Form: 8-K

Current report filing

June 13, 2023

Documents

Exhibit 99.1

 INVESTOR PRESENTATION  June 2023 
 
 2  DISCLAIMER  This presentation includes “forward-looking statements” within the meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act of 1995. Actual results may differ from 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,” “will,” “could,” “should,” “believe,” “predicts,” “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 Report on Form 8-K, under the caption “Risk Factors.” Factors that could cause actual results to differ include, but are not limited to: our business and investment strategy; our ability to accurately forecast the payment of future dividends on our common and preferred stock, and the amount of such dividends; our ability to determine accurately the fair market value of our assets; availability of investment opportunities in real estate-related and other securities, including our valuation of potential opportunities that may arise as a result of current and future market dislocations; our expected investments; changes in the value of our investments, including negative changes resulting in margin calls related to the financing of our assets; changes in inflation, interest rates and mortgage prepayment rates; prepayments of the mortgage and other loans underlying our mortgage- backed securities, or MBS, or other asset-backed securities, or ABS; rates of default, delinquencies, forbearance, deferred payments, or decreased recovery rates on our investments; general volatility of the securities markets in which we invest; our ability to maintain existing financing arrangements and our ability to obtain future financing arrangements; our ability to effect our strategy to securitize residential mortgage loans; interest rate mismatches between our investments and our borrowings used to finance such purchases; effects of interest rate caps on our adjustable-rate investments; the degree to which our hedging strategies may or may not protect us from interest rate volatility; the impact of and changes to various government programs; the impact of and changes in governmental regulations, tax law and rates, accounting guidance, and similar matters; market trends in our industry, interest rates, the debt securities markets or the general economy; estimates relating to our ability to make distributions to our stockholders in the future; our understanding of our competition; qualified personnel; our ability to maintain our classification as a real estate investment trust, or, REIT, for U.S. federal income tax purposes; our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended, or 1940 Act; our expectations regarding materiality or significance; and the effectiveness of our disclosure controls and procedures.  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.  All information in this presentation is as of March 31, 2023, 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. 
 
 CHIMERA IS A RESIDENTIAL CREDIT HYBRID MORTGAGE REIT  3  Established in 2007  Internally managed since August 2015  Total equity capital of $2.6 billion, including $1.7 billion common stock and $930 million preferred stock (1)  Chimera (CIM) has distributed $6 billion to common and preferred stockholders since inception  Total leverage ratio 4.1:1 / Recourse leverage ratio 1.2:1  Residential Mortgage Loans represent a significant part of our business and growth strategy. Our Residential Mortgage Loan portfolio is comprised of Re-Performing Loans (RPLs), Non-QM & Investor Loans, Business Purpose Loans (BPLs), and Prime Jumbo Loans.  Our Mission Is To Deliver Attractive, Risk-Adjusted Returns.  Information is unaudited, estimated and subject to change.  (1) The Company expects that the LIBOR rate payable on the preferred shares will be replaced by operation of law on July 3,2023 with the corresponding tenor of Term SOFR plus the applicable statutory spread adjustment. The approximate dollar value of common stock that may be purchased under the Company’s share repurchase program was $177 million as of March 31, 2023. 
 
 2023 ACTIVITY OVERVIEW  4  Information is as of May 31,2023 and is unaudited, estimated and subject to change.  Continued focus on acquiring and securitizing residential mortgage loans.  Purchased and committed to $1.25 billion of diversified residential mortgage loans.  57% were Seasoned RPLs, 39% were Non-QM (DSCR) Investor Loans, and the remainder were Business Purpose Loans (BPLs).  Issued $841 million in Seasoned RPL securitizations and a Non-QM (DSCR) Investor Loans securitization totaling $236 million.  Further implemented our call optimization strategy on CIM securitizations.  We exercised the call rights and terminated six existing Seasoned RPL securitizations and issued 4 new Seasoned RPL securitizations totaling $1.24 billion.  Resulted in re-capturing approximately $130 million.  2 securitizations have a 1-year call option, and 2 securitizations have a 2-year call option providing the ability to take advantage of future rate declines.  Total securitizations of $2.32 billion.  Reduced our floating rate, recourse financing exposure by approximately $717 million.  Eliminated RPL warehouse loan exposure.  Decrease in recourse leverage from 1.3x as of Q4 2022 to 1.0x  Our interest rate hedging allows us optionality to benefit from lower interest rates in the future.  Interest rate swaps protect approximately 50% of our floating rate liabilities.  Interest rate swaptions provide flexibility in an environment where rates are higher for longer. 
 
