8-K
CHIMERA INVESTMENT CORP (CIM)
UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, DC 20549
____________ FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934
Date of Report (Date of earliest event reported):
May 8, 2025
CHIMERA INVESTMENT CORPORATION (Exact name of registrant as specified in its charter)
| Maryland | 1-33796 | 26-0630461 |
|---|---|---|
| (State or Other Jurisdiction | (Commission | (IRS Employer |
| of Incorporation) | File Number) | Identification No.) |
630 Fifth Avenue, Suite 2400
New York, New York
(Address of principal executive offices)10111
(Zip Code)
Registrant’s telephone number, including area code: (888) 895-6557
Securities registered pursuant to Section 12(b) of the Act:
| Title of Each Class | Trading Symbol(s) | Name of Each Exchange on Which Registered |
|---|---|---|
| Common Stock, par value $0.01 per share | CIM | New York Stock Exchange |
| 8.00% Series A Cumulative Redeemable Preferred Stock | CIM PRA | New York Stock Exchange |
| 8.00% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | CIM PRB | New York Stock Exchange |
| 7.75% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | CIM PRC | New York Stock Exchange |
| 8.00% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | CIM PRD | New York Stock Exchange |
| 9.000% Senior Notes due 2029 | CIMN | New York Stock Exchange |
| 9.250% Senior Notes due 2029 | CIMO | New York Stock Exchange |
(Former Name or Former Address, if Changed Since Last Report)
Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:
☐ Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
☐ Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
☐ Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
☐ Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (§230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§240.12b-2 of this chapter).
Emerging growth company ☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐
Item 2.02. Results of Operations and Financial Condition
On May 8, 2025, the registrant issued a press release announcing its financial results for the quarter ended March 31, 2025. A copy of the press release is furnished as Exhibit 99.1 to this report.
On May 8, 2025, the registrant posted investor presentation information on the News & Events - Press Releases section of its website (www.chimerareit.com). A copy of the investor presentation information is furnished as Exhibit 99.2 to this report and incorporated herein by reference.
Item 9.01 Financial Statements and Exhibits
(d) Exhibits
99.1 Press Release, dated May 8, 2025, issued by Chimera Investment Corporation
99.2 Investor Presentation Q1 2025
104 Cover Page Interactive Data File (embedded within the Inline XBRL document).
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
Chimera Investment Corporation
By: /s/ Subramaniam Viswanathan
Name: Subramaniam Viswanathan Title: Chief Financial Officer (Principal Financial Officer and Principal Accounting Officer of the registrant)
Date: May 8, 2025
Document
PRESS RELEASE
NYSE: CIM
CHIMERA INVESTMENT CORPORATION
630 Fifth Ave, Suite 2400
New York, New York 10111
_________________________________________________________________________________________________
Investor Relations
888-895-6557
www.chimerareit.com
FOR IMMEDIATE RELEASE
CHIMERA INVESTMENT CORPORATION REPORTS 1ST QUARTER 2025 EARNINGS
NEW YORK - (BUSINESS WIRE) - Chimera Investment Corporation (NYSE:CIM) today announced its financial results for the first quarter ended March 31, 2025.
Financial Highlights(1):
•1ST QUARTER GAAP NET INCOME OF $1.77 PER DILUTED COMMON SHARE
•1ST QUARTER EARNINGS AVAILABLE FOR DISTRIBUTION(2) OF $0.41 PER DILUTED COMMON SHARE
•GAAP BOOK VALUE OF $21.17 PER COMMON SHARE AND ECONOMIC RETURN(3) OF 9.20% AT MARCH 31, 2025
“This has been a strong quarter for Chimera. Earnings available for distribution improved by 11%, our book value increased by 7.4% and our economic return was 9.2%,” said Phillip Kardis II, President and CEO. “We also made several impactful moves on our balance sheet. We successfully accomplished a cash-out refinancing of all the Company’s outstanding non-Remic securitizations, which provided approximately $187 million in funds for new investment. We also extended two large non-mark to market secured financing facilities until 2027."
(1) All per share amounts, common shares outstanding and restricted shares for all periods presented reflect the Company's 1-for-3 reverse stock split, which was effective after the close of trading on May 21, 2024.
(2) Earnings available for distribution per adjusted diluted common share is a non-GAAP measure. See additional discussion on page 5.
(3) Our economic return is measured by the change in GAAP book value per common share plus common stock dividend.
Other Information
Chimera is a publicly traded real estate investment trust, or REIT, that is primarily engaged in the business of investing for itself and for unrelated third parties through its investment management and advisory services in a diversified portfolio of real estate assets, including residential mortgage loans, Non-Agency RMBS, Agency RMBS, business purpose and investor loans, including RTLs, and other real estate-related assets such as Agency CMBS.
| CHIMERA INVESTMENT CORPORATION | |||
|---|---|---|---|
| CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | |||
| (dollars in thousands, except share and per share data) | |||
| (Unaudited) | |||
| December 31, 2024 | |||
| Assets: | |||
| Cash and cash equivalents | 253,349 | $ | 83,998 |
| Non-Agency RMBS, at fair value (net of allowance for credit losses of 32 million and 28 million, respectively) | 1,064,169 | ||
| Agency MBS, at fair value | 519,218 | ||
| Loans held for investment, at fair value | 11,196,678 | ||
| Accrued interest receivable | 81,386 | ||
| Other assets | 170,924 | ||
| Derivatives, at fair value | 117 | ||
| Total assets (1) | 13,205,326 | $ | 13,116,490 |
| Liabilities: | |||
| Secured financing agreements (4.2 billion and 4.1 billion pledged as collateral, respectively, and includes 321 million and 319 million at fair value, respectively) | 2,994,191 | $ | 2,824,371 |
| Securitized debt, collateralized by Non-Agency RMBS (225 million and 229 million pledged as collateral, respectively) | 71,247 | ||
| Securitized debt at fair value, collateralized by Loans held for investment (10.3 billion and 10.2 billion pledged as collateral, respectively) | 6,984,495 | ||
| Long term debt | 134,646 | ||
| Payable for investments purchased | 454,730 | ||
| Accrued interest payable | 41,472 | ||
| Dividends payable | 34,265 | ||
| Accounts payable and other liabilities | 45,075 | ||
| Derivatives, at fair value, net | — | ||
| Total liabilities (1) | 10,561,262 | $ | 10,590,301 |
| Stockholders' Equity: | |||
| Preferred Stock, par value of 0.01 per share, 100,000,000 shares authorized: | |||
| 8.00% Series A cumulative redeemable: 5,800,000 shares issued and outstanding, respectively (145,000 liquidation preference) | 58 | $ | 58 |
| 8.00% Series B cumulative redeemable: 13,000,000 shares issued and outstanding, respectively (325,000 liquidation preference) | 130 | ||
| 7.75% Series C cumulative redeemable: 10,400,000 shares issued and outstanding, respectively (260,000 liquidation preference) | 104 | ||
| 8.00% Series D cumulative redeemable: 8,000,000 shares issued and outstanding, respectively (200,000 liquidation preference) | 80 | ||
| Common stock: par value 0.01 per share; 166,666,667 shares authorized, 80,970,256 and 80,922,221 shares issued and outstanding, respectively | 809 | ||
| Additional paid-in-capital | 4,390,516 | ||
| Accumulated other comprehensive income | 159,449 | ||
| Cumulative earnings | 4,341,111 | ||
| Cumulative distributions to stockholders | (6,366,068) | ||
| Total stockholders' equity | 2,644,064 | $ | 2,526,189 |
| Total liabilities and stockholders' equity | 13,205,326 | $ | 13,116,490 |
All values are in US Dollars.
