Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q2 2026 Earnings Presentation
32 slides from Chimera Investment's earnings presentation, Aug 5, 2026
Slide 1: Q2 2026 Investor Presentation
R ESIDENTIAL F OCUS | D IVERSIFIED I NCOME Q2 2026 | INVESTOR PRESENTATION August 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 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
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
Slide 6: Market Summary | Q2 2026
Market Summary | Q2 2026 Economic resilience tempered by geopolitical uncertainty, persistent inflation, fiscal pressures and elevated asset valuations TREASURY YIELDS(1) 3/31/2026 6/30/2026 Change INTEREST RATES ▪ Fed 2026 expectations shifted from the potential for rate cuts to a 50% probability o
Slide 7: Chimera | Q2 2026 Highlights
Chimera | Q2 2026 Highlights Continued to outearn a dividend that was 22% above the prior-year period. EARNINGS & PERFORMANCE $0.46 $0.45 $17.75 (0.8%) EARNINGS AVAILABLE DIVIDENDS BOOK VALUE ECONOMIC FOR DISTRIBUTION PER SHARE(1) PER SHARE PER SHARE RETURN(2) LIQUIDITY LEVERAGE $444MM $212MM 5.6x 3
Slide 8: Chimera | Dividend Coverage & Sustainability
Chimera | Dividend Coverage & Sustainability ▪ Earnings covered dividend in 9 out of the last 10 quarters, averaging 1.09x. ▪ Maintained coverage despite the elevated interest rate environment, highlighting resiliency in earnings. EARNINGS AVAILABLE FOR DISTRIBUTION & DIVIDEND COVERAGE (quarterly pe
Slide 9: Chimera | Q2 2026 Highlights
Chimera | Q2 2026 Highlights Portfolio repositioning continued, supported by solid Residential Origination earnings despite rate related macroeconomic headwinds. EAD & ▪ $0.46 per share quarterly earnings available for distribution. DIVIDEND COVERAGE ▪ 102% dividend coverage at $0.45 per share (incr
Slide 10: HomeXpress | Residential Origination Highlights
HomeXpress | Residential Origination Highlights(1) A leading partner for loan brokers and correspondent lenders across the U.S. ▪ 30% increase in volume versus Q2 2025. QUARTERLY UPDATE ▪ 124 basis points of net origination margin down year-over-year due to rising rate environment and increased comp
Slide 11: Investment Portfolio | June 30, 2026
Investment Portfolio | June 30, 2026(1) WEIGHTED SECURITIZED SECURITIZED SECURED PRINCIPAL OR WEIGHTED AVERAGE DEBT DEBT SECURITIZED SECURITIZED FINANCING NOTIONAL AMORTIZED FAIR AVERAGE BOOK YIELD AT CURRENT AMORTIZED DEBT FAIR DEBT BOOK AGREEMENTS NET (DOLLARS IN THOUSANDS) VALUE ($) COST ($) VALU
Slide 12: Agency Portfolio | Portfolio Overview
Agency Portfolio(1) | Portfolio Overview ▪ Bonds: removed TBA shorts and added $367M of specified pools in the 5.5, 6.0, and 6.5 coupon bands. QUARTERLY ▪ MBS Coupon: average TBA short adjusted coupon increased 14 bps to 5.28% from 5.14% in Q1 2026. UPDATE ▪ Prepays: +28% sequential increase with mo
Slide 13: Agency Portfolio | Interest Rate & Spread Sensitivities
Agency Portfolio(1) | Portfolio Interest Rate & Spread Sensitivities(2) QUARTERLY UPDATE ▪ $4.9 billion in notional of swap derivatives and interest rate caps used to hedge interest rate risk in Agency pass-through portfolio. INTEREST RATE SENSITIVITY(2) SPREAD SENSITIVITY(2) INTEREST ESTIMATED CHAN
Slide 14: Residential Credit | Q2 2026 Portfolio Summary
Residential Credit | Q2 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
Slide 15: Residential Credit | Delinquency Experience
Residential Credit | Delinquency Experience RPL and Investor Loan (DSCR) delinquencies decreased from the prior quarter, while Prime Jumbo showed a slight uptick. 60+ DAY DELINQUENCY EXPERIENCE(1) RE-PERFORMING LOANS (RPL) (% of Total Loan Balance) INVESTOR LOANS (DSCR) (% of Total Loan Balance) 9.5
Slide 16: Residential Credit | Prepayment Experience
Residential Credit | Prepayment Experience Prepayment activity increased quarter over quarter across collateral types. PREPAYMENT EXPERIENCE (ANNUALIZED %)(1) RE-PERFORMING LOANS (RPL) INVESTOR LOANS (DSCR) 8 25 23.1 7.0 6.2 18.1 20 6 15 4 10 2 5 0 0 Sep-23 Sep-24 Sep-23 Sep-24 Jun-23 Jun-25 Sep-25
Slide 17: 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 $1,944MM WAVG SECURED RECOURSE FINANCING PAY-FIXED WAVG NOTIONAL OR OPTION WAVG HEDGE TYPE ($ MILLIONS) ST
Slide 18: 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 7 basis points to 6.55% during the quarter. QUARTERLY UPDATE ▪ 3-month average prepayments increased to 8.1% during quarter from 7.6%
Slide 19: 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
Slide 20: Appendix
We. | Appendix CHIMERA
Slide 21: Quarterly Financial Metrics
Quarterly Financial Metrics GAAP Earnings Per Share Earnings Available for Distribution (EAD) Per Share(1) GAAP Book Value Per Share $0.53 $0.54 $21.17 $0.17 $20.91 $20.24 $19.70 $0.08 $18.34 $17.75 $0.46 ($0.05) $0.41 $0.39 ($0.27) $0.37 ($0.78) Q2'25 Q3'25 Q4'25 Q1'26 Q2'26 Q1'25 Q2'25 Q3'25 Q4'25
Slide 22: 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 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: 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 25: 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
Slide 26: 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
Slide 27: 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 ($) VAL
Slide 28: Consolidated Loan Securitizations
Consolidated Loan Securitizations ORIGINAL FACE ($ 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 43,319 287,174 243,854 43,319 4.
Slide 29: Endnotes
Endnotes Slide #6 Slide #11 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 30: Endnotes, continued
Endnotes, continued Slide #14 Slide #21 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 31: Endnotes, continued
Endnotes, continued Slide #27 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 32: Information unaudited, estimated, and subject to change.
Information unaudited, estimated, and subject to change.