Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q3 2025 Earnings Presentation
30 slides from Chimera Investment's earnings presentation, Nov 6, 2025
Slide 1: Q3 2025 Investor Presentation
Q3 2025 | INVESTOR PRESENTATION November 6, 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, including as related to the expected impact (including related to Chimera’s future earnings) of Chimera’s acquisi
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 fully integrated hybrid mortgage REIT delivering diversified investment solutions across the mortgage product spectrum. HYBRID Invests across the spectrum of mortgage products, including residential loans, mortgage securities and servicing rights. INVESTMENT APPRO
Slide 5: Creating Long-Term Shareholder Value
Creating Long-Term Shareholder Value Positioned with diverse sources of revenue and synergistic platform capabilities. Capital investment in technology, growth, & strategic initiatives across platform PERMANENT CAPITAL ADVISORY SERVICES & MORTGAGE INVESTMENT PORTFOLIO THIRD-PARTY CAPITAL ORIGINATION
Slide 6: Market Summary | Q3 2025
Market Summary | Q3 2025 Economy remained mixed but generally resilient with markets adjusting to a less restrictive monetary policy agenda. TREASURY YIELDS(1) 6/30/2025 9/30/2025 Q3 Change Rates rallied across the curve in anticipation of Fed rate cuts and contained inflation. 2Y Treasury 3.72 3.
Slide 7: Chimera | Q3 2025 Highlights
Chimera | Q3 2025 Highlights EARNINGS & PERFORMANCE $ 0.37 $ 0.37 $ 20.24 (1.4%) EARNINGS AVAILABLE DIVIDENDS BOOK VALUE ECONOMIC FOR DISTRIBUTION PER SHARE PER SHARE PER SHARE RETURN(1) LIQUIDITY $ 491M $ 261M UNENCUMBERED CASH ASSETS LEVERAGE RESIDENTIAL CREDIT REPO FINANCING(2) 4.8x 2.0x $ 1.1B (
Slide 8: Chimera | Q3 2025 Highlights
Chimera | Q3 2025 Highlights Continued to reposition the investment portfolio while preparing to close the HomeXpress acquisition. HOMEXPRESS HomeXpress Mortgage Corp(1) acquisition closed October 1, 2025. ACQUISITION Closing payment equaled $240 million in cash (book value(2) plus premium of $1
Slide 9: HomeXpress Acquisition | Potential Earnings Contribution
HomeXpress Acquisition | Potential Earnings Contribution** Increases Chimera’s operational capabilities while creating potential to contribute meaningfully to overall earnings growth and enterprise value. ACQUISITION IS EXPECTED TO BE ACCRETIVE TO EARNINGS IN Q4 2025 AND 2026 FORWARD POTENTIAL ESTIM
Slide 10: HomeXpress | Lending Highlights
HomeXpress | Lending Highlights A leading partner for loan brokers and correspondent lenders across the U.S. 36% increase in year-to-date lending volumes versus the same period in 2024. Q3 2025 LENDING 5% quarter-over-quarter increase in lending volumes. UPDATE Wholesale volumes represented 96
Slide 11: Securitized Loans
Scaled mortgage loan portfolio with robust securitization market presence INVESTMENT PORTFOLIO(1) Fair Market Value as of September 30, 2025 KEY FUNDING METRICS 9,039 SECURITIZED LOANS RE-PERFORMING SECURITIZED DEBT (NON-RECOURSE) $ OUTSTANDING SECURITIZATIONS(1) MILLION 64% One of the largest RPL s
Slide 12: Investment Summary | September 30, 2025
Investment Summary | September 30, 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 ($) COST ($) V
Slide 13: Agency Pass-Throughs | Portfolio Overview
Agency Pass-Throughs(1) | Portfolio Overview Added $275 million of notional in Agency pass-throughs (net purchases and sales). QUARTERLY UPDATE Leverage increased from 6.6x to 7.3x while maintaining key risk sensitivities within tolerances. 13% - 15% run rate levered returns in Agency MBS port
Slide 14: Agency Pass-Throughs | Portfolio Interest Rate & Spread Sensitivities