 CURRENT BUSINESS HIGHLIGHTS  Q1 2023  Book value of $7.41 per share compared to $7.49 per share in Q4 2022  Committed to and purchased $1.25B of Residential Mortgage Loans  $707MM in Seasoned RPLs  $487MM in Non-QM DSCR loans  $52MM in Business Purpose loans  Sponsored 3 RPL securitizations totaling  $1.17B resulting in cash take-out of approximately $90MM  CIM 2023-R1 $586MM  CIM 2023-NR1 $134MM  CIM 2023-R2 $447MM  Post Q1 2023  Book value relatively unchanged from Q1 2023  Sponsored 3 RPL securitizations totaling  $912MM resulting in cash take-out of approximately $40MM  CIM 2023-R3 $451MM  CIM 2023-NR2 $67MM  CIM 2023-R4 $394MM  Sponsored 1 Non-QM DSCR Investor securitization totaling $236MM  Sponsored a total of 7 securitizations totaling $2.32B year-to-date  Investment Portfolio  Financing  Q1 2023  Eliminated exposure to Credit Suisse by paying off $168MM  Reduced our total recourse financing exposure by an additional $71MM with securitizations and asset sales  50% Non-Mark-to-Market (Non-MTM) and Limited Mark-to-Market (Limited MTM) on recourse financing  Recourse leverage of 1.2x down from  1.3x in Q4 2022  Post Q1 2023 (1)  Reduced our total recourse financing exposure by approximately $478MM with securitizations, asset sales, and principal paydowns  56% Non-Mark-to-Market (Non-MTM) and Limited Mark-to-Market (Limited MTM) on recourse financing  Recourse leverage of 1.0x down from  1.2x in Q1 2023  Interest Rate Hedging  Q1 2023  $2.46B of floating rate financing  $1.0B of interest rate swaps  $1.0B of interest rate swaptions  $450MM of Treasury futures to hedge securitization execution risk  Post Q1 2023 (1)  Reduced floating rate financing to  $1.98B  $1.0B of interest rate swaps  $1.0B of interest rate swaptions  Liquidity  Q1 2023  $232MM in cash  $427MM in unencumbered assets  Post Q1 2023 (1)  $235MM in cash  $451MM in unencumbered assets  5  Post Q1 2023 information is as of May 31,2023. Information is unaudited, estimated and subject to change. 
 
 Q1 2023 TOTAL GAAP PORTFOLIO  6  Information is unaudited, estimated and subject to change.  (1) At fair value. (2) Includes $930 million of Preferred Equity.  % of Fixed-Rate Financing  Q1 2023: May 31, 2023:  77% Fixed Rate   (including Securitized Debt)  82% Non-MTM Financing (including Securitized Debt)  82% Fixed Rate  (including Securitized Debt)  86% Non-MTM Financing (including Securitized Debt)  Non Agency RMBS, $1,141  87%, Loans, $12,382  Equity, $2,649(2)  22%, Repo, $3,195  53%, Securitized Debt, $7,585  Our Capital Is Mainly Allocated to Residential Mortgage Loans Financed With Non-Recourse and Repo Financing. Q1 2023 GAAP Balance Sheet ($ in Millions)(1)  Total Assets $14,203 Total Liabilities $11,554  Other Assets Loans  Agency RMBS  Liabilities & Equity  Agency CMBS  Non Agency RMBS Securitized Debt  Assets Cash Equity  Other Liabilities  Repo  0  500  1,000  1,500  0-3 months  3-6 months  6-12 months  12 months+  Repo Expected Maturities  MtM Holiday  Non MtM 
 
