CIM CHIMERA INVESTMENT CORP 8-K 2026-11-05 slides

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 meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act of 1995. Actual results may differ from expectations, estimates and projections and, consequently, readers should not rely on these forward-looking statements as predictions of future events. Words such as “goal,” “expect,” “target,” “assume,” “estimate,” “project,” “budget,” “forecast,” “anticipate,” “intend,” “plan,” “may,” “would,” “will,” “could,” “should,” “believe,” “predict,” “potential,” “continue,” or similar expressions are intended to identify such forward-looking statements. These forward-looking statements involve significant risks and uncertainties that could cause actual results to differ materially from expected results, including, among other things, those described in our most recent Annual Report on Form 10-K, and any subsequent Quarterly Reports on Form 10-Q and Current Reports on Form 8-K, under the caption “Risk Factors.” Factors that could cause actual results to differ include, but are not limited to: our ability to obtain funding on favorable terms and access the capital markets; our ability to achieve optimal levels of leverage and effectively manage our liquidity; changes in inflation, the yield curve, interest rates, including the resumption of Federal Reserve monetary tightening, and mortgage prepayment rates; our ability to manage credit risk related to our investments and comply with the Dodd-Frank Act and related laws and regulations relating to credit risk retention for securitizations; rates of default, delinquencies, forbearance, deferred payments or decreased recovery rates on our investments; the concentration of properties securing our securities and residential loans in a small number of geographic areas; our ability to execute on our business and investment strategy; our ability to determine accurately the fair market value of our assets; changes in our industry, the general economy or geopolitical conditions, including the ongoing conflicts involving the U.S. in the Middle East; our ability to successfully integrate and realize the anticipated benefits of any acquisitions, including the acquisition of HomeXpress; our ability to originate or acquire quality and profitable loans at an appropriate and consistent cost; our ability to sell the loans that we originate or acquire; our ability to refinance or obtain additional liquidity for borrowing; our ability to manage, maintain and expand our relationships with our clients, the independent mortgage brokers and bankers; our ability to operate our investment management and advisory services and manage any regulatory rules and conflicts of interest; the degree to which our hedging strategies may or may not be effective; our ability to effect our strategy to securitize residential mortgage loans; our ability to compete with competitors and source target assets at attractive prices; the ability of servicers and other third parties to perform their services at a high level and comply with applicable law and expanding regulations; our dependence on information technology and its susceptibility to cyber-attacks; the development, proliferation and use of artificial intelligence; our ability to find and retain qualified executive officers and key personnel; our ability to comply with extensive government regulation, including, but not limited to, federal and state consumer lending regulations; the impact of and changes in governmental regulations, tax law and rates, accounting guidance, refinancing or borrowing guidelines and similar matters; our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended; our ability to maintain our classification as a real estate investment trust for U.S. federal income tax purposes; the volatility of the market price and trading volume of our shares; and our ability to make distributions to our stockholders in the future.

Readers are cautioned not to place undue reliance upon any forward-looking statements, which speak only as of the date made. Chimera does not undertake or accept any obligation to release publicly any updates or revisions to any forward-looking statement to reflect any change in its expectations or any change in events, conditions or circumstances on which any such statement is based. Additional information concerning these, and other risk factors, is contained in Chimera’s most recent filings with the Securities and Exchange Commission (SEC). All subsequent written and oral forward-looking statements concerning Chimera or matters attributable to Chimera or any person acting on its behalf are expressly qualified in their entirety by the cautionary statements above.

This presentation may include industry and market data obtained through research, surveys, and studies conducted by third parties and industry publications. We have not independently verified any such market and industry data from third-party sources. This presentation is provided for discussion purposes only and may not be relied upon as legal or investment advice, nor is it intended to be inclusive of all the risks and uncertainties that should be considered. This presentation does not constitute an offer to purchase or sell any securities, nor shall it be construed to be indicative of the terms of an offer that the parties or their respective affiliates would accept.

We use our website (www.chimerareit.com) as a channel of distribution of company information. The information we post on our website may be deemed material. Accordingly, investors should monitor our website, in addition to following our press releases, SEC filings and public conference calls and webcasts. In addition, you may automatically receive email alerts and other information about Chimera when you enroll your email address by visiting our website, then clicking on “News and Events" and selecting "Email Alerts" to complete the email notification form. Our website and any alerts are not incorporated into this document.

