CIM CHIMERA INVESTMENT CORP 8-K 2026-02-20 slides

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

Chimera Investment Corp.

We are a fully integrated hybrid mortgage REIT delivering diversified investment solutions across the mortgage product spectrum.

HYBRID INVESTMENT APPROACH

• Invests across the spectrum of mortgage products, including residential loans, mortgage securities and servicing rights.
• Team expertise and robust infrastructure enable a disciplined approach to delivering value across the residential continuum.

SCALED MORTGAGE CREDIT PLATFORM

• Risk management approach emphasizes asset-level credit risk management.
• Data management capabilities and proprietary technologies drive efficiencies in process, risk monitoring and credit decisions.

RESIDENTIAL ORIGINATION

• Specialty mortgage lender focused primarily on providing consumer non-QM and investor business purpose loan solutions.
• National footprint supporting a network of mortgage bankers and brokers.

THIRD-PARTY ASSET & INVESTMENT MANAGEMENT

• Bespoke asset management solutions for third-party institutional investors seeking exposure to residential loans.
• Manager of private asset-backed credit funds on behalf of institutional allocators.

KEY STATISTICS
As of December 31, 2025

Detailed endnotes are included within the Appendix at the end of this presentation.

Information unaudited, estimated, and subject to change.

Creating Long-Term Shareholder Value

Positioned with diverse sources of revenue and synergistic platform capabilities.

Right arrow (across top): Capital investment in technology, growth, & strategic initiatives across platform

Left arrow (across bottom):

• Platform to acquire & own MSRs & expand product capabilities
• Manufacturing product for capital market investors, Advisory Services clients & Private Funds
• High-touch credit risk management support to permanent capital portfolio

Information unaudited, estimated and subject to change.

Residential Credit | Q4 2025 Portfolio Summary

OVERVIEW

• 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).
• We securitize loans (long-term non-recourse financing) and retain subordinate and interest-only securities along with call rights.
• Re-performing loans comprise 90% of the loan portfolio (by principal balance) and exhibit consistent cash flows and low convexity.

Detailed endnotes are included within the Appendix at the end of this presentation.

Information unaudited, estimated, and subject to change.

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)

No individual bar values are printed.

INVESTOR LOANS (DSCR)

No individual bar values are printed.

PRIME JUMBO LOANS

No individual bar values are printed.

BUSINESS PURPOSE LOANS (RTL)

No individual bar values are printed.

Detailed endnotes are included within the Appendix at the end of this presentation.

Information unaudited, estimated, and subject to change.

Residential Credit | Prepayment Experience

Prepayments remained relatively flat in Q4 for RPL; while DSCR and Prime Jumbo prepayment activity picked up.

PREPAYMENT EXPERIENCE (ANNUALIZED %) (1)

Bar values are not individually labelled on the slide.

Detailed endnotes are included within the Appendix at the end of this presentation.

Information unaudited, estimated, and subject to change.

Third-Party Asset Management Highlights

Chimera’s third-party asset management business provides advisory and transaction execution services for mortgage loan investors.

Expertise by asset type(1)(2)

Loans Under Management ($ Billions)(1)

Transaction Volume by Unpaid Balance ($ Billions)(1)

Detailed endnotes are included within the Appendix at the end of this presentation.

Information unaudited, estimated, and subject to change.

Consolidated Loan Securitizations

Information unaudited, estimated, and subject to change.

HomeXpress | Review

HOMEXPRESS

• First funding in Q1 2016.
• Profitable in Q3 2016 and in each year thereafter.

NON-QM ORIGINATOR

• Originates consumer non-QM and investor business purpose loans.
• Active lender in 46 states and D.C.

DEFINING DECISIONS

• 2020 (Covid): kept all employees.
• 2022 (Rate increases): created need to develop and implement hedge program.