(1) The Company's consolidated statements of financial condition include assets of consolidated variable interest entities, or VIEs, that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of March 31, 2025, and December 31, 2024, total assets of consolidated VIEs were $10,130,294 and $9,970,094, respectively, and total liabilities of consolidated VIEs were $6,990,372 and $6,766,505, respectively.
| CHIMERA INVESTMENT CORPORATION | ||||
|---|---|---|---|---|
| CONSOLIDATED STATEMENTS OF OPERATIONS | ||||
| (dollars in thousands, except share and per share data) | ||||
| (Unaudited) | ||||
| For the Quarters Ended | ||||
| March 31, 2025 | March 31, 2024 | |||
| Net interest income: | ||||
| Interest income (1) | $ | 190,616 | $ | 186,574 |
| Interest expense (2) | 121,397 | 121,468 | ||
| Net interest income | 69,219 | 65,106 | ||
| Increase (decrease) in provision for credit losses | 3,387 | 1,347 | ||
| Other income (losses): | ||||
| Net unrealized gains (losses) on derivatives | (6,469) | 5,189 | ||
| Realized gains (losses) on derivatives | 82 | — | ||
| Periodic interest on derivatives, net | 4,135 | 5,476 | ||
| Net gains (losses) on derivatives | (2,252) | 10,665 | ||
| Investment management and advisory fees | 8,936 | — | ||
| Net unrealized gains (losses) on financial instruments at fair value | 128,895 | 76,765 | ||
| Net realized gains (losses) on sales of investments | — | (3,750) | ||
| Gains (losses) on extinguishment of debt | 2,122 | — | ||
| Other investment gains (losses) | (417) | 4,686 | ||
| Total other income (losses) | 137,284 | 88,366 | ||
| Other expenses: | ||||
| Compensation and benefits | 13,085 | 9,213 | ||
| General and administrative expenses | 6,907 | 5,720 | ||
| Servicing and asset manager fees | 7,431 | 7,663 | ||
| Amortization of intangibles and depreciation expenses | 951 | — | ||
| Transaction expenses | 5,688 | 67 | ||
| Total other expenses | 34,062 | 22,663 | ||
| Income before income taxes | 169,052 | 129,462 | ||
| Income tax expense | 1,755 | 8 | ||
| Net income | $ | 167,297 | $ | 129,454 |
| Dividends on preferred stock | 21,357 | 18,438 | ||
| Net income available to common shareholders | $ | 145,940 | $ | 111,016 |
| Net income per share available to common shareholders: | ||||
| Basic | $ | 1.79 | $ | 1.37 |
| Diluted | $ | 1.77 | $ | 1.36 |
| Weighted average number of common shares outstanding: | ||||
| Basic | 81,350,497 | 81,239,381 | ||
| Diluted | 82,394,218 | 81,718,214 |
(1) Includes interest income of consolidated VIEs of $144,402 and $146,917 for the quarters ended March 31, 2025, and 2024, respectively.
(2) Includes interest expense of consolidated VIEs of $69,651 and $73,123 for the quarters ended March 31, 2025, and 2024, respectively.
| CHIMERA INVESTMENT CORPORATION | ||||
|---|---|---|---|---|
| CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) | ||||
| (dollars in thousands, except share and per share data) | ||||
| (Unaudited) | ||||
| For the Quarters Ended | ||||
| March 31, 2025 | March 31, 2024 | |||
| Comprehensive income (loss): | ||||
| Net income | $ | 167,297 | $ | 129,454 |
| Other comprehensive income: | ||||
| Unrealized gains (losses) on available-for-sale securities, net | (1,679) | (221) | ||
| Reclassification adjustment for net realized losses (gains) included in net income | — | — | ||
| Other comprehensive loss | (1,679) | (221) | ||
| Comprehensive income before preferred stock dividends | $ | 165,618 | $ | 129,233 |
| Dividends on preferred stock | $ | 21,357 | $ | 18,438 |
| Comprehensive income available to common stock shareholders | $ | 144,261 | $ | 110,795 |
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 the sales of investments, (iii) gains or losses on the extinguishment of debt, (iv) changes in the provision for credit losses, (v) unrealized gains or losses on derivatives, (vi) realized gains or losses on derivatives, (vii) transaction expenses, (viii) stock compensation expenses for retirement eligible awards, (ix) amortization of intangibles and depreciation expenses, (x) non-cash imputed compensation expense related to business acquisitions, and (xi) other gains and losses on equity investments.
Non-cash imputed compensation expense reflects the portion of the consideration paid in the Palisades Acquisition that pursuant to the seller’s contractual arrangements is distributable to the seller’s 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 non-cash contribution from a related party to our shareholder’s 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 all incurred prior to or at the execution of the transaction and do not recur. Recurring expenses, such as servicing fees, custodial fees, trustee fees and other similar ongoing fees are not excluded from earnings available for distribution. We believe that excluding these costs is useful to investors as it is generally consistent with our peer group’s treatment of these costs in their non-GAAP measures presentation, 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 issue costs prior to the fair value election option made by us. In addition, we believe it is important for investors to review this metric which 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 view Earnings available for distribution as one measure of our investment portfolio's ability to generate income for distribution to common stockholders. Earnings available for distribution is one of the metrics, but not the exclusive metric, that our Board of Directors uses to determine 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. Earnings available for distribution, however, is different than REIT taxable income, and the determination of whether we have met the requirement to distribute at least 90% of our annual REIT taxable income is not based on Earnings available for distribution. Therefore, Earnings available for distribution should not be considered as an indication of our REIT taxable income, a guaranty of our ability to pay dividends, or as a proxy for the amount of dividends we may pay. We believe Earnings available for distribution helps us and investors evaluate our financial performance period over period without the impact of certain non-recurring transactions. Therefore, Earnings available for distribution should not be viewed in isolation and is not a substitute for or superior to net income or net income per basic share computed in accordance with GAAP. In addition, our methodology for calculating Earnings available for distribution may differ from the methodologies employed by other REITs to calculate the same or similar supplemental performance measures, and accordingly, our Earnings available for distribution may not be comparable to the Earnings available for distribution reported by other REITs.
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.
| For the Quarters Ended | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| March 31, 2025 | December 31, 2024 | September 30, 2024 | June 30, 2024 | March 31, 2024 | ||||||
| (dollars in thousands, except per share data) | ||||||||||
| GAAP Net income (loss) available to common stockholders | $ | 145,940 | $ | (168,275) | $ | 113,672 | $ | 33,913 | $ | 111,016 |
| Adjustments (1): | ||||||||||
| Net unrealized (gains) losses on financial instruments at fair value | (128,895) | 181,197 | (104,012) | (11,231) | (76,765) | |||||
| Net realized (gains) losses on sales of investments | — | 1,468 | — | — | 3,750 | |||||
| (Gains) losses on extinguishment of debt | (2,122) | — | — | — | — | |||||
| Increase (decrease) in provision for credit losses | 3,387 | 4,448 | 358 | 3,684 | 1,347 | |||||
| Net unrealized (gains) losses on derivatives | 6,469 | (276) | 14,457 | (11,955) | (5,189) | |||||
| Realized (gains) losses on derivatives | (82) | (641) | 4,864 | 17,317 | — | |||||
| Transaction expenses | 5,688 | 4,707 | 2,317 | — | 67 | |||||
| Stock Compensation expense for retirement eligible awards | 1,432 | (307) | (424) | (419) | 1,024 | |||||
| Amortization of intangibles and depreciation expenses (2) | 951 | 321 | — | — | — | |||||
| Non-cash imputed compensation related to business acquisition | 341 | 10,296 | — | — | — | |||||
| Other investment (gains) losses | 417 | (2,490) | (1,366) | (1,001) | (4,686) | |||||
| Earnings available for distribution | $ | 33,526 | $ | 30,448 | $ | 29,866 | $ | 30,308 | $ | 30,564 |
| GAAP net income (loss) per diluted common share | $ | 1.77 | $ | (2.07) | $ | 1.39 | $ | 0.41 | $ | 1.36 |
| Earnings available for distribution per adjusted diluted common share | $ | 0.41 | $ | 0.37 | $ | 0.36 | $ | 0.37 | $ | 0.37 |
(1) As a result of the Palisades Acquisition, 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 the Palisades Acquisition and are not directly related to generation of our portfolio’s investment income.
