Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q2 2025 Earnings Presentation
29 slides from Chimera Investment's earnings presentation, Aug 6, 2025
Slide 1: Investor Presentation Q2 2025
PROPRIETARY & CONFIDENTIAL INVESTOR PRESENTATION Q2 | 2025
Slide 2: Disclaimer
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
Slide 3: Non-GAAP Financial Measures
Non-GAAP Financial Measures This presentation includes certain non-GAAP financial measures, including earnings available for distribution. We believe the non-GAAP financial measures are useful for management, investors, analysts, and other interested parties in evaluating our performance but should
Slide 4: Chimera Investment Corp.
Chimera Investment Corp. We are a hybrid mortgage REIT delivering diversified investment solutions across the mortgage credit product spectrum. HYBRID ▪ Invests across the spectrum of mortgage products, including, residential loans, mortgage securities, and servicing rights. INVESTMENT APPROACH ▪ Te
Slide 5: Pursuing a Vision for Long-Term Shareholder Value
Pursuing a Vision for Long-Term Shareholder Value We are a hybrid mortgage REIT delivering diversified investment solutions across the mortgage credit product spectrum. Capital investment in technology, growth, & strategic initiatives across platform Diverse Sources of Revenue & Synergistic Platform
Slide 6: Market Summary | Q2 2025
Market Summary | Q2 2025 Markets navigated a reversal of tariff policies, passage of the “Big Beautiful Bill”, draft regulatory capital relief, and overtures regarding firing of the Fed Chair. TREASURY YIELDS(1) 3/31/2025 6/30/2025 Q2 Change RATES ▪ Yield curve steepened +37 basis points across 2-ye
Slide 7: Chimera | Q2 2025 Highlights
Chimera | Q2 2025 Highlights EARNINGS & PERFORMANCE $ 0.39 $ 0.37 $ 20.91 0.5% EARNINGS AVAILABLE DIVIDENDS BOOK VALUE ECONOMIC FOR DISTRIBUTION PER SHARE PER SHARE PER SHARE RETURN(1) LIQUIDITY $ 250M $ 311M UNENCUMBERED CASH ASSETS LEVERAGE RESIDENTIAL CREDIT REPO 4.5x 1.8x $ 1.4B (57.9%) $ 1.4B (
Slide 8: Chimera | Q2 2025 Highlights
Chimera | Q2 2025 Highlights Announced definitive agreement to purchase HomeXpress while continuing to pursue a strategic re-positioning of the portfolio. HOMEXPRESS ▪ Entered into a definitive agreement to acquire HomeXpress Mortgage Corp (1) with expected closing in Q4 2025. ACQUISITION ▪ Consider
Slide 9: HomeXpress Acquisition | Strategic Rationale
HomeXpress Acquisition | Strategic Rationale Transaction further enhances Chimera’s position as a leader in the residential credit sector. ADDS SCALED NON-QM ▪ HomeXpress is a leading nationwide lending platform with more than $10.7 billion of loans originated since 2016. LENDING FRANCHISE ▪ There a
Slide 10: HomeXpress at-a-Glance
HomeXpress at-a-Glance A leading partner for loan brokers and correspondent lenders across the U.S. YEAR ESTABLISHED ▪ HomeXpress is led by Kyle Walker, President and CEO. LEADERSHIP ▪ Seasoned senior management team with several having worked together prior to HomeXpress. 2016 NATIONAL FOOTPRINT ▪
Slide 11: Scaled mortgage loan portfolio with robust securitization market presence
Scaled mortgage loan portfolio with robust securitization market presence INVESTMENT PORTFOLIO(1) Fair Market Value as of June 30, 2025 KEY FUNDING METRICS RE- $ 9,258 SECURITIZED DEBT (NON-RECOURSE) SECURITIZED PERFORMING OUTSTANDING SECURITIZATIONS(1) MILLION 66% One of largest RPL securitization
Slide 12: Investment Summary | June 30, 2025
Investment Summary | June 30, 2025(1) WEIGHTED SECURITIZED SECURITIZED SECURED PRINCIPAL OR WEIGHTED AVERAGE DEBT DEBT SECURITIZED SECURITIZED FINANCING NOTIONAL AMORTIZED AVERAGE BOOK YIELD AT CURRENT AMORTIZED DEBT FAIR DEBT BOOK AGREEMENTS NET (DOLLARS IN THOUSANDS) VALUE ($) COST ($) FAIR VALUE
Slide 13: Agency Pass-Throughs | Portfolio Overview
Agency Pass-Throughs(1) | Portfolio Overview ▪ Added $1.9 billion of notional Agency pass-throughs with majority of settlements occurring on or after May 13th. QUARTERLY UPDATE ▪ Committed to purchase $402 million of notional Agency pass-throughs for forward settle in Q3. ▪ 6.6x leverage with $2.2 b
Slide 14: Agency Pass-Through | Portfolio Interest Rate & Spread Sensitivities
Agency Pass-Through(1) | Portfolio Interest Rate & Spread Sensitivities(2) ▪ $2.0 billion of swaps at quarter end used to hedge interest rate risk in Agency pass-through portfolio. QUARTERLY UPDATE ▪ Hedges used to match the key rate durations of the bonds. ▪ Model estimates of interest rate and spr