CAPITAL MARKETS

• Sold loans to over 30 unique institutional investor partners since inception.
• Named in more than 15 securitizations; MSRM 2025-HX1 securitization issued in March 2025 with 100% HomeXpress loans.

KEY STATISTICS
As of December 31, 2025

Detailed endnotes are included within the Appendix at the end of this presentation.

Information unaudited, estimated, and subject to change.

HomeXpress | Residential Origination Highlights

A leading partner for loan brokers and correspondent lenders across the U.S.

Q4 2025 RESIDENTIAL ORIGINATION UPDATE

• 18% increase in volume versus Q3 2025; 49% increased in volume relative to Q4 2024.
• 3.58% gain-on-sale premiums.
• Wholesale volumes represented 95% with non-delegated correspondent channel accounting for 5%.

PRODUCTION VOLUME ($ in millions)

PRODUCT MIX (% of unpaid principal balance)

GAIN-ON-SALE PREMIUM (basis points)

Detailed endnotes are included within the Appendix at the end of this presentation.

Information unaudited, estimated, and subject to change.

HomeXpress | National Coverage

HomeXpress originates loans nationally – In trailing 12 months, loans were originated in 46 states and DC. Substantially all on a wholesale basis.

LENDING PRESENCE

• We expect by the end of Q1 2026, all state license applications for consumer purpose origination and servicing will have been submitted.

Map legend

• Licensed States (42)
• Future Possibility
• Business Purpose (4)

Map labels: AK, AL, AR, AZ, CA, CO, CT, DC, DE, FL, GA, HI, IA, ID, IL, IN, KS, KY, LA, MA, MD, ME, MI, MN, MO, MS, MT, NC, ND, NE, NH, NJ, NM, NV, NY, OH, OK, OR, PA, RI, SC, SD, TN, TX, UT, VA, VT, WA, WI, WV, WY.

Corporate Headquarters / Operations and Production Center
Santa Ana, CA

Operations and Production Center -
Tampa, FL

GEOGRAPHIC DIVERSIFICATION IS REDUCING CONCENTRATION RISK

% of total fundings

*As of December 2025

Information unaudited, estimated, and subject to change.

HomeXpress | Underwriting Process

1. Disclosures — Disclosures (LE,CD,COC) are completed by HomeXpress staff or the broker; Docutech is used for all disclosures.
2. Underwriting — Loans are underwritten by HomeXpress staff, no underwriting delegated to the broker.
3. ATR Worksheet — ATR worksheet specific to the income documentation completed on all consumer loans.
4. Exceptions — Exceptions require written documentation and the approval of the Management.
5. Exception Approval — Exception granted on a case-by-case basis.

Information unaudited, estimated and subject to change.

HomeXpress | Operations

2026 operations team is focused on increasing efficiency, channel diversification, and further enhancing risk management.

AUTOMATION & PROCESS IMPROVEMENT

• Attribute driven underwriting conditions: ensures file quality, decision consistency and underwriter efficiency.
• AI empowered income verification automation: reduces manual calculations, errors and human touchpoints.
• Hybrid and digital closing capability: documents executed on mobile device; removing closing agent delays.

ORGANIZATIONAL REFINEMENT

• Channel specific operations teams: specialized fulfillment across multiple workflows and product suites
• Quality driven performance improvement: post-closing defect leveraged to develop targeted, role-based training

RISK CONTROL

• Property history: analysis of listing records reviewed to validate value and identify abnormal activity
• Payoff validation: multi-point verification across settlement statements
• Enhanced legal entity review: full capture and review of all members of LLCs
• Risk management tool improvement: DataVerify tool upgraded to include HomeXpress watchlist
• Property valuation: Appraisal waterfall and underwriter review

Information unaudited, estimated, and subject to change.

HomeXpress | Credit Risk Management

Framework Designed to Produce High-Quality Loans While Mitigating Operational and Regulatory Risks.

