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
Q 3 2 0 2 6 | I N V E S T O R P R E S E N T A T I O N N o v e m b e r 5 , 2 0 2 6 RESIDENTIAL FOCUS | D IVERSIFIED INCOME #5B7875 #AC7F00 #928579 #508BCC #91ABA9 #BFBFBF #E1D49F #5D6F81
Slide 2: Disclaimer
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . Disclaimer 2 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
Slide 3: Non-GAAP Financial Measures
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . This presentation includes certain non-GAAP financial measures, including earnings available for distribution, earnings before taxes, depreciation and amortization, and economic net interest income. W
Slide 4: Key Statistics
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 4 KEY STATISTICS As of September 30, 2026 2007 460 $6.8B $16.7B $2.2B Year Founded Full-Time Professionals Dividends Declared Since Inception Total Assets Stockholders’ Equity Chimera Investment Corpo
Slide 5: Market Summary | Q3 2026
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 5 Detailed endnotes are included within the Appendix at the end of this presentation. Market Summary | Q3 2026 Stronger growth, persistent inflation and geopolitical pressures drove rates higher, whil
Slide 6: Chimera | Q3 2026 Highlights
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 6 EARNINGS & PERFORMANCE $0.38 EARNINGS AVAILABLE FOR DISTRIBUTION PER SHARE(1) $0.45 DIVIDENDS PER SHARE $14.82 BOOK VALUE PER SHARE (13.98%) ECONOMIC RETURN(2) LIQUIDITY LEVERAGE $357MM CASH $203MM
Slide 7: Chimera | Q3 2026 Highlights
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 7 Chimera | Q3 2026 Highlights Portfolio entered the quarter with sufficient liquidity to support higher funding requirements amid increased market volatility. EARNINGS AVAILABLE FOR DISTRIBUTION ▪ $0
Slide 8: Earnings Available for Distribution & Dividend Coverage
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . EARNINGS AVAILABLE FOR DISTRIBUTION & DIVIDEND COVERAGE (quarterly per share data) 8 Chimera | Dividend Coverage & Sustainability Detailed endnotes are included within the Appendix at the end of this
Slide 9: HomeXpress | Residential Origination Highlights
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 9 HomeXpress | Residential Origination Highlights(1) A leading partner for loan brokers and correspondent lenders across the U.S. QUARTERLY UPDATE ▪ 27% increase in volume versus Q3 2025. ▪ Net origin
Slide 10: Investment Portfolio | September 30, 2026
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . Investment Portfolio | September 30, 2026(1) 10 Detailed endnotes are included within the Appendix at the end of this presentation. (DOLLARS IN THOUSANDS) PRINCIPAL OR NOTIONAL VALUE ($) AMORTIZED COS
Slide 11: Agency Portfolio | Portfolio Overview
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 11 Agency Portfolio(1) | Portfolio Overview Detailed endnotes are included within the Appendix at the end of this presentation. QUARTERLY UPDATE ▪ Bonds: sold $800 million of lower coupon MBS and purc
Slide 12: Agency Portfolio | Interest Rate & Spread Sensitivities
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 12 Agency Portfolio(1) | Portfolio Interest Rate & Spread Sensitivities(2) QUARTERLY UPDATE ▪ Sensitivities reflect the impact of risk management actions related to the $2.4 billion TBA short position
Slide 13: Residential Credit | Loans Held for Investment Portfolio Summary
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . Residential Credit | Q3 2026 Loans Held for Investment Portfolio Summary 13 OVERVIEW ▪ We acquire residential mortgage loans from banks, non-bank financial institutions and government sponsored enterp
Slide 14: Residential Credit | Delinquency Experience
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 14 Residential Credit | Delinquency Experience Credit performance remained within expectation, with a small number of loans driving changes in Prime Jumbo. Detailed endnotes are included within the Ap
Slide 15: Residential Credit | Prepayment Experience
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 15 Residential Credit | Prepayment Experience Prepayment activity was mixed across products. Stable for RPL, materially lower for Investor Loans, and significantly higher for Prime Jumbo. Detailed end
Slide 16: Residential Credit Investment Portfolio | Secured Recourse Funding
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . Q1 2025 EXPECTED REPO MATURITIES ($ MILLIONS) $238 $197 $7 $67 $127 $208 $409 $410 $305 $606 $134 $618 $0 $100 $200 $300 $400 $500 $600 $700 0-3 Months 3-6 Months 6-12 Months 12+ Months Mark-to-Market
Slide 17: MSR Portfolio Update
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 17 MSR Portfolio Update(1) Consistent with portfolio objectives, adding MSRs provides recurring income while hedging other parts of portfolio. MSR PORTFOLIO CHARACTERISTICS & VALUATION MULTIPLE As of
Slide 18: Third-Party Asset Management Highlights
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . Third-Party Asset Management Highlights Chimera’s third-party asset management business provides advisory and transaction execution services for mortgage loan investors. 18 EXPERTISE BY ASSET TYPE(1)(
Slide 19: Appendix
we. | Appendix CHIMERA
Slide 20: Quarterly Financial Metrics
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . Quarterly Financial Metrics 20 Detailed endnotes are included within the Appendix at the end of this presentation. ($0.27) $0.08 ($0.78) ($0.05) ($2.31) Q3'25 Q4'25 Q1'26 Q2'26 Q3'26 $0.37 $0.53 $0.54
Slide 21: Earnings Available for Distribution
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . Earnings Available for Distribution 21 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 financ
Slide 22: Earnings Available for Distribution
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 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 wit
Slide 23: Residential Origination Segment | EBTDA
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 23 Detailed endnotes are included within the Appendix at the end of this presentation. Residential Origination Segment | Earnings Before Taxes, Depreciation and Amortization In managing our Residentia
Slide 24: Investment Portfolio Segment | Economic Net Interest Income
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 24 Detailed endnotes are included within the Appendix at the end of this presentation. Investment Portfolio Segment | Economic Net Interest Income Economic net interest income of our Investment Portfo
Slide 25: Net Interest Spread
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 25 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, e
Slide 26: Investment Portfolio | June 30, 2026
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 26 Detailed endnotes are included within the Appendix at the end of this presentation. Investment Portfolio | June 30, 2026(1) (DOLLARS IN THOUSANDS) PRINCIPAL OR NOTIONAL VALUE ($) AMORTIZED COST ($)
Slide 27: Consolidated Loan Securitizations
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . Consolidated Loan Securitizations 27 ORIGINAL FACE ($ Thousands) REMAINING FACE ($ Thousands) WEIGHTED AVERAGE COUPON (WAC) VINTAGE DEAL TOTAL SOLD RETAINED TOTAL SOLD RETAINED Outstanding Bonds Sold
Slide 28: Endnotes
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . Slide #5 1. Sourced from Bloomberg. 2. RMBS spreads sourced from Wells Fargo and Bank of America research. Slide #6 1. Earnings available for distribution per share is a non-GAAP measure. See addition
Slide 29: Endnotes
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . Slide #13 1. Data is sourced from trustee reports, servicers, Bloomberg and Intex. 2. Weighted Average Loan Term is based on the most recent maturity date of the loan that includes any loan modificati
Slide 30: Endnotes, continued
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 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-Agen
Slide 31: e .
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e .