All information in this presentation is as of September 30, 2026, unless stated otherwise. Readers are advised that the financial information in this presentation is based on company data available at the time of this presentation and, in certain circumstances, may not have been audited by the company’s independent auditors.

Information unaudited, estimated, and subject to change.

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, investors, analysts, and other interested parties in evaluating our performance but should not be viewed in isolation and are not a substitute for financial measures computed in accordance with U.S. generally accepted accounting principles (“GAAP”). In addition, we may calculate our non-GAAP metrics, such as earnings available for distribution and economic net interest income, differently than our peers making comparative analysis difficult.

Information unaudited, estimated, and subject to change.

Chimera Investment Corporation

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

Investment Portfolio

Investment Income

• Diversified residential investment portfolio
• Affiliate capabilities create sourcing & credit edge

Mortgage Banking

Capital Markets & Advisory Income

• Loan origination, aggregation, and securitization
• Internal and 3rd party asset-level credit risk management capabilities

Key Statistics

As of September 30, 2026

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

Information unaudited, estimated, and subject to change.

Market Summary | Q3 2026

Stronger growth, persistent inflation and geopolitical pressures drove rates higher, while residential credit remained resilient.

Interest Rates

• Fed followed through on its hawkish July tone, raising the policy rate 25 bps in September.
• Treasury yields rose across the curve with the 10-year reaching its highest level since 2007.

Mortgage Rates

• Primary mortgage rates increased 50-75 basis points, ending the quarter well over 7%.
• Higher rates reduced refinancing incentives and weighed on mortgage origination volumes.

Agency MBS

• Agency MBS spreads widened 18–26 basis points amid the highest volatility since May 2025.
• Market functioning remained orderly despite the sharp increase in rates and volatility.

Residential Credit

• Higher all-in yields supported investor demand for non-agency RMBS.
• Lower coupon loans increased extension risk and contributed to wider spreads at quarter end.

Housing

• Higher mortgage rates further pressured affordability and housing turnover during the quarter.
• Home prices remained positive nationally, while Sun Belt supply weighed on select markets.

Treasury Yields(1)

Mortgage Rates(1)

Agency Spreads(1)

RMBS Spreads(2)

Corporates(1)

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

Information unaudited, estimated, and subject to change.

Chimera | Q3 2026 Highlights

Continued to maintain strong liquidity position during volatile Q3 market environment.

EARNINGS & PERFORMANCE

LIQUIDITY

LEVERAGE

RESIDENTIAL CREDIT INVESTMENT PORTFOLIO REPO FINANCING(4)

RESIDENTIAL ORIGINATION

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

Information unaudited, estimated, and subject to change.

Chimera | Q3 2026 Highlights

Portfolio entered the quarter with sufficient liquidity to support higher funding requirements amid increased market volatility.

EARNINGS AVAILABLE FOR DISTRIBUTION

• $0.38 per share quarterly earnings available for distribution (“EAD”).
• Investment Portfolio contributions offset by lower gain-on-sale related to third-party loan acquisitions and HomeXpress production.

BOOK VALUE

• $14.82 book value per share, down 16.5% compared to $17.75 in Q2 2026.
• Increased interest rates, higher volatility and widening credit spreads during the quarter contributed to the decline in book value.

RESIDENTIAL ORIGINATION

• $1.1 billion of production volume representing a 27% increase versus Q3 2025(1).
• $439 thousand EBTDA(2) contribution representing a 0.6% EBTDA ROE(2).

RESIDENTIAL CREDIT

• Committed to purchase $797 million of loans for the newly formed Prism securitization platform; $1.1 billion year-to-date commitments.
• Subsequent to quarter end, completed the inaugural $291 million Prism securitization collateralized by HomeXpress loans.

AGENCY MBS

• Repositioned towards higher coupon securities to take advantage of more attractive spreads and shorter spread duration.
• Entered into a $2.4 billion TBA short position toward the end of September as a risk management precaution amid market volatility.

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

Earnings Available for Distribution & Dividend Coverage (quarterly per share data)

• 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.

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

Information unaudited, estimated, and subject to change.