 $3.2B in repo liabilities  $1.6B of MTM financing  1.2x recourse leverage  50% of repos are Non-MTM and Limited MTM  Interest rate swaps hedge 41% of the floating rate liabilities  Average fixed pay rate of 3.26% on interest rate swaps  $1.0B of 1x1 interest rate swaptions  $450MM of Treasury futures to hedge securitization execution risk  Eliminated RPL warehouse loan exposure  Reduced repo liabilities to $2.7B  Reduced MTM financing to $1.2B  Reduced recourse leverage to 1.0x  56% of repos are Non-MTM and Limited MTM  Interest rate swaps hedge 50% of the floating rate liabilities  Average fixed pay rate of 3.26% on interest rate swaps  $1.0B of 1x1 interest rate swaptions  RECOURSE FINANCING & INTEREST RATE HEDGING  (1) Information is as of May 31,2023. Information is unaudited, estimated and subject to change  Q1 2023 Overview  Post Q1 2023 Update (1)  7  $1,615  $359  $489  $732  $1,000  $1,000  Recourse Financing Hedges  Post Q1 2023 Recourse Financing & Hedges (1)  ($ in Millions)  Total $2,717  Q1 2023 Recourse Financing & Hedges ($ in Millions)  Total $3,195  Total $2,000  Non MTM  Floating Rate Total $2,463, 77%  Limited MTM Total $1,585  Non-MTM & Limited MTM 50%  MTM 50%  Interest Rate Swaptions  Interest Rate Swaps  $1,187  $320  $478  $732  $1,000  $1,000  Recourse Financing  Hedges  Non MTM  Limited MTM Total $1,530, Non-MTM &  Limited MTM 56%  MTM 44%  Total $2,000  Floating Rate Total $1,985,  73%  Interest Rate Swaptions  Interest Rate Swaps 
 
 Chimera’s loan portfolio is very seasoned with 85% of loans originated prior to 2008.  Acquires residential mortgage loans from banks, non-bank financial institutions and government sponsored agencies  Finances purchases of mortgage loans via warehouse facilities and repurchase agreements (recourse financing)  Securitizes mortgage loans by selling senior securities and retains subordinate and interest-only securities (long-term non-recourse financing)  Finances retained securities via repurchase agreements (recourse financing) to enhance return on investment  Chimera’s Residential Mortgage Loan Process Overview  Q1 2023 Key Loan Statistics  Total Current Unpaid Principal Balance (UPB)  $12.3 Billion (1)  Total Number of Loans  119,042  Weighted Average Loan Size  $104K  Weighted Average Coupon  5.89%  WA FICO  661  Average Loan Age  182 Months  Loan-to-Value (LTV) at origination  81%  Amortized Loan-to-Value (LTV)  67%  HPI Updated Loan-to-Value (LTV)  48%  60+ Days Delinquent  10.2%  RESIDENTIAL MORTGAGE LOANS OVERVIEW  UPB Originated Prior to 2008  $10.4 Billion  UPB Originated After 2008  $1.9 Billion  Total Current UPB  $12.3 Billion  Chimera’s loan portfolio has benefited from historic levels of home equity due to HPA.  8  Source: Bloomberg & IntexCalc. Information is unaudited, estimated and subject to change.  (1) Includes $1.0B of Warehouse Residential Mortgage Loans & $219MM CIM 2022-I1 Non- QM DSCR Securitization.  Chimera’s loan portfolio has a weighted average coupon of 5.89%.  Delinquencies on Chimera’s loan portfolio have been low.  100  200  300  400  Jan-02  Jan-05 Jan-08 Jan-11 Jan-14 Jan-17 Jan-20 Jan-23  S&P/Case-Shiller U.S National HPI  162  173  184  180  182  2019 2020 2021 2022 2023  Weighted Average Loan Age (Months)  66  62  52  49  48  2019 2020 2021 2022 2023  HPI Updated LTV %  9.9  12.9  11.9  10.7  10.2  2019 2020 2021 2022 2023  60+ Day Delinquency %  6.54  6.30  6.10  5.85 5.89  2019 2020 2021 2022 2023  Weighted Avg Coupon % 
 
