847   44,078   59,769                           TOTAL      $6,199,458   $2,995,440   $3,204,018     $2,614,583   $509,697   $2,104,885           % of origination remaining        42%  17%  66%     Total Remaining Face - Projected Balances(2)      Change in CPR  March 31, 2017  March 31, 2018  March 31, 2019  -50%  2,307,823  2,049,097  1,844,270  Unchanged  2,229,183  1,916,684  1,674,170  +50%  2,150,288  1,790,101  1,517,487      Significant outstanding balances remain under a number of prepayment projections  All data as of March 31, 2016Collateral for this deal was originally part of CSMC 2010-12RProjected Balances are estimated based on future cash flows and changes in prepayment speeds 

Springleaf Seasoned Loan Portfolio  Information is unaudited, estimated and subject to change.  Chimera acquired $4.8 Billion Seasoned Loan Portfolio previously securitized by Springleaf Financial  Springleaf Acquisition$ 4.8 billion seasoned loans7 original securitizations $775 million equity commitment from ChimeraPerforming loans with 10 years of payment historyLoans originated for American General portfolio  Springleaf PipelineThree original Springleaf deals remain to be calledAll new Chimera securitizations have 3-year call rights  Springleaf OptimizationChimera calls 4 of the 7 Springleaf dealsChimera re-issues new debt Lowered financing costs by over 100 basis pointsReduced equity commitment by $155 million      2014  2016  2015    Chimera consolidated the loans on its balance sheet and worked to re-securitize the portfolio in order to reduce financing costs and lower equity commitment  11 

Risk Retention Seasoned Loan Portfolio  Information is unaudited, estimated and subject to change.  Risk Retention Rule creates an opportunity for Mortgage REITs who have permanent capital  Risk Retention RuleAll new mortgage securitizations must have an equity sponsorDeal Sponsor to have meaningful “skin in the game” investment amountDeal Sponsor must have the ability to hold the investment for a minimum of 5 years  Chimera sponsors three securitizations$ 763 million new investmentsPerforming seasoned loans with more than 10 years of payment historyAttractive risk-adjusted portfolio returnsIncreased returns available with recourse leveragePartially funded by reduction in Agency MBS allocation  Chimera 2.0  Chimera has historically retained the equity interests in its securitizations    2016 Chimera securitizes $5.0 Billion under the new risk retention rule  12 

2016 Risk Retention Securitization Portfolio  Information is unaudited, estimated and subject to change.  Chimera expects high single digit yields on portfolio without leverageChimera expects to achieve mid-to-high teen yields with added recourse leverageDeals are callable in 4 years Estimated GAAP leverage increases from 4.0:1 to 5.2:1Estimated recourse leverage decreases from 2.6:1 to 2.3:1  $5.0 Billion loan portfolio and securitization will be consolidated on balance sheetChimera retains $763 Million interests in securities issued, including eligible horizontal residual interestsChimera funds purchased interests through combination of available cash, sale of approximately $1.9 Billion Agency MBS, and recourse financingApproximately $13 Million deal expenses to be incurred Q2 2016            CIM 2016-1  CIM 2016-2 & CIM 2016-3  Loan Portfolio  $1.5 Billion  $3.5 Billion  Weighted average coupon of mortgage  7.35%  7.38%  Borrowers current for past 12 months  94.71%  94.73%  Average loan age  10 years  10 years  Average loan balance  $108,000  $107,000  Senior class sold with initial coupon  70%, 2.95%  70%, 2.94%  Retained Securities  $226 Million  $537 Million  13 

Small Balance Residential Loan Portfolio  Information is unaudited, estimated and subject to change.  Chimera has one of the largest seasoned, performing, small balance residential loan portfolios in the Mortgage REIT Industry          Small Balance Residential Loan Portfolio    Total Current Unpaid Balance   $8.8 Billion  Total Number or Loans  96,256  Weighted Average Loan Size  $92,100  Weighted Average Coupon  7.23%  Average Loan Age  124 Months  All data as of May 25, 2016  14 

Small Balance Residential Loan Portfolio Considerations   Information is unaudited, estimated and subject to change.          15 

Summary  Information is unaudited, estimated and subject to change.                Franchise Mortgage Assets  Positive Macro Economic Environment  Opportunity for Permanent Capital  Chimera has a unique portfolio of high yielding assets, created through securitization, which would be difficult to recreate in size and scale  Upward trending macro economic conditions for energy prices and the housing market are positive for the credit of Chimera’s mortgage portfolio  New risk retention rules present an attractive opportunity for companies like Chimera to sponsor mortgage securitizations  Chimera has assembled a portfolio of unique mortgage assets with a goal to provide high and durable income to shareholders  16 

 chimerareit.com