Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q3 2026 Earnings Presentation
31 slides from Chimera Investment's earnings presentation, Nov 5, 2026
Slide 1: Q3 2026 Investor Presentation
R ESIDENTIAL F OCUS | D IVERSIFIED I NCOME Q3 2026 | INVESTOR PRESENTATION November 5, 2026
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
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
Slide 4: Chimera Investment Corporation
Chimera Investment Corporation We are a fully integrated hybrid mortgage REIT delivering diversified investment and platform solutions across the mortgage product spectrum. INVESTMENT PORTFOLIO MORTGAGE BANKING Investment Income Capital Markets & Advisory Income ▪ Diversified residential investment
Slide 5: Market Summary | Q3 2026
Market Summary | Q3 2026 Stronger growth, persistent inflation and geopolitical pressures drove rates higher, while residential credit remained resilient. TREASURY YIELDS(1) Q3 2026 Q2 2026 ∆ (bps) INTEREST RATES ▪ Fed followed through on its hawkish July tone, raising the policy rate 25 bps in Sept
Slide 6: Chimera | Q3 2026 Highlights
Chimera | Q3 2026 Highlights Continued to maintain strong liquidity position during volatile Q3 market environment. EARNINGS & PERFORMANCE $0.38 $0.45 $14.82 (13.98%) EARNINGS AVAILABLE DIVIDENDS BOOK VALUE ECONOMIC FOR DISTRIBUTION PER SHARE(1) PER SHARE PER SHARE RETURN(2) LIQUIDITY LEVERAGE $357M
Slide 7: Chimera | Q3 2026 Highlights
Chimera | Q3 2026 Highlights Portfolio entered the quarter with sufficient liquidity to support higher funding requirements amid increased market volatility. EARNINGS ▪ $0.38 per share quarterly earnings available for distribution (“EAD”). AVAILABLE FOR DISTRIBUTION ▪ Investment Portfolio contributi
Slide 8: Dividend Coverage & Sustainability
Chimera | Dividend Coverage & Sustainability ▪ Earnings covered dividend in 9 out of the last 11 quarters, averaging 1.07x coverage. ▪ Business continued to deliver strong earnings despite headwinds from market volatility and highest rates in nearly two decades. EARNINGS AVAILABLE FOR DISTRIBUTION &
Slide 9: HomeXpress | Residential Origination Highlights
HomeXpress | Residential Origination Highlights(1) A leading partner for loan brokers and correspondent lenders across the U.S. ▪ 27% increase in volume versus Q3 2025. QUARTERLY UPDATE ▪ Net origination margin compressed as gain-on-sale was impacted by market volatility and wider spreads. ▪ Wholesa
Slide 10: Investment Portfolio | September 30, 2026
Investment Portfolio | September 30, 2026(1) WEIGHTED SECURITIZED SECURITIZED SECURED PRINCIPAL OR WEIGHTED AVERAGE DEBT DEBT SECURITIZED SECURITIZED FINANCING NOTIONAL AMORTIZED FAIR AVERAGE BOOK YIELD AT CURRENT AMORTIZED DEBT FAIR DEBT BOOK AGREEMENTS NET (DOLLARS IN THOUSANDS) VALUE ($) COST ($)
Slide 11: Agency Portfolio | Portfolio Overview
Agency Portfolio(1) | Portfolio Overview ▪ Bonds: sold $800 million of lower coupon MBS and purchased $1.9 billion of higher coupon with better carry and lower duration risk. QUARTERLY UPDATE ▪ MBS Coupon: average coupon increased 39 bps to 5.67% from 5.28% in Q2 2026, excluding short TBA position.