Agency Pass-Throughs(1) | Portfolio Interest Rate & Spread Sensitivities(2) $2.4 billion in notional derivatives at quarter end used to hedge interest rate risk in Agency pass-through portfolio. QUARTERLY UPDATE Hedges intended to match the key rate durations of the bonds. Model estimates of i
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 remained relatively flat in Q3 for RPL and DSCR; while Prime Jumbo reported prepayment activity that was materially slower. PREPAYMENT EXPERIENCE (ANNUALIZED %)(1) RE-PERFORMING LOANS (RPL) INVESTOR LOANS (DSCR) 12 15 10 12 8 9 6 6 4 2 3 0 0 Sep
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. $2,093MM SECURED RECOURSE FINANCING RESIDENTIAL CREDIT HEDGES WAVG PAY-FIXED WAVG NOTIONAL OR OPTION WAVG HEDGE TYPE ($ MILLIO
Slide 19: 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. During Q3, completed the first MSR-related investment through a third-party servicing partnership. QUARTERLY UPDATE Acquired $6.5 billion
Slide 20: Third-Party Asset Management Highlights
Third-Party Asset Management Highlights Chimera’s third-party asset management business provides advisory and transaction execution services for mortgage loan investors. LOANS UNDER MGMT. TRANSACTION GROWTH LOANS UNDER MANAGEMENT ($ Billions)(1) GROWTH (YoY)(1) (YoY)(1) 36% 11% $30 $25 $20 $15 $24.5
Slide 21: Appendix
We. | Appendix CHIMERA
Slide 22: 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 $0.41 $1.39 $22.35 $0.39 $0.17 $21.17 $20.91 $0.37 $0.37 $20.24 ($0.27) $0.36 $19.72 ($2.07) Q3'24 Q4'24 Q1'25 Q2'25 Q3'25 Q3'24 Q4'24 Q1'25 Q2'25 Q3'25 Q3'24 Q4
Slide 23: Earnings Available for Distribution
Earnings Available for Distribution Earnings available for distribution is a non-GAAP measure and is defined as GAAP net income excluding (i) unrealized gains or losses on financial instruments carried at fair value with changes in fair value recorded in earnings, (ii) realized gains or losses on th
Slide 24: Earnings Available for Distribution
Earnings Available for Distribution The following table provides GAAP measures of net income and net income per diluted share available to common stockholders for the periods presented and details with respect to reconciling the line items to Earnings available for distribution and related per avera
Slide 25: Net Interest Spread
Net Interest Spread The table below shows our average earning assets held, interest earned on assets, yield on average interest earning assets, average debt balance, economic interest expense, economic average cost of funds, economic net interest income, and net interest rate spread for the periods
Slide 26: Investment Summary | June 30, 2025
Investment Summary | June 30, 2025(1) WEIGHTED SECURITIZED SECURITIZED SECURED PRINCIPAL OR WEIGHTED AVERAGE DEBT DEBT SECURITIZED SECURITIZED FINANCING NOTIONAL AMORTIZED FAIR AVERAGE BOOK YIELD AT CURRENT AMORTIZED DEBT FAIR DEBT BOOK AGREEMENTS NET (DOLLARS IN THOUSANDS) VALUE ($) COST ($) VALUE
Slide 27: Consolidated Loan Securitizations
Consolidated Loan Securitizations ORIGINAL FACE ($ Thousands) REMAINING FACE ($ Thousands) WEIGHTED AVERAGE COUPON (WAC) VINTAGE DEAL TOTAL SOLD RETAINED TOTAL SOLD RETAINED Outstanding Bonds Sold Underlying Collateral FIRST CALL DATE 2025 CIM 2025-R1 391,790 333,021 58,769 375,015 316,245 58,731 5.
Slide 28: Endnotes
Endnotes Slide #4 Slide #11 1. Chimera purchased HomeXpress indirectly through its acquisition of a holding company, HX Holdco Corp. 1. Investment portfolio figures exclude real estate owned and forward settling transactions, if applicable. 2. Unaudited total debt related to third-party managed loan
Slide 29: Endnotes, continued
Endnotes, continued Slide #15 Slide #22 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: Information unaudited, estimated, and subject to change.
Information unaudited, estimated, and subject to change.