 Chimera has completed 103 deals and securitized $52.2 billion of residential mortgage assets which includes Legacy Non-Agency RMBS, Seasoned Reperforming Loans, Agency Eligible Investor Loans, Non-QM DSCR , and Prime Jumbo loans, since inception.  Chimera has RMBS & Loan issuance with an unpaid principal balance of approximately  $15 billion currently outstanding.  Chimera has 14 outstanding securitizations callable in 2023.  Re-securitization is an additional source for future capital re-deployment.  ($ in thousands)  Deal & Senior/Sub Totals At Issuance  Vintage  Type  Number of Deals Issued  Total Orig. Balance  Senior Bond  Orig. Balance  Subordinate Bond  Orig. Balance  2008  Loan  2  770,865  670,949  99,916  2009  RMBS  3  3,535,035  1,965,001  1,570,034  2010  RMBS  14  5,638,378  2,156,169  3,482,209  2011  RMBS  2  359,154  177,139  182,015  2012  Loan  3  1,496,917  1,378,409  118,508  2014  Loan & RMBS  2  816,126  522,220  293,906  2015  Loan  4  2,048,483  1,385,162  663,321  2016  Loan  6  5,861,574  4,148,904  1,712,670  2017  Loan  9  7,364,441  5,217,632  2,146,809  2018  Loan  9  3,021,614  2,209,835  811,779  2019  Loan  12  5,007,276  3,850,091  1,157,185  2020  Loan  11  4,163,703  3,254,207  909,496  2021  Loan  14  8,202,315  6,521,955  1,680,360  2022  Loan  5  1,570,674  1,156,067  414,607  2023  Loan  7  2,314,771  1,920,160  394,611  Total  103  52,171,326  36,533,900  15,637,426  SECURITIZATION ACTIVITY  9  Information is as of May 31,2023 and is unaudited, estimated and subject to change.  0  2,000  4,000  6,000  8,000  10,000  $ in Millions  Chimera Securitization Issuance History ($ in Millions)  2008 2009 2010 2011 2012 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023  Senior Bond Subordinate Bond 
 
 Reperforming Loans are a cornerstone of our portfolio. Credit performance has been stable given home price appreciation and the fully seasoned nature of our loans.   60+ Days Delinquency % 3Month CPR (Voluntary Prepayments)  Q1 2023 RPL SECURITIZATIONS CREDIT PERFORMANCE  10  Q1 2023 RPL Securitizations Loan Characteristics  Total Original Unpaid Principal Balance (UPB)  $16.1 Billion  Total Current Unpaid Principal Balance (UPB)  $11.1 Billion  Total Number of Loans  111,413  Weighted Average Loan Size  $116K  Weighted Average Coupon  5.92%  WA FICO  654  Average Loan Age  197 Months  Amortized Loan-to-Value (LTV)  66%  HPI Updated Loan-to-Value (LTV)  44%  60+ Days Delinquent  10.3%  Source: Bloomberg & IntexCalc.  Information is unaudited, estimated and subject to change.  5  10  15  20  Dec-19  Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 Mar-23  %  5  10  15  20  Dec-19  Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 Mar-23  %  0.0  0.5  1.0  1.5  Dec-19  Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 Mar-23  %  3Month CDR (Default Rate)  0  25  50  75  Dec-19  Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 Mar-23  %  3Month Loss Severity 
 