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 origination margin compressed as gain-on-sale was impacted by market volatility and wider spreads.
• Wholesale volumes represented 83% with non-delegated correspondent growing 33% during the quarter to account for 17%.

PRODUCTION VOLUME ($ in millions)

PRODUCT MIX (% of unpaid principal balance)

NET ORIGINATION MARGIN (basis points)(2)

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

Information unaudited, estimated, and subject to change.

Investment Portfolio | September 30, 2026(1)

(DOLLARS IN THOUSANDS)

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

Information unaudited, estimated, and subject to change.

Agency Portfolio(1) | Portfolio Overview

QUARTERLY UPDATE

• Bonds: sold $800 million of lower coupon MBS and purchased $1.9 billion of higher coupon with better carry and lower duration risk.
• MBS Coupon: average coupon increased 39 bps to 5.67% from 5.28% in Q2 2026, excluding short TBA position.
• Leverage: effective leverage increased throughout the quarter and was reduced with the short TBA position added in September.

AGENCY PORTFOLIO(1)

AGENCY HEDGES(2)

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

Information unaudited, estimated, and subject to change.

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 entered into during the quarter.
• Lower effective leverage and shorter duration portfolio drove risk metrics at quarter end.

INTEREST RATE SENSITIVITY(2)

SPREAD SENSITIVITY(2)

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

Residential Credit | Q3 2026 Loans Held for Investment Portfolio Summary

OVERVIEW

• 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 financing).
• We securitize loans (long-term non-recourse financing) and retain subordinated and interest-only securities along with call rights.
• Re-performing loans comprise 89% of the loan portfolio (by principal balance) and generate consistent cash flows with low convexity.

KEY LOAN STATISTICS(1)

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

Information unaudited, estimated, and subject to change.

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)

PRIME JUMBO LOANS (% of Total Loan Balance)

RESIDENTIAL TRANSITION LOANS ($ Millions)

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

Information unaudited, estimated, and subject to change.

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)

PRIME JUMBO LOANS

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

Information unaudited, estimated, and subject to change.

Residential Credit Investment Portfolio | Secured Recourse Funding(1)

Funding strategically diversified across counterparties, tenors, rate structures and liquidity requirement structures.

Secured recourse financing: $1,663MM

• $1,221MM non-MTM & limited MTM (73%)
• $947MM floating rate (57%)

Residential Credit Hedges

Q1 2025 Expected Repo Maturities ($ Millions)

Information unaudited, estimated, and subject to change.

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

MSR Portfolio Update(1)

Consistent with portfolio objectives, adding MSRs provides recurring income while hedging other parts of portfolio.

Quarterly Update

• Mortgage rates increased 68 basis points to 7.23% during the quarter.
• 3-month average prepayments decreased to 7.1% during quarter from 8.1% in Q2 2026.
• Valuation multiple increased 0.5x due to higher forward curves and slightly lower weighed average coupon as higher rate loans payoff.

MSR Portfolio Characteristics & Valuation Multiple
As of September 30, 2026

Note Rate Distribution
As of September 30, 2026

30-Year Fixed Mortgage Rate = 7.23%

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.

QUARTERLY UPDATE

• Payoffs and client purchase volumes are key drivers of advisory activities.
• Loans under management increased 7% during the quarter.
• Higher transaction volumes offset asset paydowns.

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.

Quarterly Financial Metrics

GAAP Earnings Per Share

Earnings Available for Distribution (EAD) Per Share(1)

GAAP Book Value Per Share

Recourse Leverage

Cash ($ Millions)

Unencumbered Assets Market Value ($ Millions)

Information unaudited, estimated, and subject to change.

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

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 (losses) on extinguishment of debt; (iv) Increase in provision for credit losses; (v) Net unrealized gains (losses) on derivatives; (vi) Realized gains (losses) on derivatives; (vii) Transaction expenses; (viii) stock compensation expenses for retirement eligible awards; (ix) Depreciation, amortization, and impairment of intangible assets, net of any tax impact; (x) non-cash imputed compensation expense related to business acquisitions; and (xi) Other investment gains (losses).

Non-cash imputed compensation expense reflects the portion of the consideration paid in the Palisades Acquisition that pursuant to the sellers’ contractual arrangements is distributable to the sellers’ legacy employees (who are now our employees) and that for GAAP purposes is recorded as non-cash imputed compensation expense with an offsetting entry recorded as a non-cash contribution from a related party to stockholders’ equity. The excluded amounts do not include any normal, recurring compensation paid to our employees.