(2) Non-cash amortization of intangibles and depreciation expenses related to Palisades Acquisition
The following tables provide a summary of the Company’s MBS portfolio at March 31, 2025 and December 31, 2024.
| March 31, 2025 | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Principal or Notional Value<br>at Period-End<br>(dollars in thousands) | Weighted Average Amortized<br>Cost Basis | Weighted Average Fair Value | Weighted Average<br>Coupon | Weighted Average Yield at Period-End (1) | |||||
| Non-Agency RMBS | |||||||||
| Senior | $ | 994,386 | $ | 44.77 | 60.45 | 5.7 | % | 18.1 | % |
| Subordinated | 643,316 | 59.47 | 58.69 | 4.5 | % | 8.1 | % | ||
| Interest-only | 2,589,059 | 5.85 | 3.13 | 0.7 | % | 4.3 | % | ||
| Agency RMBS | |||||||||
| Pass-through | 149,420 | 100.54 | 100.05 | 5.5 | % | 5.4 | % | ||
| CMO | 451,023 | 99.96 | 99.65 | 5.5 | % | 5.6 | % | ||
| Interest-only | 379,113 | 5.08 | 4.18 | 0.9 | % | 7.6 | % | ||
| Agency CMBS | |||||||||
| Project loans | 40,875 | 101.52 | 85.63 | 3.5 | % | 3.4 | % | ||
| Interest-only | 294,363 | 2.00 | 2.22 | 0.6 | % | 9.4 | % |
(1) Bond Equivalent Yield at period end.
| December 31, 2024 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Principal or Notional Value at Period-End<br>(dollars in thousands) | Weighted Average Amortized<br>Cost Basis | Weighted Average Fair Value | Weighted Average<br>Coupon | Weighted Average Yield at Period-End (1) | ||||||
| Non-Agency RMBS | ||||||||||
| Senior | $ | 1,010,128 | $ | 45.11 | $ | 60.83 | 5.7 | % | 17.6 | % |
| Subordinated | 648,977 | 59.18 | 57.99 | 4.5 | % | 8.0 | % | |||
| Interest-only | 2,644,741 | 5.81 | 2.77 | 0.7 | % | 6.6 | % | |||
| Agency RMBS | ||||||||||
| CMO | 464,640 | 99.97 | 99.36 | 5.8 | % | 5.8 | % | |||
| Interest-only | 380,311 | 5.15 | 4.41 | 0.7 | % | 6.9 | % | |||
| Agency CMBS | ||||||||||
| Project loans | 40,882 | 101.51 | 84.07 | 3.5 | % | 3.4 | % | |||
| Interest-only | 449,437 | 1.36 | 1.43 | 0.5 | % | 8.9 | % |
(1) Bond Equivalent Yield at period end.
At March 31, 2025 and December 31, 2024, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates.
| March 31, 2025 | December 31, 2024 | |||||||
|---|---|---|---|---|---|---|---|---|
| (dollars in thousands) | ||||||||
| Principal (1) | Weighted Average Borrowing Rates | Range of Borrowing Rates | Principal | Weighted Average Borrowing Rates | Range of Borrowing Rates | |||
| Overnight | $ | — | N/A | NA | $ | — | N/A | NA |
| 1 to 29 days | 704,233 | 5.21% | 4.46% - 7.20% | 642,358 | 5.61% | 4.66% - 7.52% | ||
| 30 to 59 days | 469,914 | 6.23% | 5.04% - 6.80% | 959,559 | 7.79% | 5.34% - 12.50% | ||
| 60 to 89 days | 219,973 | 5.29% | 4.72% - 5.65% | 318,750 | 5.58% | 4.87% - 7.02% | ||
| 90 to 119 days | 70,769 | 5.25% | 5.25% - 5.25% | 51,416 | 6.38% | 5.51% - 6.77% | ||
| 120 to 180 days | 156,424 | 5.75% | 5.24% - 6.54% | 123,072 | 6.15% | 5.82% - 6.77% | ||
| 180 days to 1 year | 469,938 | 6.70% | 5.61% - 7.47% | 409,760 | 6.79% | 5.80% - 7.49% | ||
| 1 to 2 years | 582,209 | 8.31% | 8.15% - 8.57% | — | N/A | N/A | ||
| 2 to 3 years | 332,346 | 5.01% | 5.01% - 6.09% | 337,245 | 5.02% | 5.02% - 5.02% | ||
| Total | $ | 3,005,806 | 6.22% | $ | 2,842,160 | 6.48% |
(1) The values for secured financing agreements in the table above is net of $1 million of deferred financing costs as of March 31, 2025.
The following table summarizes certain characteristics of our portfolio at March 31, 2025 and December 31, 2024.
| March 31, 2025 | December 31, 2024 | |||||||
|---|---|---|---|---|---|---|---|---|
| GAAP Leverage at period-end | 3.9:1 | 4.0:1 | ||||||
| GAAP Leverage at period-end (recourse) | 1.2:1 | 1.2:1 | ||||||
| March 31, 2025 | December 31, 2024 | March 31, 2025 | December 31, 2024 | |||||
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Portfolio Composition | Amortized Cost | Fair Value | ||||||
| Non-Agency RMBS | 7.9 | % | 7.9 | % | 8.3 | % | 8.3 | % |
| Senior | 3.7 | % | 3.7 | % | 4.7 | % | 4.8 | % |
| Subordinated | 3.0 | % | 3.0 | % | 3.0 | % | 2.9 | % |
| Interest-only | 1.2 | % | 1.2 | % | 0.6 | % | 0.6 | % |
| Agency RMBS | 4.9 | % | 3.7 | % | 4.8 | % | 3.7 | % |
| Pass-through | 1.2 | % | — | % | 1.2 | % | — | % |
| CMO | 3.5 | % | 3.6 | % | 3.5 | % | 3.6 | % |
| Interest-only | 0.2 | % | 0.1 | % | 0.1 | % | 0.1 | % |
| Agency CMBS | 0.4 | % | 0.4 | % | 0.4 | % | 0.4 | % |
| Project loans | 0.3 | % | 0.3 | % | 0.3 | % | 0.3 | % |
| Interest-only | 0.1 | % | 0.1 | % | 0.1 | % | 0.1 | % |
| Loans held for investment | 86.8 | % | 88.0 | % | 86.5 | % | 87.6 | % |
| Fixed-rate percentage of portfolio | 82.5 | % | 87.9 | % | 81.9 | % | 87.3 | % |
| Adjustable-rate percentage of portfolio | 17.5 | % | 12.1 | % | 18.1 | % | 12.7 | % |
Economic Net Interest Income
Our Economic net interest income is a non-GAAP financial measure that equals GAAP net interest income adjusted for net periodic interest cost of derivatives and excludes interest earned on cash. 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 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 cost of interest rate swaps 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.
