Chimera Investment Corporation · NYSE:CIM

Chimera Investment — Q1 2026 Earnings Presentation

34 slides from Chimera Investment's earnings presentation, May 7, 2026

  1. Slide 1: Q1 2026 Investor Presentation

    R ESIDENTIAL F OCUS | D IVERSIFIED I NCOME Q1 2026 | INVESTOR PRESENTATION May 7, 2026

  2. Slide 2: Disclaimer

    Disclaimer In this presentation references to “we,” “us,” “our,” “Chimera,” or “the Company” refer to Chimera Investment Corporation and its subsidiaries unless specifically stated otherwise or the context otherwise indicates. This presentation includes “forward-looking statements” within the meanin

  3. Slide 3: Non-GAAP Financial Measures

    Non-GAAP Financial Measures This presentation includes certain non-GAAP financial measures, including earnings available for distribution, earnings before taxes, depreciation and amortization, and economic net interest income. We believe the non-GAAP financial measures are useful for management, inv

  4. Slide 4: Chimera Investment Corp.

    Chimera Investment Corp. We are a fully integrated hybrid mortgage REIT delivering diversified investment and platform solutions across the mortgage product spectrum. HYBRID  Invests across the spectrum of mortgage products, including residential loans, mortgage securities and servicing rights. INV

  5. Slide 5: Chimera Investment Corp.

    Chimera Investment Corp. Diverse sources of revenue and synergistic platform capabilities. Capital investment in technology, growth, & strategic initiatives across platform PERMANENT CAPITAL ADVISORY SERVICES & RESIDENTIAL INVESTMENT PORTFOLIO THIRD-PARTY CAPITAL ORIGINATION INVESTMENT INCOME CAPITA

  6. Slide 6: Market Summary | Q1 2026

    Market Summary | Q1 2026 Resilient fundamentals tested by emerging risks across artificial intelligence, private credit and the Middle East. TREASURY YIELDS(1) 12/31/2025 3/31/2026 Q1 Change  Fed policy expectations shifted from 2.5 cuts to start 2026 to a 30% chance of just 1 cut. 2Y Treasury 3.47

  7. Slide 7: Chimera | Q1 2026 Highlights

    Chimera | Q1 2026 Highlights Maintained earnings strength after de-risking in early March and selling $1.2 billion of loans from callable securitizations. EARNINGS & PERFORMANCE $0.54 $0.45 $18.34 (4.6%) EARNINGS AVAILABLE DIVIDENDS BOOK VALUE ECONOMIC FOR DISTRIBUTION PER SHARE(1) PER SHARE PER SHA

  8. Slide 8: Dividend Coverage & Sustainability

    Chimera | Dividend Coverage & Sustainability  Earnings covered dividend in 8 out of the last 9 quarters, averaging 1.10x.  Maintained coverage despite book value volatility, demonstrating earnings resilience. EARNINGS AVAILABLE FOR DISTRIBUTION & DIVIDEND COVERAGE (quarterly per share data) $0.70

  9. Slide 9: Chimera | Q1 2026 Highlights

    Chimera | Q1 2026 Highlights Portfolio re-positioning effort continued with the sale of $1.2 billion of loans providing $195 million of capital for re-deployment. EAD &  $0.54 per share quarterly earnings available for distribution. DIVIDEND COVERAGE  120% dividend coverage at $0.45 per share (inc

  10. Slide 10: Loan Sales from Called Securitizations

    Chimera | Loan Sales from Called Securitizations Portfolio optimization aimed at driving sustainable earnings growth. TRANSACTION  Exercised redemption rights on de-levered securitization structures and monetized majority of loans through third-party sales. OVERVIEW  Deployed $195 million of capit

  11. Slide 11: Repositioning Portfolio to Unlock Value and Build Diversified Earnings Mix

    Chimera | Repositioning Portfolio to Unlock Value and Build Diversified Earnings Mix Capital reallocation is improving earnings power. CAPITAL ALLOCATION(1) ESTIMATED LEVERED INVESTMENT YIELD(2) YE 2024 Q4 2025 Q1 2026 YE 2024 Q4 2025 Q1 2026 LOANS(3) 83% 62% 55% 10.8% 11.2% 12.3% AGENCY MBS(4) 4% 1