Transaction expenses are primarily comprised of costs only incurred at the time of execution of our securitizations, certain structured secured financing agreements, and business combination transactions, and include costs such as underwriting fees, legal fees, diligence fees, accounting fees, bank fees, and other similar transaction-related expenses. These costs are incurred prior to or at the execution of the transaction and do not recur thereafter. Recurring expenses, such as servicing fees, custodial fees, trustee fees, and other similar ongoing fees, are not excluded from EAD. We believe that excluding these costs is useful to investors because it is generally consistent with the treatment applied by our peer group in their non-GAAP measure presentations, mitigates period to period comparability issues tied to the timing of securitization and structured finance transactions, and is consistent with the accounting for the deferral of debt issuance costs prior to the fair value election option made by us. We also believe it is important for investors to review EAD as it is consistent with how management internally evaluates the performance of the Company. Stock compensation expense charges incurred on awards to retirement eligible employees is reflected as an expense over a vesting period (generally 36 months) rather than reported as an immediate expense.

We may hold long and/or short positions in TBA securities through transactions commonly referred to as “dollar roll” transactions. Under U.S. GAAP, these transactions are accounted for as derivatives and are carried at fair value. Changes in the fair value of TBA positions consist of two components: (i) drop income (expense) and (ii) mark-to-market adjustments. For financial statement presentation purposes, drop income (expense) is reported within Periodic interest on derivatives, net, while mark-to-market adjustments are reported within Net unrealized gains (losses) on derivatives. Together with any realized gains and losses, these amounts are included in Net gains (losses) on derivatives in our Consolidated Statements of Operations. Management includes drop income (expense) in EAD because it views drop income (expense) as the economic equivalent of net interest income on the underlying Agency securities, reflecting the difference between the implied interest earned and the implied financing cost over the period from trade date to settlement date. This treatment is consistent with how management evaluates the Company’s investment performance and how we believe our investors analyze our investment performance.

We view EAD as one measure of our investment portfolio's ability to generate income for distribution to common stockholders. EAD is one of the metrics, but not the exclusive metric, that our Board of Directors considers when determining the amount, if any, of dividends on our common stock. Other metrics that our Board of Directors may consider when determining the amount, if any, of dividends on our common stock include, among others, REIT taxable income, dividend yield, book value, cash generated from the portfolio, reinvestment opportunities, and other cash needs. To maintain our qualification as a REIT, U.S. federal income tax law generally requires that we distribute at least 90% of our REIT taxable income (subject to certain adjustments) annually. EAD is different from REIT taxable income. For example, differences between EAD and REIT taxable income may result from whether the REIT uses mark-to-market accounting for GAAP purposes, accretion of market discount or OID and amortization of premium, and differences in the treatment of securitizations for GAAP and tax purposes, among other items. Further, REIT taxable income generally does not include earnings of our domestic taxable REIT subsidiaries (“TRSs”) unless such income is distributed from current or accumulated earnings and profits. The determination of whether we have met the requirement to distribute at least 90% of our annual REIT taxable income is not based on EAD, and EAD should not be considered as an indication of our REIT taxable income, a guarantee of our ability to pay dividends, or a proxy for the amount of dividends we may pay. We believe EAD helps us and investors evaluate our financial performance period over period without the impact of certain non-recurring transactions. EAD should not be viewed in isolation and is not a substitute for, or superior to, net income (loss) or net income (loss) per basic share computed in accordance with GAAP. In addition, our methodology for calculating EAD may differ from the methodologies employed by other REITs to calculate the same or similar supplemental performance measures, and accordingly, our EAD may not be comparable to the EAD reported by other REITs.

Information unaudited, estimated, and subject to change.

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 average diluted common share amounts. Earnings available for distribution is presented on an adjusted dilutive shares basis.

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

Information unaudited, estimated, and subject to change.

