Document

“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."


CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
(dollars in thousands, except share and per share data)
(Unaudited)
	March 31, 2025		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)	1,059,840		1,064,169
Agency MBS, at fair value	656,335		519,218
Loans held for investment, at fair value	10,983,840		11,196,678

Accrued interest receivable	84,082		81,386
Other assets	167,880		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)	69,990		71,247
Securitized debt at fair value, collateralized by Loans held for investment ($10.3 billion and $10.2 billion pledged as collateral, respectively)	7,198,089		6,984,495

Long term debt	134,928		134,646
Payable for investments purchased	38,477		454,730
Accrued interest payable	38,164		41,472
Dividends payable	34,153		34,265
Accounts payable and other liabilities	53,030		45,075
Derivatives, at fair value, net	240		—
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		130
7.75% Series C cumulative redeemable: 10,400,000 shares issued and outstanding, respectively ($260,000 liquidation preference)	104		104
8.00% Series D cumulative redeemable: 8,000,000 shares issued and outstanding, respectively ($200,000 liquidation preference)	80		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	810		809
Additional paid-in-capital	4,394,600		4,390,516
Accumulated other comprehensive income	157,770		159,449
Cumulative earnings	4,508,408		4,341,111
Cumulative distributions to stockholders	(6,417,896)		(6,366,068)
Total stockholders' equity	$	2,644,064	$	2,526,189
Total liabilities and stockholders' equity	$	13,205,326	$	13,116,490

(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




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 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.


	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


	March 31, 2025
	Principal or Notional Value at Period-End (dollars in thousands)		Weighted Average Amortized Cost Basis		Weighted Average Fair Value	Weighted Average 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	%


	December 31, 2024
	Principal or Notional Value at Period-End (dollars in thousands)		Weighted Average Amortized Cost Basis		Weighted Average Fair Value		Weighted Average 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	%


	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%


	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	%

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.


	GAAP Interest Income		GAAP Interest Expense		Periodic Interest on derivatives, net		Economic Interest Expense		GAAP Net Interest Income		Periodic Interest on derivatives, net		Other (1)		Economic Net Interest 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


	For the Quarters Ended
	March 31, 2025						December 31, 2024						March 31, 2024
	(dollars in thousands)						(dollars in thousands)						(dollars in thousands)
	Average Balance		Interest		Average Yield/Cost		Average Balance		Interest		Average Yield/Cost		Average Balance		Interest		Average 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.


	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

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.



	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


	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	%