EXHIBIT 99.1
Published on August 8, 2017
INVESTOR
PRESENTATION
NYSE: CIM
2nd 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 $20.4 Billion
▪ Common Stock Price $18.63 / Dividend Yield 10.74%
▪ 8.00% Fixed Series A Preferred Stock Price $25.57
▪ 8.00% Variable Series B Preferred Stock Price $25.59
▪ Overall leverage ratio 4.5:1 / Recourse leverage ratio 1.7:1
All data as of June 30, 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 June 30, 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
7/2
015
10/
29/
201
5
12/
11/
201
5
1/2
7/2
016
3/1
0/2
016
4/2
2/2
016
6/6
/20
16
7/1
9/2
016
8/3
0/2
016
10/
12/
201
6
11/
23/
201
6
1/9
/20
17
2/2
2/2
017
4/5
/20
17
5/1
8/2
017
6/3
0/2
017
73%
32%
20%
3/31/201
7
Information is unaudited, estimated and subject to change. 4
HISTORICAL TOTAL RETURN
Chimera has consistently produced industry leading returns
All data as of June 30, 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
32%
24% 18%
74%
27% 31%
218%
48%
97%
Information is unaudited, estimated and subject to change. 5
PORTFOLIO COMPOSITION
Residential
Mortgage Credit
Portfolio
Agency MBS
Portfolio Total Portfolio
Gross Asset Yield: 7.1% 2.7% 6.2%
Financing Cost(2): 4.0% 1.5% 3.5%
Net Interest
Spread: 3.1% 1.2% 2.7%
Net Interest
Margin: 3.6% 1.3% 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
$0.6
$3.1
$3.1
$9.8
Non-Recourse
(Securitization)
Recourse (Repo)
Recourse (Repo)
Equity
Equity
Agency MBS Portfolio
Total Assets: 4.0 billion(1)
Residential Mortgage
Credit Portfolio
Total Assets: 16.4 billion(1)
84% of Chimera's equity capital is allocated to mortgage credit
All data as of June 30, 2017
(1) Reflects second quarter 2016 average assets, yields, and spreads
(2) Includes the interest incurred on interest rate swaps
All data as of June 30, 2017
(1) Financing excludes unsettled trades
Information is unaudited, estimated and subject to change. 6
Agency Pass through
Commercial
62%
38%
Agency Portfolio Composition Credit Portfolio Composition
PORTFOLIO COMPOSITION
Chimera's residential credit portfolio provides a high net interest spread while the agency portfolio
provides income and liquidity
All data as of June 30, 2017
Non-Agency RMBS
Consolidated RMBS Securitizations
Securitized Loan Portfolio
9%
10%
81%
Information is unaudited, estimated and subject to change. 7
2016-2017 Chimera
Acquires $9.7 Billion
Seasoned Loan
Portfolio
• Performing loans with 10 years
of payment history
• 9 securitizations with all
senior securities placed
• $ 1.8 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
• 5 deals called and re-securitized
• 2 original deals are currently
callable
2009–2011 Chimera
Creates and Retains
$3.2 Billion High Yield
Subordinate Bonds
• $1.8 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
Re-Remic Subordinate Bond Portfolio
Springleaf Seasoned Loan Portfolio
Risk Retention Seasoned
Loan Portfolio
All data as of June 30, 2017
Information is unaudited, estimated and subject to change. 8
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
$60mm Senior A Note
Sold to 3rd Party
$40mm
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 $60mm is paid off
• CIM retains the Subordinate B note
◦ The B note receives interest, all losses from the
$100mm bond and starts to receive principal only
after the Senior A note is paid off in full
Principa
l
& Interes
t
Losses
&Interes
t
1 2 3
Information is unaudited, estimated and subject to change. 9
($ in thousands) At Issuance / Acquisition June 30, 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 — 367,271 228,036 — 228,036
2010 CSMC 2010-1R 1,730,581 691,630 1,038,951 553,705 4,535 549,170
2010 CSMC 2010-11R 566,571 338,809 227,762 233,491 22,437 211,054
2009 CSMC 2009-12R 1,730,698 915,566 815,132 513,073 95,092 417,981
2009 JPMRR 2009-7 1,522,474 856,935 665,539 476,156 129,522 346,634
2009 JMAC 2009-R2 281,863 192,500 89,363 83,913 27,533 56,380
TOTAL 6,199,458 2,995,440 3,204,018 2,088,374 279,119 1,809,255
% of origination remaining 34% 9% 56%
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 June 30, 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 (%) June 30, 2018 June 30, 2019 June 30, 2020
-50% 1,841,643 1,636,286 1,466,793
Unchanged 1,761,965 1,502,584 1,344,722
+50% 1,682,547 1,376,307 1,145,270
Information is unaudited, estimated and subject to change. 10
ACQUISITION OF SEASONED LOAN PORTFOLIO
Since 2014 Chimera has acquired $14.5 billion of seasoned performing loans through bulk transactions
2014
Springleaf
Acquisition
▪ $4.8 billion seasoned
loans