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 the underlying operating efficiency and scalability of the business. EBTDA is defined as GAAP Net Income of the Residential Origination Segment, adjusted for federal and state tax provisions; and non-cash items such as intangibles amortization and depreciation. In our current model where we sell all the loans we originate and purchase from correspondents on a servicing-released basis, the economics are driven by origination income and loan sale activity, net and personnel-based costs. EBTDA helps isolate core operating results by excluding the effects of capital structure, non-cash depreciation and amortization, and tax attributes that can vary period to period. This measure allows management to assess margin performance, expense discipline, and incremental profitability as loan volumes fluctuate, and supports internal decision-making related to staffing levels, compensation structures, and growth initiatives. We believe this presentation is useful to investors because it provides investors with important information concerning the operating performance of our Residential Origination Segment exclusive of certain non-cash and other costs. However, EBTDA should not be viewed in isolation and is not a substitute for net income computed in accordance with GAAP.

The following table provides a reconciliation from GAAP net income to common stockholders for our residential origination segment to a non-GAAP measure of EBTDA for the period presented.

For the Quarter Ended September 30, 2026
(dollars in thousands)

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

Information unaudited, estimated, and subject to change.

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 segment and interest income from investment in MSR financing receivables, and excludes interest earned on cash and interest expense from our Residential Origination segment. For the purpose of computing economic net interest income and ratios relating to cost of funds measures throughout this section, interest expense includes net payments on our derivatives, which is presented as a part of Net gains (losses) on derivatives in our Consolidated Statements of Operations. Interest rate swaps, interest rate caps and swap futures are used to manage the increase in interest paid on secured financing agreements in a rising rate environment. Presenting the net contractual interest payments on interest rate derivatives with the interest paid on interest-bearing liabilities reflects our total contractual interest payments. We believe this presentation is useful to investors because it depicts the economic value of our investment strategy by showing all components of interest expense and net interest income of our investment portfolio. However, Economic net interest income should not be viewed in isolation and is not a substitute for net interest income computed in accordance with GAAP. Where indicated, interest expense, adjusting for any interest earned on cash, is referred to as Economic interest expense. Where indicated, net interest income reflecting net periodic interest on derivatives and any interest earned on cash, is referred to as Economic net interest income.

The following table reconciles the Economic net interest income to GAAP net interest income and Economic interest expense to GAAP interest expense for the periods presented.

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

Information unaudited, estimated, and subject to change.

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

(dollars in thousands)

Information unaudited, estimated, and subject to change.

Investment Portfolio | June 30, 2026(1)

(DOLLARS IN THOUSANDS)

Information unaudited, estimated, and subject to change.

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

Consolidated Loan Securitizations

Information unaudited, estimated, and subject to change.

Endnotes

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 additional discussion in the Appendix section of this presentation for GAAP to Non-GAAP reconciliations.
2. Economic return represents the quarter-over-quarter change in book value plus dividends per common share declared divided by the beginning book value per share.
3. Total leverage includes the sum of secured financing agreements, long term debt, and securitized debt all divided by stockholders' equity.
4. Residential Credit investment portfolio repo financing excludes (i) Agency Pass-Throughs, Agency CMOs, Agency CMBS, legacy Agency interest only securities, and (ii) warehouse lines of credit and repurchase facility obligations related to the Residential Origination (HomeXpress) segment.
5. Non-mark-to-market repo includes financings that have margin holidays or limited mark-to-market features.
6. EBTDA, or earnings before taxes, depreciation and amortization, is a non-GAAP measure. See additional discussion in the Appendix section of this presentation for GAAP to Non-GAAP reconciliations. EBTDA ROE, or return on equity, represents the EBTDA divided by the Company’s initial capital investment of $272 million, annualized.

Slide #7

1. Reflects HomeXpress standalone results in Q3 2026. HomeXpress was acquired on October 1, 2025 and is not included in Chimera’s consolidated results for that date.
2. EBTDA, or earnings before taxes, depreciation and amortization, is a non-GAAP measure. See additional discussion in the Appendix section of this presentation for GAAP to Non-GAAP reconciliations. EBTDA ROE, or return on equity, represents the EBTDA divided by the Company’s initial capital investment of $272 million, annualized.

Slide #9

1. HomeXpress was acquired on October 1, 2025 and is not included in Chimera’s consolidated results for periods prior to Q4 2025. Any data prior to Q4 2025 reflects HomeXpress standalone results.
2. Net origination margin represents the origination revenue less the cost to originate, expressed in basis points of funded loan volume. Origination revenue equals any premiums realized from loan sales, mark-to-market changes of loans held for sale, and loan origination income net of realized gains and losses from hedging, and net interest income. Cost to originate includes direct loan origination costs, net, compensation, payroll taxes and benefits, and general and administrative expenses.