 OUR POSITIONING 2023  11  Information is unaudited, estimated and subject to change. (1) Information is as of May 31,2023.  Portfolio Investments  Cash take-out from our existing RPL portfolio serves as a significant source of capital.  14 deals callable in 2023, 4 deals callable in 2024, and 6 deals callable in 2025.  The longer these deals are outstanding, the greater the potential cash take-out.  At the current rate of paydowns, estimated cash take-out of approximately $1 billion if not called through 2025.  Capital  Deployed capital into Seasoned RPL, Non-QM (DSCR) Investor Loans, and BPL sectors in Q1 2023 and will continue to grow residential credit portfolio as opportunities arise.  Looking to rebuild Agency RMBS, Agency CMBS, and Senior Non-Agency RMBS portfolio given the attractive returns and liquidity profile.  Credit Performance  Our existing loan portfolio remains stable given low-LTVs (Wavg HPI LTV of 48%) and 182 months of seasoning.  Potential for equity book value to increase approximately $400 million if the accretable discount (net of premiums) on all assets and securitized debt were to be realized with current loss assumptions. Potential for equity book value to increase approximately $500 million assuming all assets and securitized debt were repaid at par value.  Financing & Liquidity (1)  Chimera has $235 million in cash and $451 million in unencumbered assets.  Recourse leverage of 1.0x down from 1.2x in Q1 2023.  Interest Rate Hedging (1)(2)  Current hedges are positioned in anticipation of the end of the Fed tightening cycle.  1-year interest rate swaps protect 50% of our floating rate repos and 1x1 interest rate swaptions gives us flexibility in case the Fed holds rates higher through 2024. 
 
 APPENDIX 
 
 13  FINANCIAL METRICS  See additional discussion in the Appendix section of this presentation.  $0.17  $0.34  Q1 23  Q4 22  GAAP Earnings Per Share  $0.13  $0.11  Q1 23  Q4 22  Earnings Available For Distribution (EAD) Per Share(1)  $7.41  $7.49  GAAP Book Value Per Share Q1’23 Total Economic Return Is 2.0%  1.0x  1.2x  Recourse Leverage  $235  $232  May-23 Q1 23 May-23  Information is unaudited, estimated and subject to change.  (1) Earnings available for distribution per adjusted diluted common share is a non-GAAP measure.  Q1 23  Cash  ($ in Millions)  $451  $427  May-23  Q1 23  Q1 23 Q4 22  Unencumbered Assets Market Value ($ in Millions) 
 
 EARNINGS AVAILABLE FOR DISTRIBUTION  Earnings available for distribution is a non-GAAP measure and is defined as GAAP net income excluding unrealized gains or losses on financial instruments carried at fair value with changes in fair value recorded in earnings, realized gains or losses on the sales of investments, gains or losses on the extinguishment of debt, interest expense on long term debt, changes in the provision for credit losses, other gains or losses on equity investments, and transaction expenses incurred. In addition, stock compensation expense charges incurred on awards to retirement eligible employees is reflected as an expense over a vesting period (36 months) rather than reported as an immediate expense.  Earnings available for distribution is the Economic net interest income, reduced by compensation and benefits expenses (adjusted for awards to retirement eligible employees), general and administrative expenses, servicing and asset manager fees, income tax benefits or expenses incurred during the period, as well as the preferred dividend charges. Economic net interest income is a non-GAAP financial measure that equals GAAP net interest income adjusted for interest expense on long term debt, net periodic interest cost of interest rate swaps and excludes interest earned on cash.  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. In addition, Earnings available for distribution 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 (subject to certain adjustments) to our stockholders in order to maintain qualification as a REIT 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 as described above helps us and investors evaluate our financial performance period over period without the impact of certain transactions. Therefore, Earnings available for distribution should not be viewed in isolation and is not a substitute for 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.  14 
 