  12. Slide 12: Residential Origination Highlights

    HomeXpress | Residential Origination Highlights(1) A leading partner for loan brokers and correspondent lenders across the U.S.  39% increase in volume versus Q1 2025. QUARTERLY UPDATE  114 basis points of net origination margin driven in part by production volume seasonality.  Wholesale volumes

  13. Slide 13: Investment Portfolio | March 31, 2026

    Investment Portfolio | March 31, 2026(1) WEIGHTED SECURITIZED SECURITIZED SECURED PRINCIPAL OR WEIGHTED AVERAGE DEBT DEBT SECURITIZED SECURITIZED FINANCING NOTIONAL AMORTIZED FAIR AVERAGE BOOK YIELD AT CURRENT AMORTIZED DEBT FAIR DEBT BOOK AGREEMENTS NET (DOLLARS IN THOUSANDS) VALUE ($) COST ($) VAL

  14. Slide 14: Agency Pass-Throughs | Portfolio Overview

    Agency Pass-Throughs(1) | Portfolio Overview  Added $1.9 billion in Agency pass-throughs, with $608 million settling in Q2 2026. QUARTERLY  Leverage increased from 7.4x to 7.5x while maintaining key risk sensitivities within established limits. UPDATE  13% - 15% run rate levered returns.  Ended

  15. Slide 15: Agency Pass-Throughs | Portfolio Interest Rate & Spread Sensitivities

    Agency Pass-Throughs(1) | Portfolio Interest Rate & Spread Sensitivities(2)  $3.7 billion in notional swap derivatives used to hedge interest rate risk in Agency pass-through portfolio. QUARTERLY UPDATE  $966 million notional of short TBA derivatives at quarter end used for rapid deployment of ris

  16. Slide 16: Residential Credit | Q1 2026 Portfolio Summary

    Residential Credit | Q1 2026 Portfolio Summary  We acquire residential mortgage loans from banks, non-bank financial institutions and government sponsored agencies.  We finance purchases of mortgage loans via warehouse facilities and repurchase agreements (recourse financing). OVERVIEW  We securi

  17. Slide 17: Residential Credit | Delinquency Experience

    Residential Credit | Delinquency Experience RPL delinquencies reflect Q1 2026 loan sale activity while Investor Loan (DSCR) portfolio has been increasing alongside seasoning curve. 60+ DAY DELINQUENCY EXPERIENCE(1) RE-PERFORMING LOANS (RPL) (% of Total Loan Balance) INVESTOR LOANS (DSCR) (% of Total

  18. Slide 18: Residential Credit | Prepayment Experience

    Residential Credit | Prepayment Experience RPL and DSCR prepayments remained relatively flat in Q1 2026; while Prime Jumbo prepayment activity decreased materially. PREPAYMENT EXPERIENCE (ANNUALIZED %)(1) RE-PERFORMING LOANS (RPL) INVESTOR LOANS (DSCR) 9 20 15 6 10 3 5 0 0 Sep-23 Sep-24 Sep-25 Sep-2

  19. Slide 19: Residential Credit | Secured Recourse Funding

    Residential Credit | Secured Recourse Funding(1) Funding strategically diversified across counterparties, tenors, rate structures and liquidity requirement structures. RESIDENTIAL CREDIT HEDGES $1,928MM WAVG SECURED RECOURSE FINANCING PAY-FIXED WAVG NOTIONAL OR OPTION WAVG HEDGE TYPE ($ MILLIONS) ST

  20. Slide 20: Mortgage Servicing Rights Financing Receivables (MSRs)

    Mortgage Servicing Rights Financing Receivables (“MSRs”)(1) We believe MSRs provide predictable cash flows and are a natural hedge within Chimera’s portfolio.  Mortgage rates increased 23 basis points to 6.48% during the quarter. QUARTERLY UPDATE  3-month average prepayments decreased to 7.6% duri

  21. Slide 21: Third-Party Asset Management Highlights

    Third-Party Asset Management Highlights Chimera’s third-party asset management business provides advisory and transaction execution services for mortgage loan investors. QUATERLY UPDATE EXPERTISE BY ASSET TYPE(1)(2) INCEPTION-TO-DATE Re-Performing Loans  Non-Performing Loans   Payoffs and client