| GAAP<br>Interest<br>Income | GAAP<br>Interest<br>Expense | Periodic Interest on derivatives, net | Economic Interest<br>Expense | GAAP Net Interest<br>Income | Periodic Interest on derivatives, net | Other (1) | Economic<br>Net<br>Interest<br>Income | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| For the Quarter Ended March 31, 2025 | $ | 190,616 | $ | 121,397 | $ | (4,135) | $ | 117,262 | $ | 69,219 | $ | 4,135 | $ | (1,050) | $ | 72,304 |
| For the Quarter Ended December 31, 2024 | $ | 192,364 | $ | 126,540 | $ | (4,542) | $ | 121,997 | $ | 65,824 | $ | 4,542 | $ | (1,169) | $ | 69,197 |
| For the Quarter Ended September 30, 2024 | $ | 195,295 | $ | 128,844 | $ | (6,789) | $ | 122,054 | $ | 66,451 | $ | 6,789 | $ | (1,729) | $ | 71,511 |
| For the Quarter Ended June 30, 2024 | $ | 186,717 | $ | 119,422 | $ | (6,971) | $ | 112,451 | $ | 67,295 | $ | 6,971 | $ | (1,872) | $ | 72,394 |
| For the Quarter Ended March 31, 2024 | $ | 186,574 | $ | 121,468 | $ | (5,476) | $ | 115,992 | $ | 65,106 | $ | 5,476 | $ | (2,581) | $ | 68,001 |
(1) Primarily interest income on cash and cash equivalents
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.
| For the Quarters Ended | ||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| March 31, 2025 | December 31, 2024 | March 31, 2024 | ||||||||||||||||
| (dollars in thousands) | (dollars in thousands) | (dollars in thousands) | ||||||||||||||||
| Average<br>Balance | Interest | Average<br>Yield/Cost | Average<br>Balance | Interest | Average<br>Yield/Cost | Average<br>Balance | Interest | Average<br>Yield/Cost | ||||||||||
| Assets: | ||||||||||||||||||
| Interest-earning assets (1): | ||||||||||||||||||
| Agency RMBS (3) | $ | 627,478 | $ | 7,158 | 5.6 | % | $ | 682,811 | $ | 10,505 | 6.1 | % | $ | 19,363 | $ | 325 | 6.7 | % |
| Agency CMBS | 41,607 | 548 | 5.3 | % | 41,906 | 507 | 4.8 | % | 60,345 | 715 | 4.7 | % | ||||||
| Non-Agency RMBS | 987,344 | 28,269 | 11.5 | % | 1,000,496 | 29,508 | 11.8 | % | 961,903 | 28,935 | 12.0 | % | ||||||
| Loans held for investment | 11,091,882 | 153,591 | 5.5 | % | 11,107,918 | 150,674 | 5.4 | % | 11,643,716 | 154,018 | 5.3 | % | ||||||
| Total | $ | 12,748,311 | $ | 189,566 | 5.9 | % | $ | 12,833,131 | $ | 191,194 | 6.0 | % | $ | 12,685,327 | $ | 183,993 | 5.8 | % |
| Liabilities and stockholders' equity: | ||||||||||||||||||
| Interest-bearing liabilities (2): | ||||||||||||||||||
| Secured financing agreements collateralized by: | ||||||||||||||||||
| Agency RMBS (3) | $ | 487,288 | $ | 4,730 | 4.6 | % | $ | 637,645 | $ | 7,438 | 5.0 | % | $ | — | $ | — | — | % |
| Agency CMBS | 29,972 | 338 | 4.5 | % | 29,194 | 366 | 5.0 | % | 44,632 | 661 | 5.9 | % | ||||||
| Non-Agency RMBS | 647,628 | 9,569 | 5.9 | % | 657,762 | 10,537 | 6.4 | % | 681,101 | 11,736 | 6.9 | % | ||||||
| Loans held for investment | 1,828,760 | 27,450 | 6.0 | % | 1,745,522 | 27,973 | 6.4 | % | 1,696,221 | 28,106 | 6.6 | % | ||||||
| Securitized debt | 7,636,038 | 71,701 | 3.8 | % | 7,670,967 | 72,209 | 3.8 | % | 8,207,251 | 75,489 | 3.7 | % | ||||||
| Long term debt (3) | 139,750 | 3,474 | 9.9 | % | 139,750 | 3,474 | 9.9 | % | — | — | — | % | ||||||
| Total | $ | 10,769,436 | $ | 117,262 | 4.4 | % | $ | 10,880,840 | $ | 121,997 | 4.5 | % | $ | 10,629,205 | $ | 115,992 | 4.4 | % |
| Economic net interest income/net interest rate spread | $ | 72,304 | 1.5 | % | $ | 69,197 | 1.5 | % | $ | 68,001 | 1.4 | % | ||||||
| Net interest-earning assets/net interest margin | $ | 1,978,875 | 2.3 | % | $ | 1,952,291 | 2.2 | % | $ | 2,056,122 | 2.1 | % | ||||||
| Ratio of interest-earning assets to interest bearing liabilities | 1.18 | 1.18 | 1.19 | |||||||||||||||
| (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. |
The table below shows our Net Income and Economic net interest income as a percentage of average stockholders' equity and Earnings available for distribution as a percentage of average common stockholders' equity. Return on average equity is defined as our GAAP net income (loss) as a percentage of average equity. Average equity is defined as the average of our beginning and ending stockholders' equity balance for the period reported. Economic Net Interest Income and Earnings available for distribution are non-GAAP measures as defined in previous sections.
| Return on Average Equity | Economic Net Interest Income/Average Equity | Earnings available for distribution/Average Common Equity | ||||
|---|---|---|---|---|---|---|
| (Ratios have been annualized) | ||||||
| For the Quarter Ended March 31, 2025 | 25.89 | % | 11.19 | % | 8.10 | % |
| For the Quarter Ended December 31, 2024 | (22.27) | % | 10.52 | % | 7.16 | % |
| For the Quarter Ended September 30, 2024 | 20.30 | % | 10.64 | % | 6.79 | % |
| For the Quarter Ended June 30, 2024 | 8.57 | % | 11.06 | % | 7.08 | % |
| For the Quarter Ended March 31, 2024 | 19.90 | % | 10.45 | % | 7.31 | % |
The following table presents changes to Accretable Discount (net of premiums) as it pertains to our Non-Agency RMBS portfolio, excluding premiums on interest-only investments, during the previous five quarters.
| For the Quarters Ended | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| (dollars in thousands) | ||||||||||
| Accretable Discount (Net of Premiums) | March 31, 2025 | December 31, 2024 | September 30, 2024 | June 30, 2024 | March 31, 2024 | |||||
| Balance, beginning of period | $ | 117,203 | $ | 123,953 | $ | 125,881 | $ | 130,624 | $ | 139,737 |
| Accretion of discount | (7,705) | (8,855) | (10,949) | (11,142) | (8,179) | |||||
| Purchases | — | — | 2,834 | 919 | 1,848 | |||||
| Sales and consolidation | — | — | — | — | — | |||||
| Eliminated in consolidation | — | — | — | — | — | |||||
| Transfers from/(to) credit reserve, net | 1,363 | 2,105 | 6,187 | 5,480 | (2,782) | |||||
| Balance, end of period | $ | 110,861 | $ | 117,203 | $ | 123,953 | $ | 125,881 | $ | 130,624 |
Disclaimer
In this press release references to “we,” “us,” “our” or “the Company” refer to Chimera Investment Corporation and its subsidiaries unless specifically stated otherwise or the context otherwise indicates. This press release 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 and mortgage prepayment rates; our ability to manage credit risk related to our investments and comply with the Risk Retention Rules; 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; our ability to successfully integrate and realize the anticipated benefits of any acquisitions, including the Palisades Acquisition; 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; our ability to find and retain qualified executive officers and key personnel; 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; our ability to comply with extensive government regulation; the impact of and changes in governmental regulations, tax law and rates, accounting guidance, 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.