DISCIPLINED LOAN PROGRAM DESIGN

• Loan programs designed with underwriting team to optimize risk-adjusted return
• Products are designed to meet unique borrower needs while maintaining emphasis on regulatory compliance and mitigating key operational risks
• Any changes to programs or guidelines are approved by the pricing and/or credit committees as well as loan buyers prior to implementation

RIGOROUS BROKER APPROVAL PROCESS

• Robust upfront approval process for all brokers with focus on regulatory licensing, state and federal compliance, legal history, and credit reporting
• Dedicated broker approval department responsible for reviewing and approving brokers as well as monthly monitoring and surveillance of brokers
• Oversight includes consistent monitoring of each broker's licensing in each state of their business and annual recertification process

CONTINUOUS PERFORMANCE MONITORING

• Combination of internal compliance and third-party monitoring provides rigorous oversight and quality feedback loop ensuring consistent loan production
• Third-party due diligence on Non-QM loans through rating agency approved due diligence firms
• Internal teams conduct targeted monthly loan-level compliance reviews and continuously monitor for any early pay defaults, early payoffs, and/or R&W breaches

FOCUSED, CENTRALIZED UNDERWRITING

• Loans are underwritten centrally by dedicated team led by managers averaging 20 years of experience
• All underwriters undergo rigorous training at HomeXpress prior to making underwriting decisions
• Feedback derived from monthly reporting is integrated into performance management, training, and loan production systems to continually improve underwriting processes and decision making

Information unaudited, estimated and subject to change.

HomeXpress | Appraisal Process

Appraisal Submission
01 USPAP and AIR compliant appraisal required.

Appraisal Review & Supporting Tools
02 HomeXpress performs an appraisal review of submitted appraisals received based upon our Appraisal Review Waterfall. The review may be a CU Score, a Desk Review, or a Field Review.

Reconciliation & Approval
03 A HomeXpress underwriter will reconcile value discrepancies above a defined risk threshold.

Information unaudited, estimated, and subject to change.

HomeXpress | Due Diligence Process

1. 100% Review
   HomeXpress Non-QM loans receive a securitization level due diligence by nationally recognized TPR firms

2. Reliance Letter to the Investor
   HomeXpress contracts the due diligence for its own benefit and provides a Reliance Letter to the Investor

3. Full File Review
   Due diligence performed is the full Securitization Review including Credit, Collateral and Compliance

Information unaudited, estimated, and subject to change.

HomeXpress | Capital Markets

NON-QM SALES

• Non-QM loan sales are sold through bid in comp or negotiated bulk sales.
• In 2025, sold to 8 different Non-QM investor partners, 2 of which were new relationships.
• Top 3 Non-QM purchasers bought ~70% of loans sold.
• In 2025, brought on 2 brand new investors and sold to 2 that had not bought in a couple years.

Loan sale premiums decreased in 2022 to 101.5% as rates increased rapidly. This was successfully offset with HomeX’s hedging program.

Information unaudited, estimated, and subject to change.

HomeXpress | Compliance Management Structure

Four Pillars of Compliance

• Board of Directors and Management Oversight
• Compliance Program
• Consumer Complaint Management Program
• Internal Audit and other Independent Assessments

Board Approved Compliance Management Framework:

• Compliance with all applicable consumer laws and CFPB rules and regulations.
• Ensures a positive “Tone at the Top” with the appropriate expertise employed as to Compliance.
• Material Compliance and Independent Assessment findings and Issues Management progress reports presented to Governance & Risk Oversight Committee monthly and to Board quarterly.

Three Lines of Defense:

1. Management:

   • Establishes lending policies, controls and procedures utilizing specific criteria to ensure quality.
   • Implements measures to identify trends and manage risk, as well as proper training programs.
   • Maintains an IT infrastructure designed to assure data privacy, appropriate credit metrics and Cybersecurity protections.