  22. Slide 22: Appendix

    We. | Appendix CHIMERA

  23. Slide 23: Quarterly Financial Metrics

    Quarterly Financial Metrics GAAP Earnings Per Share Earnings Available for Distribution (EAD) Per Share(1) GAAP Book Value Per Share $1.77 $0.53 $0.54 $21.17 $20.91 $20.24 $19.70 $18.34 $0.41 $0.39 $0.37 $0.17 $0.08 ($0.27) ($0.78) Q1'25 Q2'25 Q3'25 Q4'25 Q1'26 Q1'25 Q2'25 Q3'25 Q4'25 Q1'26 Q1'25 Q2

  24. Slide 24: Earnings Available for Distribution

    Earnings Available for Distribution Earnings available for distribution is a non-GAAP measure and is defined as GAAP net income (loss) excluding (i) unrealized gains or losses on financial instruments carried at fair value with changes in fair value recorded in earnings, (ii) realized gains or losse

  25. Slide 25: Earnings Available for Distribution

    Earnings Available for Distribution The following table provides GAAP measures of net income and net income per diluted share available to common stockholders for the periods presented and details with respect to reconciling the line items to Earnings available for distribution and related per avera

  26. Slide 26: Residential Origination Segment | Earnings Before Taxes, Depreciation and Amortization

    Residential Origination Segment | Earnings Before Taxes, Depreciation and Amortization In managing our Residential Origination segment, management additionally uses Earnings Before Taxes, Depreciation and Amortization, or EBTDA, a non-GAAP measure, as a supplemental performance measure to evaluate t

  27. Slide 27: Investment Portfolio Segment | Economic Net Interest Income

    Investment Portfolio Segment | Economic Net Interest Income Our Economic net interest income for our Investment Portfolio Segment is a non-GAAP financial measure that equals GAAP net interest income adjusted for net periodic interest on derivatives, interest income from Residential Origination segme

  28. Slide 28: Net Interest Spread

    Net Interest Spread(1) 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 perio

  29. Slide 29: Investment Portfolio | December 31, 2025

    Investment Portfolio | December 31, 2025(1) WEIGHTED SECURITIZED SECURITIZED SECURED PRINCIPAL OR WEIGHTED AVERAGE DEBT DEBT SECURITIZED SECURITIZED FINANCING NOTIONAL AMORTIZED FAIR AVERAGE BOOK YIELD AT CURRENT AMORTIZED DEBT FAIR DEBT BOOK AGREEMENTS NET (DOLLARS IN THOUSANDS) VALUE ($) COST ($)

  30. Slide 30: Consolidated Loan Securitizations

    Consolidated Loan Securitizations ORIGINAL FACE ($ Thousands) REMAINING FACE ($ Thousands) WEIGHTED AVERAGE COUPON (WAC) VINTAGE DEAL TOTAL SOLD RETAINED TOTAL SOLD RETAINED Outstanding Bonds Sold Underlying Collateral FIRST CALL DATE 2025 CIM 2025-R1 391,790 333,021 58,769 366,345 300,431 58,731 5.

  31. Slide 31: Endnotes

    Endnotes Slide #4 estimated annual earnings. 1. Unaudited total debt related to third-party managed loans and real estate. Excludes total debt related to loans 3. Represents the unpaid principal balance of the loans sold to third parties. owned by the Company and discretionary credit funds. Data is

  32. Slide 32: Endnotes, continued

    Endnotes, continued Slide #13 3. For Residential Transition Loans, LTC is loan-to-cost, or the total loan amount as a percent of the house value at the time of purchase plus all budgeted improvements. 1. Investment portfolio figures exclude (i) real estate owned and forward settling transactions, an

  33. Slide 33: Endnotes, continued

    Endnotes, continued Slide #23 1. Earnings available for distribution per adjusted diluted common share is a non-GAAP measure. See additional discussion in the Appendix section of this presentation for GAAP to Non-GAAP reconciliations. Slide #25 1. As a result of the business combinations, we updated

  34. Slide 34: Information unaudited, estimated, and subject to change.

    Information unaudited, estimated, and subject to change.

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