Readers are advised that any financial information in this press release 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.
12
q125investorpresentation
I N V E S T O R P R E S E N T A T I O N P R O P R I E T A R Y & CO N F I D E N T I A L Q 1 | 2 0 2 5
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 “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,” “could,” “should,” “believe,” “predict,” “potential,” “continue,” and 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 and mortgage prepayment rates; our ability to manage credit risk related to our investments and comply with the Risk Retention Rules; 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 (such as the recent tensions in international trade); our ability to successfully integrate and realize the anticipated benefits of any acquisitions, including the Palisades Acquisition; 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; our ability to find and retain qualified executive officers and key personnel; 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; our ability to comply with extensive government regulation; the impact of and changes in governmental regulations, tax law and rates, accounting guidance, 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 December 31, 2024, 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. Disclaimer 2
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. 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, differently than our peers making comparative analysis difficult. Non-GAAP Financial Measures 3
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 HYBRID INVESTMENT APPROACH ▪ Invests across the spectrum of mortgage products, including, residential loans and non-agency and agency securities. ▪ Team expertise and robust infrastructure enable a disciplined approach to residential credit investing. SCALED MORTGAGE CREDIT PLATFORM ▪ Risk management approach emphasizes asset-level credit risk management. ▪ Data management capabilities and proprietary technologies drive efficiencies in process and credit decisions. THIRD-PARTY ASSET & INVESTMENT MANAGEMENT ▪ Bespoke 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 March 31, 2025 2007 82 $6.4B $13.2B $2.6B $24.4B(1) Year Founded Full-Time Professionals Dividends Declared Since Inception REIT Assets REIT Equity 3rd Party Managed Loans Chimera Investment Corp. Hybrid mortgage REIT delivering diversified investment solutions across the mortgage credit product spectrum.
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 Chimera Q1 2025 Highlights Against a volatile market backdrop, we successfully increased liquidity, refinanced debt, and diversified sources of income. BOOK VALUE PER SHARE CHANGE 7.4% EARNINGS AVAILABLE FOR DISTRIBUTION $0.41 DIVIDENDS DECLARED $0.37 ECONOMIC RETURN 9.2% BOOK VALUE ▪ Q1 2025 book value per share was $21.17 compared to $19.72 in Q4 2024, or +7.4% increase. SECURITIZATIONS ▪ Sponsored CIM 2025-I1, a rated Non-QM securitization collateralized by $288 million of loans. ▪ Re-levered $646 million of loans in 2 re-securitizations extracting $187 million of capital for reinvestment. INVESTMENTS ▪ Purchased $149 million of Agency specified pools in March. ▪ Settled $100 million of residential transition loans (“RTL”) during the quarter with 8.9% net rate. ▪ Committed to purchase $32 million of RTLs which are expected to settle in Q2 2025. FINANCING ▪ Extended a maturing non-mark-to-market (“non-MtM”) facility to February 2027. ▪ Refinanced a maturing non-MtM secured repo facility extracting liquidity at materially lower interest rate. INTEREST RATE HEDGE ACTIVITY ▪ Converted remaining $500 million swaption position into a 1-year swap with a fixed pay rate of 3.45%. ▪ Added $155 million of SOFR swap futures with par equivalent pay fixed rate of 3.84%. ▪ Purchased a $1.0 billion 2-year interest rate cap with a strike rate of 3.95%.
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 . OUTSTANDING SECURITIZATIONS(2) One of the largest RPL securitization issuers TOTAL LEVERAGE RATIO 3.9x RECOURSE LEVERAGE RATIO 1.2x CASH $253 MILLION 6 Scaled mortgage loan portfolio with robust securitization market presence SECURITIZED DEBT (NON-RECOURSE) $7,268 MILLION REPO FINANCING (RECOURSE) $2,994 MILLION UNSECURED DEBT $140 MILLION EQUITY $2,644 MILLION INVESTMENT PORTFOLIO(2) Fair Market Value as of March 31, 2025 S E C U R IT IZ E D RE- PERFORMING $9,486 MILLION INVESTOR $844 MILLION LO A N S PRIME JUMBO $389 MILLION RESIDENTIAL TRANSITION $259 MILLION S E C U R IT IE S NON-AGENCY RMBS $1,060 MILLION AGENCY MBS $656 MILLION KEY FUNDING METRICS
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . Investment Summary 7 (dollars in thousands) Principal or Notional Value ($) Amortized Cost ($) Fair Value ($) Weighted Average Coupon Weighted Average Book Yield at Period- End(3) Securitized Debt Current Face ($) Securitized Debt Amortized Cost ($) Securitized Debt Fair Value ($) Securitized Debt Book Yield Secured Financing Agreements ($) Net Assets ($) Non-Agency RMBS Senior 994,386 445,212 601,108 5.7% 18.1% Subordinated 643,316 382,550 377,585 4.5% 8.1% Interest-only 2,589,059 151,550 81,148 0.7% 4.3% TOTAL 4,226,761 979,313 1,059,841 4.4% 12.1% 69,990 639,397 350,455 Agency RMBS Agency CMO 451,023 450,846 449,448 5.5% 5.6% Pass-through 149,420 150,229 149,497 5.5% 5.4% Interest-only 379,113 19,267 15,852 0.8% 7.6% TOTAL 979,556 620,342 614,797 5.4% 5.6% 482,906 131,891 Agency CMBS Project loans 40,875 41,494 35,002 3.5% 3.4% Interest-only 294,363 5,894 6,538 0.6% 9.4% TOTAL 335,238 47,388 41,540 3.1% 4.1% 30,542 10,998 Loans held for investment Re-performing Loans 9,751,275 9,544,070 9,485,918 5.4% 5.6% 7,103,751 6,976,212 6,529,279 3.82% Prime Loans 414,628 376,810 388,539 4.3% 5.9% 4,342 3,913 4,301 7.16% Investor Loans 833,924 854,720 843,842 6.9% 6.6% 659,198 658,294 664,507 6.39% Business Purpose Loans 260,073 261,937 259,433 8.8% 7.2% TOTAL 11,259,900 11,037,537 10,977,732 5.5% 5.6% 7,767,291 7,638,419 7,198,087 4.05% 1,841,345 1,938,299
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . Q1 2025 EXPECTED REPO MATURITIES ($ MILLIONS) Floating Rate Funding We seek to lock-in our funding costs with non-recourse term securitization along with hedging our floating rate liabilities. 8 FLOATING RATE REPO(4) $1,989 MILLION FLOATING RATE PREFERRED EQUITY $525 MILLION SERIES NOTIONAL ($MM) COUPON FLOATING INFO A $145 8.00% Fixed B $325 10.38%(5) SOFR + Tenor Adj + 579 C $260 7.75% Float as of Sept’25 D $200 9.97%(6) SOFR + Tenor Adj +538 Total $930 9.19% Q1 2025 EXPECTED REPO MATURITIES ($ MILLIONS) $1,284 $227 $75 $110 $394 $0 $903 $0 $400 $800 $1,200 $1,600 0-3 Months 3-6 Months 6-12 Months 12 Months+ MtM Limited MtM Non MtM INTEREST RATE SWAPS $2,155 MILLION AVERAGE PAY FIXED RATE 3.53% INTEREST RATE CAP $1,000 MILLION STRIKE RATE 3.95% TOTAL HEDGE NOTIONAL $3,155 MILLION HEDGE RATIO 126%
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 . Secured Recourse Financing Update 9 TOTAL REPO NON- MARK-TO-MARKET (MTM) % FLOATING RATE REPO FLOATING RATE REPO HEDGE RATIO(8) RECOURSE LEVERAGE 1Q 2025 $3.0B 47% 66%(4) 159% 1.2x 4Q 2024 $2.8B 48% 77%(7) 69% 1.2x ▪ $2.2 billion of interest rate swaps (including ERIS SOFR swaps) and a $1.0 billion cap hedge 159% of our floating rate liabilities.(4) ▪ Weighted average pay-fixed rate of 3.53% on swap. ▪ Weighted average maturity on swaps is less than one year. ▪ Interest rate cap struck at 3.95%. $1.0 billion of swaps mature in April 2025 $500 million of swaps mature in June 2025
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 . ▪ 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 mortgage loans by selling senior securities (long-term non-recourse financing) and retaining subordinate and interest-only securities. ▪ We finance retained securities via repurchase agreements (secured recourse financing) to enhance our return on investment. Q1’25 Key Loan Statistics Total Current Unpaid Principal Balance (UPB) $11.3 Billion(9) Total Number of Loans 102,392 Weighted Average Loan Size $110K Weighted Average Coupon 6.01% Weighted Average FICO 670 Weighted Average Loan Age (WALA) 187 Months Weighted Average Original Loan-to-Value (LTV) 79% Amortized Loan-to-Value (LTV) 63% HPI Updated Loan-to-Value (LTV)(10) 44% 60+ Days Delinquent 9.2% Residential Mortgage Overview 10 Weighted Average Loan Age (Months) 162 173 184 180 184 190 187 2019 2020 2021 2022 2023 2024 2025 ▪ 76% of our loans were originated 2008 and prior Source: Bloomberg and IntexCalc.