Slide #10

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 amortized cost.
4. Agency RMBS net assets excludes cash reserves and other cash amounts allocated to the investments, including but not limited to initial margin related to our interest rate hedges allocated to the Agency MBS portfolio.

Slide #11

1. Agency Portfolio includes forward settling transactions, if applicable.
2. Excludes derivatives and hedges allocated to the Residential Credit portfolio and Residential Origination segment.
3. Equity Buffer includes initial cash margin held by derivative counterparties and cash reserves and other cash allocated to the Agency MBS portfolio.
4. Effective leverage reflects the Company’s net economic exposure to Agency MBS after considering offsetting short TBA positions. Effective leverage is calculated as repurchase agreement borrowings less the notional amount of short TBA positions, divided by capital allocated to the portfolio.
5. 3-month average annualized prepayment rate (“CPR”) for (i) the active Agency Pass-Through portfolio as of the end of the quarter excludes bonds that have yet to produce three months of prepayment data, and (ii) generic CPR is estimated by Bloomberg based on prepayment speeds of bonds with similar characteristics, such as age and coupon. CPR is sourced from Bloomberg.

Slide #12

1. Agency Portfolio includes forward settling transactions, if applicable.
2. Interest rate and spread sensitivities derived using models licensed from third parties with internally derived inputs. Actual results may differ materially from projected estimates.

Endnotes, continued

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 modifications or extension of the maturity date, in each case calculated from the related loan’s first payment date.
3. For Residential Transition Loans, 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 Residential Transition Loans, 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 Residential Transition Loans.

Slide #14

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

Slide #15

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

Slide #16

1. Residential Credit investment portfolio secured recourse funding includes only financing and interest rate hedges related to, or allocated to, the Residential Credit portfolio. Data does not include outstanding financings or derivatives related to, or allocated to, the Agency RMBS portfolio or the Residential Origination segment Data also excludes financing related to loans held for sale acquired as part of the Prism securitization program ($688 million) and interest rate swaps allocated to hedge interest rate risk in Prism’s settled and unsettled loan pipeline ($1,235 million notional).

Slide #17

1. MSR financing receivables represent the contractual right to receive cash flows associated with MSRs through a structured transaction and related financing arrangement. In these arrangements, a licensed servicer holds legal title to the MSRs and is responsible for performing all servicing activities, while the Company provides financing or capital support and, in return, receives the economic benefits of a base and excess servicing spread and related servicing cash flows, net of any fees and costs to service the loans.

Slide #18

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.

Slide #20

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 reconciliations.

Slide #22

1. As a result of the business combinations, we updated the determination of earnings available for distribution to exclude non-recurring acquisition-related transaction expenses, non-cash amortization of intangibles and depreciation expenses, and non-cash imputed compensation expenses. These expenses are excluded as they relate to our business combinations and are not directly related to our income-generating activities.
2. Non-cash amortization of intangibles, depreciation, and impairment expense related to acquisitions.
3. Tax impact on non-cash amortization of intangibles and depreciation expenses related to business combinations.

Slide #24

1. Primarily interest income on cash and cash equivalents from our Investment Portfolio and Residential Origination segments and interest income from investment in MSR financing receivables.

Slide #25

1. Interest-earning assets at amortized cost.
2. Interest includes periodic interest on derivatives, net.
3. These amounts have been adjusted to reflect the daily outstanding averages for which the financial instruments were held during the period.
4. This table excludes interest-earning assets and interest-bearing liabilities of our Residential Origination segment. Our Residential Origination segment includes average interest-earning assets of $891 million, average interest-bearing liabilities of $824 million, interest income of $17 million, interest expense of $12 million, and net interest income of $5 million.
5. The average balance amount represents committed capital by us during the period
6. Average Yield includes the receipt of one-time extension fee received during the second quarter.

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 amortized cost.
4. Agency Pass-through net assets excludes cash reserves and initial margin related to our interest rate hedges and other cash amounts allocated to the Agency MBS portfolio.

Information unaudited, estimated, and subject to change.