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Chimera Investment Corporation Reports Estimated Taxable EPS For The 3rd Quarter 2011 Of $0.13; GAAP EPS Of $0.06

The following table summarizes characteristics for each asset class:

September 30, 2011
                      Weighted        
Weighted Average
Average Weighted Weighted Yield Weighted
Amortized Average Average (Loss Annualized Average 3
Principal or Cost Fair Coupon Adjusted) Yield Month CPR
Notional Basis at Value at at at Over at
Value at Period- Period- Period- Period- Current Period-
        Period-End     End     End     End     End     Quarter     End
Non-Agency Mortgage-Backed Securities
Senior $ 1,282 $ 96.91 $ 91.85 1.00 % 2.70 % 19.15 % 22 %
Senior, interest only $ 6,323,254 $ 6.10 $ 5.07 1.84 % 10.61 % -3.69 % 16 %
Subordinated $ 4,886,224 $ 51.17 $ 41.91 3.99 % 12.56 % 20.08 % 15 %
Subordinated, interest only $ 299,578 $ 9.98 $ 8.86 2.87 % 17.34 % 34.80 % 16 %
Senior, non-retained $ 1,794,023 $ 93.22 $ 112.25 5.10 % 4.85 % 7.98 % 14 %
Agency Mortgage-Backed Securities $ 4,728,152 $ 102.89 $ 106.67 4.74 % 4.15 % 4.13 % 11 %
Securitized loans
Senior $ 236,582 $ 101.18 $ 101.18 5.46 % 5.16 % 4.98 % 20 %
Senior, interest only $ 249,964 $ 0.01 $ 0.01 0.37 % 100.00 % 4789.84 % 20 %
Subordinated $ 53,042 $ 101.09 $ 101.09 5.08 % 4.77 % 1.63 % 20 %
 

The Company’s portfolio is comprised of Non-Agency and Agency RMBS and securitized whole residential mortgage loans. During the quarter ended September 30, 2011, the Company recorded no loan loss provision as compared to a provision of $482 thousand for the quarter ended September 30, 2010. No loan loss provision was recorded for the quarter ended June 30, 2011.

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