 EARNINGS AVAILABLE FOR DISTRIBUTION (CONTINUED)  15  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. Certain prior period amounts have been reclassified to conform to the current period's presentation.  For the Quarters Ended  March 31, 2023  December 31, 2022  September 30, 2022  June 30, 2022  March 31, 2022  (dollars in thousands, except per share data)  GAAP Net income (loss) available to common stockholders  $ 38,928  $ 78,716  $ (204,583) $  (179,765) $  (281,202)  Adjustments:  Net unrealized (gains) losses on financial instruments at fair value  (64,592)  (112,026)  239,513  239,246  370,167  Net realized (gains) losses on sales of investments  5,264  39,443  37,031  —  —  (Gains) losses on extinguishment of debt  (2,309)  —  —  2,897  —  Increase (decrease) in provision for credit losses  3,062  3,834  (1,534)  4,497  240  Net unrealized (gains) losses on derivatives  8,551  10,171  (10,307)  1,618  —  Realized gains (losses) on derivatives  34,134  561  —  —  —  Transaction expenses  6,409  3,274  2,341  6,727  3,804  Stock Compensation expense for retirement eligible awards  2,141  (309)  (310)  (309)  723  Other investment (gains) losses  (117)  2,383  462  (980)  —  Earnings available for distribution  $ 31,471  $ 26,047  $ 62,613 $  73,931 $  93,732  GAAP net income (loss) per diluted common share  $ 0.17  $ 0.34  $ (0.88) $  (0.76) $  (1.19)  Earnings available for distribution per adjusted diluted common share  $ 0.13  $ 0.11  $ 0.27 $  0.31 $  0.39  Information is unaudited, estimated and subject to change. 
 
 NET ASSET BREAKDOWN  16  Net Asset Breakout  Q1 2023  Q4 2022  Direct Holdings  Securitization  Trusts  Financing  Trusts  Total  Direct Holdings  Securitization  Trusts  Financing  Trusts  Total  Investments:  Non-Agency RMBS, at fair value  869,751,381  271,024,887  -  1,140,776,268  871,451,124  276,029,550  -  1,147,480,674  Agency MBS, at fair value  263,743,451  -  -  263,743,451  430,943,434  -  -  430,943,434  Residential Mortgage Loans(1)  RPL  -  10,538,149,429  342,174,463  10,880,323,891  -  10,254,212,430  269,839,052  10,524,051,481  Investor  -  211,054,736  -  211,054,736  -  212,737,942  -  212,737,942  RTL  -  -  217,870,381  217,870,381  -  -  204,635,758  204,635,758  Jumbo Prime  -  -  426,400,876  426,400,876  -  -  417,810,364  417,810,364  Total Investment Assets  1,133,494,832  11,020,229,052  986,445,719  13,140,169,603  1,302,394,558  10,742,979,922  892,285,174  12,937,659,654  Securitized debt, collateralized by:  Non-Agency RMBS  -  77,741,677  -  77,741,677  -  78,542,437  -  78,542,437  Residential Mortgage Loans  -  RPL  -  7,392,617,938  -  7,392,617,938  -  6,984,448,663  -  6,984,448,663  Investor  -  114,609,883  -  114,609,883  -  116,293,089  -  116,293,089  Secured financing agreements, secured by:  Non-Agency RMBS  656,992,985  138,152,000  -  795,144,985  685,436,449  70,765,000  -  756,201,449  Agency RMBS  212,685,000  -  -  212,685,000  359,880,001  -  -  359,880,001  Residential Mortgage Loans  RPL  -  1,315,707,148  323,511,952  1,639,219,100  -  1,555,995,947  222,689,231  1,778,685,178  RTL  -  -  177,625,667  177,625,667  -  165,825,821  165,825,821   Jumbo Prime   -  -  370,647,587  370,647,587  -  374,172,111  374,172,111  Total Investment Liabilities  869,677,985  9,038,828,646  871,785,206  10,780,291,836  1,045,316,450  8,806,045,136  762,687,163  10,614,048,749  Net Assets  263,816,848  1,981,400,406  114,660,513  2,359,877,767  257,078,108  1,936,934,785  129,598,011  2,323,610,905  (1) Excludes approximately $646 million of Loans held for investment for March 31, 2023, which were purchased prior to that reporting date and settled subsequent to that reporting period.  Information is unaudited, estimated and subject to change. 
 