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . Our loan portfolio has benefitted from historic levels of home equity due to home price appreciation. S&P Case Shiller National HPI(10) HPI Updated LTV(10) (%) 100 150 200 250 300 350 2000 2005 2010 2015 2020 2025 66 62 52 49 45 43 44 2019 2020 2021 2022 2023 2024 2025 Delinquencies on our loan portfolio are at the lowest level since 2019. Our loan portfolio has a weighted average coupon of 6.01%. 60+ Day Delinquency (%) Weighted Average Coupon (%) 9.9 12.9 11.9 10.7 9.5 9.3 9.2 2019 2020 2021 2022 2023 2024 2025 6.54 6.30 6.10 5.85 5.96 5.98 6.01 2019 2020 2021 2022 2023 2024 2025 Residential Mortgage Loans Overview 11 Source: Bloomberg and IntexCalc.
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . ▪ Re-securitization is an additional source for future capital re-deployment. Securitization History ($ Millions) 0 2,000 4,000 6,000 8,000 10,000 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '24 '25 Senior Subordinated Securitization Activity We have completed 108 deals and securitized $54 billion of residential mortgage assets, including Legacy Non-Agency RMBS, Seasoned Reperforming Loans, Agency Eligible Investor Loans, Non-QM DSCR loans, and Prime Jumbo loans, since inception. Vintage Type # of Deals Issued Total Orig. Balance Senior Bond Orig. Balance Subordinated Bond Orig. Balance # of Deals Outstanding 2008 Loan 2 771 671 100 2 2009 RMBS 3 3,535 1,965 1,570 2 2010 RMBS 14 5,638 2,156 3,482 6 2011 RMBS 2 359 177 182 2 2012 Loan 3 1,497 1,378 119 - 2013 N/A - - - - - 2014 Loan & RMBS 2 816 522 294 - 2015 Loan 4 2,048 1,385 663 - 2016 Loan 6 5,862 4,149 1,713 1 2017 Loan 9 7,364 5,218 2,147 - 2018 Loan 9 3,022 2,210 812 3 2019 Loan 12 5,007 3,850 1,157 11 2020 Loan 11 4,164 3,254 909 9 2021 Loan 14 8,202 6,522 1,680 10 2022 Loan 5 1,571 1,156 415 4 2023 Loan 8 2,553 1,991 562 6 2024 Loan 1 468 352 116 1 2025 Loan 3 934 793 141 3 108 $53,812 $37,750 $16,062 60 12
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 . 60+ DAY DELINQUENCY EXPERIENCE (%) 3-MONTH PREPAYMENT RATE (CPR %) 3 MONTH DEFAULT RATE (%) 3 MONTH LOSS SEVERITY (%) Q1 2025 KEY LOAN STATISTICS Total Original Unpaid Principal Balance (UPB) $16.1 Billion Total Current Unpaid Principal Balance (UPB) $9.8 Billion Total Number of Loans 98,276 Weighted Average Loan Size $99K Weighted Average Coupon 5.93% Weighted Average FICO 657 Weighted Average Loan Age (WALA) 212 Months Amortized Loan-to-Value (LTV) 62% HPI Updated Loan-to-Value (LTV)(10) 40% 60+ Days Delinquent 8.9% 7 8 9 10 11 12 2022 2023 2024 2025 4 8 12 16 2022 2023 2024 2025 0.4 0.5 0.6 0.7 0.8 0.9 2022 2023 2024 2025 5 15 25 35 45 55 2022 2023 2024 2025 RPL Securitization Credit Performance Reperforming Loans are a cornerstone of our portfolio. Residential credit fundamentals and performance have been stable, given home price appreciation and the fully seasoned nature of our loans. 13 Source: Bloomberg and IntexCalc.
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . Third-Party Asset Management Highlights Chimera’s third-party asset management business provides advisory and execution services for mortgage loan investors. 14 LOANS UNDER MGMT. GROWTH (YoY)(11)(12) TRANSACTION GROWTH (YoY)(11) 44.8% 166% Loans Under Management ($ Billions)(11)(12) $16.6 $17.7 $19.6 $22.0 $24.0 $0 $5 $10 $15 $20 $25 Q1 ’24 Q2 ’24 Q3 ’24 Q4 ’24 Q1 ’25 $2.3 $3.4 $4.7 $5.5 $6.0 $0 $1 $2 $3 $4 $5 $6 $7 Q1'24 Q2'24 Q3'24 Q4'24 Q1'25 Transaction Volume by Unpaid Balance ($ Billions)(11) Expertise by Asset Type(11)(12)(13) Inception to Q1’25 Re-Performing Loans ✓ Non-Performing Loans ✓ Non-QM ✓ Residential Transition Loans ✓ International Residential Loans ✓ Home Equity Products ✓ Single Family Rental ✓
Q 1 . 2 0 2 5 | I n v e s t o r P r e s e n t a t i o n Appendix
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 . 16 ECONOMIC BENEFITS +$11m ADDITIONAL ANNUAL INTEREST EXPENSE +$187m* NEW INVESTMENT CAPITAL SECURITIZED RE-PERFORMING MORTGAGE LOANS $646m RE-PERFORMING MORTGAGE LOANS REDEEMED SECURITIZATIONS $312m FACE AMOUNT BONDS We redeemed bonds in 7 securitizations with these economics NEW SECURITIZATIONS $517m FACE AMOUNT OF BONDS We re-securitized the loans in 2 new securitizations with these economics * Net proceeds on new securitizations after bond discounts and expenses Liquidity Enhancement Through Securitization Exercised call rights on 7 non-REMIC securitizations and re-securitized the collateral in 2 new securitizations, releasing $187 million of investable capital.