2. Quality Control:

   • Key quality and compliance indicators are measured and evaluated. Lending reviews are done on a pre-funding and post-closing basis based on approved sample sizes and discretionary risk evaluation.
   • Assessments as to the effectiveness of established lending policies and procedures.
   • Self-identification of potential lending violations, evaluates consumer complaints and oversees compliance by lending operations.

3. Independent Assessments:

   • Independent assessments to provide independent and objective assurance as to effectiveness of the CMS design and function.

Communication & Remediation:

• The Executive Committee of HomeXpress meets monthly and reviews all Material and Moderate Compliance issues and is updated on evolving regulatory items.
• Executive Committee provides core oversight as to Compliance and monitors and validates remediation plans, reviews significant findings and evaluates Compliance effectiveness from various inputs.
• CMS policies and procedures are assessed as to methodology and function in light of findings.

Compliance Methodology Path: Governance — right arrow — Policy & Procedures — right arrow — Training — right arrow — Controls — right arrow — Quality Assurance — right arrow — Complaint Resolution — right arrow — Quality Control — right arrow — Issues Management — right arrow — Assessment

Information unaudited, estimated, and subject to change.

Comprehensive Corporate Training Programs to Deliver the Best Experience and Value for Customers

HomeXpress | Corporate Training

Employee and Management Training

New Hire Training

• AEs receive two weeks of rigorous onboarding training
• Consists of one week of remote learning and one week of onsite learning from seasoned executives at Headquarters in Santa Ana
• All other positions receive position specific training lasting 2-8 weeks

Continued Education

• Operations and sales personnel are kept up to date with training as new procedures are developed and implemented
• Training staff conducts monthly development sessions for AEs
• The AE Credit Training Program (“PhD in Credit”) provides AEs with the skillset to evaluate loans

Management Development

• Promote existing employees to leadership positions and develop key management skills for success
• Supported by Human Resources and leverages outside training resources

Compliance and IT Security Training

Compliance Training

• All new hires are assigned the same compliance training during on boarding
• Annual compliance courses cover AML-BSA, TRID, ATR, Fair Lending, and ECOA
• Subsequent quarterly training is administered through OnCourse Learning

IT Cyber Security

• Training enhances awareness of data protection, phishing, social engineering threats, and secure handling of sensitive customer and financial data
• Quarterly required training administered through Litmos

Relentless Commitment to Employee Training and Development Across the HomeXpress Organization

Information unaudited, estimated, and subject to change.

Endnotes

Slide #3

1. Unaudited total debt related to third-party managed loans and real estate. Excludes total debt related to loans owned by the Company and discretionary credit funds. Data is sourced and reconciled to monthly mortgage loan servicer detail which is subject to subsequent adjustment and reconciliations.

Slide #5

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 modifications or extension of the maturity date, in each case calculated from the related loan’s first payment date.
3. For Business Purpose Loans (RTLs), LTC is loan-to-cost, or the total loan amount as a percent of the house value at the time of purchase plus all budgeted improvements.
4. For Business Purpose Loans (RTLs), LTARV is loan-to-after repair value, or the total loan amount as a percent of the estimated property value after the completion of all planned and budgeted improvements.
5. Total Loan Portfolio Weighted Average Original Loan-to-Value (LTV) and Amortized Loan-to-Value (LTV) excludes the LTC and LTARV related to the Business Purpose Loans.

Slide #6

1. Delinquency data sourced from Bloomberg, Intex and trustee/servicer data. Prime Jumbo excludes data prior to December 2022 due to materiality.

Slide #7

1. Prepayment data sourced from Bloomberg, Intex and trustee/servicer data. Prime Jumbo excludes data prior to December 2022 due to materiality.

Slide #8

1. Unaudited total debt related to third-party managed loans and real estate. Excludes total debt related to loans owned by the Company and discretionary credit funds. Data is sourced and reconciled to monthly mortgage loan servicer detail which is subject to subsequent adjustment and reconciliations.
2. Inception period begins February 2013.