Slide 12: Agency Portfolio | Interest Rate & Spread Sensitivities
Agency Portfolio(1) | Portfolio Interest Rate & Spread Sensitivities(2) QUARTERLY ▪ Sensitivities reflect the impact of risk management actions related to the $2.4 billion TBA short position entered into during the quarter. UPDATE ▪ Lower effective leverage and shorter duration portfolio drove risk
Slide 13: Residential Credit | Loans Held for Investment Portfolio Summary
Residential Credit | Q3 2026 Loans Held for Investment Portfolio Summary ▪ We acquire residential mortgage loans from banks, non-bank financial institutions and government sponsored enterprises. ▪ We finance purchases of mortgage loans via warehouse facilities and repurchase agreements (recourse fin
Slide 14: Residential Credit | Delinquency Experience
Residential Credit | Delinquency Experience Credit performance remained within expectation, with a small number of loans driving changes in Prime Jumbo. 60+ DAY DELINQUENCY EXPERIENCE(1) RE-PERFORMING LOANS (RPL) (% of Total Loan Balance) INVESTOR LOANS (DSCR) (% of Total Loan Balance) 9.5 6.5 8.8 9
Slide 15: Residential Credit | Prepayment Experience
Residential Credit | Prepayment Experience Prepayment activity was mixed across products. Stable for RPL, materially lower for Investor Loans, and significantly higher for Prime Jumbo. PREPAYMENT EXPERIENCE (ANNUALIZED %)(1) RE-PERFORMING LOANS (RPL) INVESTOR LOANS (DSCR) 8 7.3 25 23.1 7.0 20 6 14.7
Slide 16: Residential Credit Investment Portfolio | Secured Recourse Funding
Residential Credit Investment Portfolio | Secured Recourse Funding(1) Funding strategically diversified across counterparties, tenors, rate structures and liquidity requirement structures. $1,663MM SECURED RECOURSE FINANCING RESIDENTIAL CREDIT HEDGES WAVG PAY-FIXED NOTIONAL OR WAVG WAVG HEDGE TYPE (
Slide 17: MSR Portfolio Update
MSR Portfolio Update(1) Consistent with portfolio objectives, adding MSRs provides recurring income while hedging other parts of portfolio. ▪ Mortgage rates increased 68 basis points to 7.23% during the quarter. QUARTERLY UPDATE ▪ 3-month average prepayments decreased to 7.1% during quarter from 8.1
Slide 18: 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. QUARTERLY UPDATE EXPERTISE BY ASSET TYPE(1)(2) INCEPTION-TO-DATE Re-Performing Loans ✓ Non-Performing Loans ✓ ▪ Payoffs and client
Slide 19: Appendix
We. | Appendix CHIMERA
Slide 20: Quarterly Financial Metrics
Quarterly Financial Metrics GAAP Earnings Per Share Earnings Available for Distribution (EAD) Per Share(1) GAAP Book Value Per Share $0.08 $0.53 $0.54 $20.24 $19.70 $18.34 $17.75 ($0.05) $0.46 ($0.27) $14.82 ($0.78) $0.37 $0.38 ($2.31) Q3'25 Q4'25 Q1'26 Q2'26 Q3'26 Q3'25 Q4'25 Q1'26 Q2'26 Q3'26 Q3'2
Slide 21: Earnings Available for Distribution
Earnings Available for Distribution Earnings available for distribution (“EAD”) is a non-GAAP measure and is defined as GAAP net income (loss) excluding: (i) Net unrealized gains (losses) on financial instruments at fair value; (ii) Net realized gains (losses) on sales of investments; (iii) Gains (l
Slide 22: 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 23: Residential Origination Segment | EBTDA
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
Slide 24: Investment Portfolio Segment | Economic Net Interest Income
Investment Portfolio Segment | Economic Net Interest Income Economic net interest income of 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 our Residential Origination segmen
Slide 25: 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 period
Slide 26: Investment Portfolio | June 30, 2026
Investment Portfolio | June 30, 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 ($) VALU
Slide 27: Consolidated Loan Securitizations
Consolidated Loan Securitizations ORIGINAL FACE ($ Thousands) REMAINING FACE ($ Thousands) WEIGHTED AVERAGE COUPON (WAC) VINTAGE DEAL TOTAL SOLD RETAINED TOTAL SOLD RETAINED Outstanding Bonds Sold Underlying Collateral FIRST CALL DATE 2026 CIM 2026-R1 287,174 243,854 43,319 287,174 236,575 43,225 4.
Slide 28: Endnotes
Endnotes Slide #5 Slide #10 1. Sourced from Bloomberg. 1. Investment portfolio figures exclude (i) real estate owned and forward settling transactions, and (ii) assets and liabilities allocable to the Residential Origination segment. 2. RMBS spreads sourced from Wells Fargo and Bank of America resea
Slide 29: Endnotes, continued
Endnotes, continued Slide #13 Slide #20 1. Data is sourced from trustee reports, servicers, Bloomberg and Intex. 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
Slide 30: Endnotes, continued
Endnotes, continued Slide #26 1. Investment portfolio figures exclude (i) real estate owned and forward settling transactions, and (ii) assets and liabilities allocable to the Residential Origination segment. 2. Non-Agency RMBS amortized cost is net of allowance for credit losses. 3. Carried at amor
Slide 31: Information unaudited, estimated, and subject to change.
Information unaudited, estimated, and subject to change.