▪ 7 securitizations
▪ Loans originated for
American General
portfolio
2015 - 2016
Springleaf
Optimization
▪ Chimera refinances 5 of
the 7 Springleaf deals into
CIM securitizations
▪ All new Chimera
securitizations have call
rights
2016
Bank Portfolio
Acquisition
▪ $5.2 billion seasoned
loans
▪ 4 original securitizations
2017
Bank Portfolio
Acquisition
▪ $4.5 billion seasoned
loans
▪ 5 original securitizations
Springleaf
Acquisition
Bank
Portfolio
Acquisition
All data as of June 30, 2017
Information is unaudited, estimated and subject to change. 11
CAPITAL DEPLOYMENT
Chimera has acquired a unique portfolio of residential mortgage loans
All data as of June 30, 2017
Seasoned Low Loan Balance Mortgage Portfolio
Total Current Unpaid Balance $12.2 Billion
Total Number of Loans 138,612
Weighted Average Loan Size $88,133
Weighted Average Coupon 7.04%
Average Loan Age 140 Months
Securitized Loan Portfolio
Non-Agency RMBS
Consolidated RMBS Securitizations
Agency CMBS
Agency Pass Through
65%
7%
8%
7%
12%
Portfolio Composition
Information is unaudited, estimated and subject to change. 12
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 June 30, 2017
Information is unaudited, estimated and subject to change. 13
2017 SECURITIZATION ACTIVITY
Chimera has securitized $4.5 billion in 2017 growing the investment portfolio to $20.4 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 five securitizations in the first half of seasoned, performing, low-
loan balance residential mortgage loans
▪ Chimera sold $3.5 billion of these securities, retaining an interest of $985 million
All data as of June 30, 2017
CIM 2017-5
$377,034,000
May 2017
Information is unaudited, estimated and subject to change. 14
CAPITAL MARKETS ACTIVITY
Chimera raised $470 million in preferred equity in the past year
All data as of June 30, 2017
Preferred Stock
5,800,000 Shares
8.00% Fixed Series A
Cumulative Redeemable Preferred Stock
October 2016
Liquidation Preference $25.00 Per Share
▪ Chimera intends to deploy this capital by acquiring new loans, expanding the
balance sheet
▪ 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% Fixed Series B
Cumulative Redeemable Preferred Stock
February 2017
Liquidation Preference $25.00 Per Share
Information is unaudited, estimated and subject to change. 15
SUMMARY
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 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
Opportunity for
Permanent Capital
Positive Macro
Economic
Environment
Franchise
Mortgage Assets
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. 17
Agency Securities – As of June 30, 2017 Repo Days to Maturity – As of June 30, 2017
Security
Type Coupon
(1) Current
Face
Weighted
Average
Market Price
Weighted
Average CPR
Agency
Pass-
through
3.50% $968,548 102.9 10.4
4.00% 1,153,118 105.4 14.7
4.50% 254,403 107.6 20.8
Commercial 3.6% 1,366,273 101.4 —
Agency IO 0.8% N/M(2) 3.8 10.4
Total $3,742,342
Maturity PrincipalBalance
Weighted
Average Rate
Weighted
Average Days
Within 30 days $2,341,691 1.13%
30 to 59 days 543,553 1.23%
60 to 89 days 264,071 1.24%
90 to 360 days — —%
Total $3,149,315 1.16% 23 Days
The majority of Chimera's Agency Portfolio consists of highly liquid pass-through securities
AGENCY MBS PORTFOLIO AND FUNDING
All data as of June 30, 2017
(1) Coupon is a weighted average for Commercial and Agency IO
(2) Notional Agency IO was $3.3 billion as of June 30, 2017
Information is unaudited, estimated and subject to change. 18
Description
($ in thousands)
- 100 Basis
Points
- 50 Basis
Points Unchanged
+50 Basis
Points
+100 Basis
Points
Agency
Securities
Market Value $ 4,196,357 $ 4,100,301 $ 3,994,670 $ 3,881,057 $ 3,762,632
Percentage Change 5.0 % 2.6 % - (2.8)% (5.8)%
Swap
Market Value (119,374) (58,420) - 56,624 112,516
Percentage Change (3.0)% (1.5)% - 1.4 % 2.8 %
Futures
Market Value (35,418) (17,469) - 17,000 33,544
Percentage Change (0.9)% (0.4)% - 0.4 % 0.8 %
Net Gain/(Loss) $ 46,895 $ 29,742 - $ (39,989) $ (85,978)
Percentage Change
in Portfolio Value(1) 1.2 % 0.7 % - (1.0)% (2.2)% Near Term 0-3
Short Term 3-5
Medium Term 5-10
Long Term 10-30
Hedge Book Maturities
16%
38%
46%
1%
INTEREST RATE SENSITIVITY
Chimera continues to reduce its rate exposure by reducing its Agency portfolio and hedges
Total Notional Balance - Derivative Instruments
June 30, 2017 March 31, 2017
Interest Rate Swaps 2,952,400 1,535,900
Swaptions 482,000 482,000
Futures 619,700 619,700
(1) Based on instantaneous moves in interest rates.
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