Slide 15: Residential Credit | Portfolio Summary
Residential Credit | 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 securitize loa
Slide 16: Residential Credit | Delinquency Experience
Residential Credit | Delinquency Experience Residential credit fundamentals in our legacy RPL portfolio have remained stable with substantial borrower equity and loan seasoning. 60+ DAY DELINQUENCY EXPERIENCE (%)(1) RE-PERFORMING LOANS (RPL) INVESTOR LOANS (DSCR) 9.5 5.0 9.0 4.0 8.5 3.0 8.0 2.0 7.5
Slide 17: Residential Credit | Prepayment Experience
Residential Credit | Prepayment Experience Prepayments saw modest increases in Q2 with RPL and DSCR prepaying around housing turnover speeds and Prime Jumbo prepaying materially slower. PREPAYMENT EXPERIENCE (ANNUALIZED %)(1) RE-PERFORMING LOANS (RPL) INVESTOR LOANS (DSCR) 16 15 12 12 9 8 6 4 3 0 0
Slide 18: Residential Credit | Secured Recourse Funding
Residential Credit | Secured Recourse Funding(1) We seek to lock-in our funding costs with non-recourse term securitization along with hedging our floating rate liabilities. $2,422M SECURED RECOURSE FINANCING RESIDENTIAL CREDIT HEDGES PAY-FIXED NOTIONAL OR OPTION HEDGE TYPE ($ MILLIONS) STRIKE RATE
Slide 19: Third-Party Asset Management Highlights
Third-Party Asset Management Highlights Chimera’s third-party asset management business provides advisory and execution services for mortgage loan investors. LOANS UNDER MGMT. TRANSACTION GROWTH LOANS UNDER MANAGEMENT ($ Billions)(1)(2) GROWTH (YoY)(1)(2) (YoY)(1) $30 43% 53% $25 $20 $15 $24.0 $25.4
Slide 20: Appendix
Appendix Q1.2025 | Investor Presentation
Slide 21: Financial Metrics
Financial Metrics GAAP Earnings Per Share Earnings Available for Distribution (EAD) Per Share(1) GAAP Book Value Per Share $1.77 $1.39 $0.41 $22.35 $0.41 $0.39 $21.27 $21.17 $0.17 $20.91 $0.37 $0.37 $0.36 $19.72 ($2.07) Q2'24 Q3'24 Q4'24 Q1'25 Q2'25 Q2'24 Q3'24 Q4'24 Q1'25 Q2'25 Q2'24 Q3'24 Q4'24 Q1
Slide 22: Earnings Available for Distribution
Earnings Available for Distribution Earnings available for distribution is a non-GAAP measure and is defined as GAAP net income excluding (i) unrealized gains or losses on financial instruments carried at fair value with changes in fair value recorded in earnings, (ii) realized gains or losses on th
Slide 23: Earnings Available for Distribution
Earnings Available for Distribution The following table provides GAAP measures of net income and net income per diluted share available to common stockholders for the periods presented and details with respect to reconciling the line items to Earnings available for distribution and related per avera
Slide 24: Net Interest Spread
Net Interest Spread The table below shows our average earning assets held, interest earned on assets, yield on average interest earning assets, average debt balance, economic interest expense, economic average cost of funds, economic net interest income, and net interest rate spread for the periods
Slide 25: Investment Summary | March 31, 2025
Investment Summary | March 31, 2025(1) WEIGHTED SECURITIZED SECURITIZED SECURED PRINCIPAL OR WEIGHTED AVERAGE BOOK DEBT DEBT SECURITIZED SECURITIZED FINANCING NOTIONAL AMORTIZED AVERAGE YIELD AT CURRENT AMORTIZED DEBT FAIR DEBT BOOK AGREEMENTS NET (DOLLARS IN THOUSANDS) VALUE ($) COST ($) FAIR VALUE
Slide 26: Consolidated Loan Securitizations
Consolidated Loan Securitizations ORIGINAL FACE ($ 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 58,769 384,441 325,710 58,731 5.
Slide 27: Endnotes
Endnotes Slide #4 2. Agency Pass-through Net Assets does not include any cash reserves or initial margin related to our interest rate hedges allocated to the portfolio. 1. Chimera is purchasing HomeXpress indirectly through its acquisition of a holding company, HX Holdco Corp. Slide #13 2. Unaudited
Slide 28: Endnotes, continued
Endnotes, continued Slide #18 Slide #24 1. Residential Credit Secured Recourse Funding includes only financing and interest rate hedges 1. Interest-earning assets at amortized cost. related to, or allocated to, the Residential Credit portfolio. Data does not include outstanding 2. Interest includes
Slide 29: Information unaudited, estimated, and subject to change.
Information unaudited, estimated, and subject to change.