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 . $21.32 $21.27 $22.35 $19.72 $21.17 Q1'24 Q2'24 Q3'24 Q4'24 Q1'25 Q/Q Economic Return: 9.2%$1.36 $0.41 $1.39 ($2.07) $1.77 Q1'24 Q2'24 Q3'24 Q4'24 Q1'25 $0.37 $0.37 $0.36 $0.37 $0.41 Q1'24 Q2'24 Q3'24 Q4'24 Q1'25 0.90x 1.00x 1.23x 1.17x 1.18x Q1'24 Q2'24 Q3'24 Q4'24 Q1'25 $169 $162 $97 $84 $253 Q1'24 Q2'24 Q3'24 Q4'24 Q1'25 $418 $486 $550 $526 $444 Q1'24 Q2'24 Q3'24 Q4'24 Q1'25 GAAP Earnings Per Share Earnings Available For Distribution (EAD) Per Share(14) GAAP Book Value Per Share Recourse Leverage Cash ($ Millions) Unencumbered Assets Market Value ($ Millions) Financial Metrics 17
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 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 the sales of investments, (iii) gains or losses on the extinguishment of debt, (iv) changes in the provision for credit losses, (v) unrealized gains or losses on derivatives, (vi) realized gains or losses on derivatives, (vii) transaction expenses, (viii) stock compensation expenses for retirement eligible awards, (ix) amortization of intangibles and depreciation expenses, (x) non-cash imputed compensation expense related to business acquisitions, and (xi) other gains and losses on equity investments. Non-cash imputed compensation expense reflects the portion of the consideration paid in the Palisades Acquisition that pursuant to the seller’s contractual arrangements is distributable to the seller’s 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 non-cash contribution from a related party to our shareholder’s 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 all incurred prior to or at the execution of the transaction and do not recur. Recurring expenses, such as servicing fees, custodial fees, trustee fees and other similar ongoing fees are not excluded from earnings available for distribution. We believe that excluding these costs is useful to investors as it is generally consistent with our peer group’s treatment of these costs in their non-GAAP measures presentation, 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 issue costs prior to the fair value election option made by us. In addition, we believe it is important for investors to review this metric which 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 view Earnings available for distribution as one measure of our investment portfolio's ability to generate income for distribution to common stockholders. Earnings available for distribution is one of the metrics, but not the exclusive metric, that our Board of Directors uses to determine 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. Earnings available for distribution, however, is different than REIT taxable income, and the determination of whether we have met the requirement to distribute at least 90% of our annual REIT taxable income is not based on Earnings available for distribution. Therefore, Earnings available for distribution should not be considered as an indication of our REIT taxable income, a guaranty of our ability to pay dividends, or as a proxy for the amount of dividends we may pay. We believe Earnings available for distribution helps us and investors evaluate our financial performance period over period without the impact of certain non-recurring transactions. Therefore, Earnings available for distribution should not be viewed in isolation and is not a substitute for or superior to net income or net income per basic share computed in accordance with GAAP. In addition, our methodology for calculating Earnings available for distribution may differ from the methodologies employed by other REITs to calculate the same or similar supplemental performance measures, and accordingly, our Earnings available for distribution may not be comparable to the Earnings available for distribution reported by other REITs. Earnings Available for Distribution 18
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 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. 19 March 31, 2025 December 31, 2024 September 30, 2024 June 30, 2024 March 31, 2024 (dollars in thousands, except per share data) GAAP Net income (loss) available to common stockholders $145,940 $ (168,275) $113,672 $33,913 $111,016 Adjustments(15): Net unrealized (gains) losses on financial instruments at fair value (128,895) 181,197 (104,012) (11,231) (76,765) Net realized (gains) losses on sales of investments — 1,468 — — 3,750 (Gains) losses on extinguishment of debt (2,122) — — — — Increase (decrease) in provision for credit losses 3,387 4,448 358 3,684 1,347 Net unrealized (gains) losses on derivatives 6,469 (276) 14,457 (11,955) (5,189) Realized (gains) losses on derivatives (82) (641) 4,864 17,317 — Transaction expenses 5,688 4,707 2,317 — 67 Stock Compensation expense for retirement eligible awards 1,432 (307) (424) (419) 1,024 Amortization of intangibles and depreciation expenses(16) 951 321 — — — Non-cash imputed compensation related to business acquisition 341 10,296 — — — Other investment (gains) losses 417 (2,490) (1,366) (1,001) (4,686) Earnings available for distribution $33,526 $30,448 $29,866 $30,308 $30,564 GAAP net income (loss) per diluted common share $1.77 $(2.07) $1.39 $0.41 $1.36 Earnings available for distribution per adjusted diluted common share $0.41 $0.37 $0.36 $0.37 $0.37
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 . 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 presented. 20 For the Quarters Ended March 31, 2025 December 31, 2024 (dollars in thousands) (dollars in thousands) Average Balance Interest Average Yield/Cost Average Balance Interest Average Yield/Cost Assets: Interest-earning assets(17): Agency RMBS (3) $627,478 $7,158 5.6% $682,811 $10,505 6.1% Agency CMBS 41,607 548 5.3% 41,906 507 4.8% Non-Agency RMBS 987,344 28,269 11.5% 1,000,496 29,508 11.8% Loans held for investment 11,091,882 153,591 5.5% 11,107,918 150,674 5.4% Total $ 12,748,311 $ 189,566 5.9% $12,833,131 $191,194 6.0% Liabilities and stockholders' equity: Interest-bearing liabilities(18): Secured financing agreements collateralized by: Agency RMBS(19) $487,288 $4,730 4.6% $637,645 $7,438 5.0% Agency CMBS 29,972 338 4.5% 29,194 366 5.0% Non-Agency RMBS 647,628 9,569 5.9% 657,762 10,537 6.4% Loans held for investment 1,828,760 27,450 6.0% 1,745,522 27,973 6.4% Securitized debt 7,636,038 71,701 3.8% 7,670,967 72,209 3.8% Long term debt(19) 139,750 3,474 9.9% 139,750 3,474 9.9% Total $ 10,769,436 $ 117,262 4.4% $10,880,840 $121,997 4.5% Economic net interest income/net interest rate spread $72,304 1.5% $69,197 1.5% Net interest-earning assets/net interest margin $1,978,875 2.3% $ 1,952,291 2.2% Ratio of interest-earning assets to interest bearing liabilities 1.18 1.18