 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.  17   For the Quarter Ended   March 31, 2023  December 31, 2022  March 31, 2022  (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  $ 18,692  $ 322  6.9 %  $ 31,542  $ 346  4.4 %  $ 113,723  $ 253  0.9 %  Agency CMBS  307,846  2,957  3.8 %  441,421  4,291  3.9 %  559,478  22,870  16.4 %  Non-Agency RMBS  990,721  30,098  12.2 %  1,013,693  29,304  11.6 %  1,310,359  45,675  13.9 %  Loans held for investment  12,334,025  152,838  5.0 %  12,075,239  151,478  5.0 %  11,599,206  133,359  4.6 %  Total  $13,651,284  $186,215  5.5 %  $13,561,895  $185,419  5.5 %  $13,582,766  $202,157  6.0 %  Liabilities and stockholders' equity:  Interest-bearing liabilities (2):  Secured financing agreements collateralized by:  Agency RMBS  $ 4,095  $ 52  5.1 %  $ 4,547  $ 46  4.0 %  $ 20,342  $ 31  0.6 %  Agency CMBS  252,102  2,956  4.7 %  358,914  3,464  3.9 %  435,545  270  0.2 %  Non-Agency RMBS  762,989  16,063  8.4 %  788,795  13,275  6.7 %  817,261  5,448  2.7 %  Loans held for investment  2,189,967  34,839  6.4 %  1,971,144  33,776  6.9 %  1,948,974  12,839  2.6 %  Securitized debt  8,049,843  62,886  3.1 %  8,056,913  57,959  2.9 %  7,870,127  45,885  2.3 %  Total  $11,258,996  $116,796  4.1 %  $11,180,313  $108,520  3.9 %  $11,092,249  $ 64,473  2.3 %  Economic net interest income/net interest rate spread  $ 69,419  1.4 %  $ 76,899  1.6 %  $137,684  3.7 %  Net interest-earning assets/net interest margin  $ 2,392,288  2.0 %  $ 2,381,582  2.3 %  $ 2,490,517  4.1 %  Ratio of interest-earning assets to interest bearing liabilities  1.21  1.21  1.22  (1) Interest-earning assets at amortized cost  (2) Interest includes periodic net interest cost on swaps  Information is unaudited, estimated and subject to change. 
 
 Chimera has created term-funding through securitization (1).  THE SECURITIZATION PROCESS  CIM buys $100MM Non-Agency mortgage bond or loans from dealer.  CIM deposits the bond or loans into a trust.  The trust issues bonds backed by the cashflow of the underlying bond or loans.  The Senior A note receives all principal from the collateral and interest on its $75MM bond until the bond is paid off.  The Subordinate B note receives interest on its $25MM bond, absorbs losses and starts to receive principal only after the Senior A note is paid in full.  3x Non-Recourse Leverage.  $100MM  Non-Agency Mortgage Bond or Loans  $100MM Trust (Non-Agency RMBS Collateral)  $75MM  Senior A Note Sold to 3rd Party  $25MM  Subordinate B Note Retained by CIM  Deposit  18  Recourse Financing  $15MM Repo Financing Of Subordinate B Note  $10MM Equity  Of Subordinate B Note  60% of the Subordinate B note is financed through a repurchase agreement.  The remaining 40% of the Subordinate B note is equity.  1.5x Recourse Leverage.  (1) The hypothetical diagram below shows the typical structure of our securitization transactions. 
 