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 Summary (12/31/24) 21 (dollars in thousands) Principal or Notional Value ($) Amortized Cost ($) Fair Value ($) Weighted Average Coupon Weighted Average Book Yield at Period- End(3) Securitized Debt Current Face ($) Securitized Debt Amortized Cost ($) Securitized Debt Fair Value ($) Securitized Debt Book Yield Secured Financing Agreements ($) Net Assets ($) Non-Agency RMBS Senior 1,010,128 455,660 614,493 5.7% 17.6% Subordinated 648,977 384,075 376,341 4.5% 8.0% Interest-only 2,644,741 153,572 73,335 0.7% 6.6% TOTAL 4,303,845 993,307 1,064,170 4.4% 12.2% 71,247 653,486 339,436 Agency RMBS Agency CMO 464,640 464,524 461,658 5.8% 5.8% Interest-only 380,311 19,594 16,784 0.6% 6.9% TOTAL 844,951 484,118 478,441 5.6% 5.9% 402,664 75,979 Agency CMBS Project loans 40,882 41,501 34,370 3.5% 3.4% Interest-only 449,437 6,134 6,408 0.5% 8.9% TOTAL 490,320 47,635 40,778 3.1% 4.1% Loans held for investment Re-performing Loans 10,013,840 9,802,123 9,605,041 5.5% 5.5% 7,155,087 7,039,101 6,565,127 3.66% Prime Loans 420,446 381,556 388,918 4.3% 5.9% 4,751 4,238 4,674 7.09% Investor Loans 573,748 585,432 565,925 6.5% 6.4% 410,883 409,733 414,692 6.55% Business Purpose Loans 213,313 214,852 212,978 8.9% 8.9% TOTAL 11,221,347 10,983,964 10,772,862 5.5% 5.6% 7,570,0721 7,453,072 6,984,493 3.82% 1,739,117 2,049,251
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 22 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 58,769 391,790 333,021 58,769 5.00% 6.28% Mar-27 2025 CIM 2025-NR1 254,432 184,463 69,969 254,432 184,463 69,969 5.00% 5.92% Mar-26 2025 CIM 2025-I1 287,674 275,735 11,939 278,740 266,801 11,939 5.92% 7.85% Feb-28 2024 CIM 2024-R1 468,148 351,813 116,335 434,653 318,331 116,321 4.75% 5.74% Clean-up Call 2023 CIM 2023-I2 238,530 202,750 35,780 191,105 155,268 35,780 6.71% 7.10% Jul-26 2023 CIM 2023-R4 393,997 343,368 50,629 326,595 275,979 50,615 5.03% 5.70% Apr-28 2023 CIM 2023-R3 450,834 394,479 56,355 376,199 319,820 56,355 4.50% 5.59% Apr-25 2023 CIM 2023-I1 236,161 205,578 30,583 188,234 157,743 30,491 6.37% 7.37% Apr-26 2023 CIM 2023-R2 447,384 364,841 82,543 361,141 278,664 82,477 5.50% 6.27% Mar-28 2023 CIM 2023-R1 585,718 512,503 73,215 470,380 398,276 72,103 5.40% 6.24% Currently Callable 2022 CIM 2022-R3 369,891 327,168 42,723 282,424 239,766 42,657 4.57% 5.51% Sep-27 2022 CIM 2022-I1 219,442 122,997 96,445 175,844 79,385 96,445 4.35% 4.73% Currently Callable 2022 CIM 2022-R2 508,202 440,865 67,337 394,445 327,437 67,008 3.82% 4.78% May-27 2022 CIM 2022-R1 328,226 294,090 34,136 240,475 206,299 34,115 3.05% 4.53% Feb-27 2021 CIM 2021-R6 353,797 336,284 17,513 191,507 173,988 17,513 1.67% 6.17% Sep-26 2021 CIM 2021-R5 450,396 382,836 67,560 313,147 246,434 66,713 2.00% 5.62% Currently Callable 2021 CIM 2021-R4 545,684 463,831 81,853 313,439 232,228 81,211 2.00% 5.78% Currently Callable 2021 CIM 2021-R3 859,735 730,775 128,960 446,852 318,565 128,286 1.95% 5.83% Currently Callable 2021 CIM 2021-R2 1,497,213 1,272,631 224,582 690,808 466,794 224,013 2.07% 6.55% Currently Callable 2021 CIM 2021-R1 2,098,584 1,783,797 314,787 1,020,266 705,367 314,787 1.94% 6.39% Currently Callable 2020 CIM 2020-R7 653,192 562,023 91,169 343,431 253,384 90,047 2.44% 6.17% Currently Callable 2020 CIM 2020-R6 418,390 334,151 84,239 245,240 161,774 83,466 2.25% 5.35% Currently Callable 2020 CIM 2020-R5 338,416 257,027 81,389 154,730 73,647 81,084 2.53% 5.49% Clean-up Call 2020 CIM 2020-R3 438,228 328,670 109,558 237,882 130,194 107,689 4.00% 5.52% Currently Callable 2020 CIM 2020-R2 492,347 416,761 75,586 272,558 198,922 73,895 2.68% 4.32% Clean-up Call 2020 CIM 2020-R1 390,761 317,608 73,153 232,373 160,695 71,678 2.90% 5.87% Currently Callable 2019 SLST 2019-1 1,217,441 941,719 275,722 722,388 505,359 206,748 3.50% 3.83% Currently Callable 2019 CIM 2019-R5 315,039 252,224 62,815 146,997 84,501 61,981 3.02% 5.78% Clean-up Call 2019 CIM 2019-R4 320,802 256,641 64,161 159,319 97,300 62,019 3.00% 6.31% Currently Callable 2019 CIM 2019-R3 342,633 291,237 51,396 139,313 89,481 49,832 2.63% 6.66% Currently Callable 2019 CIM 2019-R2 464,327 358,172 106,155 268,476 165,277 103,198 3.49% 5.45% Clean-up Call 2019 CIM 2019-R1 371,762 297,409 74,353 201,590 129,124 72,466 3.25% 5.02% Currently Callable 2018 CIM 2018-R3 181,073 146,669 34,404 51,703 19,955 31,561 4.27% 7.25% Currently Callable 2016 CIM 2016-FRE1 185,811 115,165 70,646 66,723 8,703 58,020 3.87% 4.71% Currently Callable 2008 PHHMC 2008-CIM1 619,710 549,142 70,568 5,870 4,342 1,506 6.66% 5.04% Do Not Hold Call Rights $17,735,770 $14,748,443 $2,987,327 $10,591,069 $7,767,291 $2,812,758 3.62% 5.78%
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 . 1) Unaudited third-party managed loans and real estate. Includes total debt associated with discretionary private credit funds and non-discretionary asset management mandates. Data is sourced and reconciled to monthly mortgage loan servicer detail which is subject to subsequent adjustment and reconciliations. 2) Excluding REO and forward-settling transactions. 3) Weighted Average Yield is calculated using each investment's respective amortized cost. Bond Equivalent Yield at period-end. 4) Excludes $238 million of capped floating rate financing. 5) Series B coupon is equal to three-month CME Term SOFR (plus a LIBOR to SOFR Tenor spread adjustment of 0.26%) plus a spread of 5.79%. 6) Series D coupon is equal to three-month CME Term SOFR (plus a LIBOR to SOFR Tenor spread adjustment of 0.26%) plus a spread of 5.38%. 7) Excludes $240 million of capped floating rate financing. 8) Excludes floating rate preferred equity. 9) Includes $699MM of Residential Mortgage Loans held in financing trusts and $840MM of Non-QM and Prime Jumbo securitizations. 10) HPI LTV data as of January 2025. 11) Unaudited third-party managed loans and real estate. Excludes total debt associated with discretionary private credit funds. 12) Data is sourced and reconciled to monthly mortgage loan servicer detail which is subject to subsequent adjustment and reconciliations. 13) Inception period begins February 2013. 14) 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. 15) As a result of the Palisades Acquisition, 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 the Palisades Acquisition and are not directly related to generation of our portfolio’s investment income. 16) Non-cash amortization of intangibles and depreciation expenses related to Palisades Acquisition. 17) Interest-earning assets at amortized cost. 18) Interest includes periodic interest on derivatives, net 19) These amounts have been adjusted to reflect the daily outstanding averages for which the financial instruments were held during the period. Endnotes 23
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 .