 CONSOLIDATED LOAN SECURITIZATIONS  19  VINTAGE  DEAL  TOTAL  ORIGINAL FACE  TOTAL OF  TRANCHES SOLD  TOTAL OF  TRANCHES RETAINED  TOTAL  REMAINING FACE  REMAINING FACE OF  TRANCHES SOLD  REMAINING FACE OF  TRANCHES RETAINED  FIRST CALL DATE  2023  CIM 2023-R4  393,997  297,270  96,727  392,471  295,744  96,727  April 2028  2023  CIM 2023-NR2  66,661  48,328  18,333  65,917  47,593  18,324  April 2024  2023  CIM 2023-R3  450,834  394,479  56,355  447,123  390,764  56,355  April 2025  2023  CIM 2023-I1  236,161  205,578  30,583  233,665  203,081  30,583  April 2026  2023  CIM 2023-R2  447,384  364,841  82,543  437,159  354,606  82,543  March 2028  2023  CIM 2023-NR1  134,016  97,161  36,855  124,455  87,576  36,879  Jan 2024  2023  CIM 2023-R1  585,718  512,503  73,215  564,905  491,677  73,215  Jan 2025  2022  CIM 2022-NR1  144,912  105,061  39,851  135,943  96,529  39,414  Oct 2025  2022  CIM 2022-R3  369,891  283,891  86,000  343,075  257,073  85,998  Sept 2027  2022  CIM 2022-I1  219,442  122,997  96,445  209,899  113,454  96,445  June 2026  2022  CIM 2022-R2  508,202  380,389  127,813  458,464  330,842  127,622  May 2027  2022  CIM 2022-R1  328,226  263,729  64,497  282,264  217,772  64,476  Feb 2027  2021  CIM 2021-NR4  167,596  125,747  41,849  129,944  88,514  41,430  Currently Callable  2021  CIM 2021-R6  353,797  336,284  17,513  244,541  227,028  17,513  Sept 2026  2021  CIM 2021-R5  450,396  382,836  67,560  366,834  299,504  67,326  Aug 2024  2021  CIM 2021-R4  545,684  463,831  81,853  389,543  307,473  81,853  June 2024  2021  CIM 2021-R3  859,735  730,775  128,960  571,670  441,915  128,960  April 2025  2021  CIM 2021-NR3  117,373  82,161  35,212  75,288  38,337  36,951  Currently Callable  2021  CIM 2021-R2  1,497,213  1,272,631  224,582  929,303  702,379  224,582  March 2025  2021  CIM 2021-NR2  240,425  180,318  60,107  158,697  91,856  66,841  Currently Callable  2021  CIM 2021-R1  2,098,584  1,783,797  314,787  1,321,610  1,002,672  314,787  Feb 2025  2021  CIM 2021-NR1  232,682  162,877  69,805  141,122  65,613  75,509  Currently Callable  2020  CIM 2020-R7  653,192  562,023  91,169  415,769  324,862  90,881  Nov 2023  2020  CIM 2020-R6  418,390  334,151  84,239  286,446  202,505  83,942  Oct 2023  2020  CIM 2020-R5  338,416  257,027  81,389  182,606  101,149  81,389  Clean-up Call  2020  CIM 2020-R3  438,228  328,670  109,558  278,083  169,036  109,047  Currently Callable  2020  CIM 2020-R2  492,347  416,761  75,586  315,236  241,581  73,655  Clean-up Call  2020  CIM 2020-R1  390,761  317,608  73,153  270,876  197,665  72,757  Currently Callable  2019  SLST 2019-1  1,217,441  941,719  275,722  820,204  574,257  239,898  Currently Callable  2019  CIM 2019-R5  315,039  252,224  62,815  175,090  112,309  61,981  Clean-up Call  2019  CIM 2019-R4  320,802  256,641  64,161  185,665  122,806  62,858  Currently Callable  2019  CIM 2019-R3  342,633  291,237  51,396  177,427  126,475  50,952  Currently Callable  2019  CIM 2019-R2  464,327  358,172  106,155  306,742  201,672  104,693  Clean-up Call  2019  CIM 2019-R1  371,762  297,409  74,353  234,042  161,034  73,008  Currently Callable  2018  CIM 2018-R3  181,073  146,669  34,404  68,804  36,256  32,286  Currently Callable  2016  CIM 2016-FRE1  185,811  115,165  70,646  73,528  17,006  56,522  Currently Callable  2008  PHHMC 2008-CIM1  619,710  549,142  70,568  8,508  6,321  2,164  Do Not Call Rights  TOTAL  $17,198,861  $14,022,102  $3,176,759  $11,822,918  $8,746,936  $3,060,366  Information is as of May 31,2023 and is unaudited, estimated and subject to change. 
 
 Information is unaudited, estimated and subject to change.  20