EX-99.2
Published on November 6, 2024
Information is unaudited, estimated and subject to change. Investor Presentation Third Quarter 2024
Information is unaudited, estimated and subject to change. DISCLAIMER 2 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 Reports on Form 8-K, under the caption “Risk Factors.” Factors that could cause actual results to differ include, but are not limited to: delays and/or unforeseen events that could cause the proposed acquisition of the Palisades Group to be delayed or not consummated; the potential that Chimera may not fully realize the expected benefits of the acquisition of the Palisades Group, including the potential financial impact; 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; our ability to find and retain 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; 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. We use our website (www.chimerareit.com) as a channel of distribution of company information. The information we post on our website may be deemed material. Accordingly, investors should monitor our website, in addition to following our press releases, SEC filings and public conference calls and webcasts. In addition, you may automatically receive email alerts and other information about Chimera when you enroll your email address by visiting our website, then clicking on “News and Events" and selecting "Email Alerts" to complete the email notification form. Our website and any alerts are not incorporated into this document. All information in this presentation is as of September 30, 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.
Information is unaudited, estimated and subject to change. We strive to provide attractive risk-adjusted returns and long-term value, using securitization, asset selection and leverage, for our shareholders. CHIMERA IS A CREDIT-FOCUSED HYBRID MORTGAGE REIT ▪ We are a Real Estate Investment Trust (REIT) founded in 2007. ▪ We have been internally managed since August 2015. ▪ Our hybrid approach allows us to maintain flexibility in portfolio allocation and liability management. ▪ Our equity capital is approximately $2.7 billion, including approximately $1.8 billion common stock and $930 million preferred stock. ▪ We have declared dividends of $6.3 billion to common and preferred stockholders since inception. ▪ Our portfolio contains residential mortgage loans and mortgage-backed securities. ▪ Our residential mortgage loan portfolio is comprised of Reperforming Loans (RPLs), Non-QM Loans, Investor Loans, Business Purpose Loans (BPLs), and Prime Jumbo Loans and it represents a significant part of our business and growth strategy. ▪ We use leverage to enhance our returns and to finance the acquisition of mortgage assets through several funding sources including repurchase agreements (repo), warehouse lines, unsecured debt, and, most importantly, asset securitization. ▪ Our total leverage ratio is 3.9x and recourse leverage ratio is 1.2x. 3
Information is unaudited, estimated and subject to change. THIRD QUARTER 2024 OVERVIEW ▪ Generated $0.36 per share of Earnings Available for Distribution (EAD). ✓ Declared a $0.37 dividend per common share in the third quarter of 2024. ✓ A 6% increase from the most recent dividend declared in the second quarter 2024, and a 12% increase from the first quarter 2024 ▪ Issued $75 million(1) of 5 Year NC2 Senior Unsecured Notes at 9.25%. ✓ This was the second unsecured bond offering for 2024 for a combined total of approximately $140 million. ▪ Remained very active with our portfolio during the quarter. ✓ Sponsored rated RPL securitization CIM 2024-R1 totaling $468 million. ✓ Purchased $543 of Agency CMO floaters. • Year-to-date we have purchased $986 million of Agency CMO floaters and guaranteed senior floating rate SLST securities. ✓ Purchased $50 million of high-yielding subordinated tranches of new issue residential credit securitizations. • Year-to-date we have purchased $102 million Non-Agency RMBS. ✓ Committed to purchasing approximately $118 million of RTLs, which are expected to settle in 2024. ▪ Interest rate hedges provide flexibility for the management of our NIM. ✓ $1.5 billion of interest rate swaps, at a weighted average pay-fixed rate of 3.56%, protect approximately 59% of our floating rate liabilities. • The weighted average maturity on the Company’s interest rate swaps is less than one year. ✓ $500 million of interest rate swaptions, at a weighted average pay-fixed rate of 3.45%. Our book value per share for Q3’24 was $22.35 compared to $21.27 per share in Q2’24, resulting in an economic return of 6.8% for the quarter. (1) After deducting the debt issuance cost of $2.9 million, the Company received approximately $72 million. 4
Information is unaudited, estimated and subject to change. TOTAL PORTFOLIO | GAAP BALANCE SHEET Our capital is mainly allocated to residential mortgage loans, financed with securitized debt (non- recourse) and repo (secured recourse) financing. Assets Liabilities Other Assets Cash Agency RMBS Agency CMBS Non Agency RMBS Loans Equity Other Liabilities Unsecured Debt Repo Securitized Debt Residential Mortgage Loans: $11,284 (82%) Q3’24 GAAP Balance Sheet ($ Millions)(1) Non-Agency RMBS: $1,122 (8%) Repo (Secured Recourse Financing): $3,229 (24%) Equity(2): $2,737 (20%) Securitized Debt (Non-Recourse Financing): $7,387 (54%) Total Liabilities ($ Millions): $10,965Total Assets ($ Millions): $13,702 5 (1) At Fair Value. (2) Includes $930 million of Preferred Equity. Agency RMBS: $976 (7%)
Information is unaudited, estimated and subject to change. 13,702 Securitized Debt (Non-Recourse Financing): $7,387 (54%) Common Equity: $1,807 (13%) Preferred Equity: $930 (7%) Senior Unsecured Debt (Long term Debt): $140 (1%)(2) Capital Structure ($ in Millions) CAPITAL STRUCTURE OVERVIEW Series Notional Coupon Floating Info A $145 8.00% Fixed B $325 10.64%(4) SOFR + Tenor Adj + 579 C $260 7.75% Float as of Sept’25 D $200 10.23%(5) SOFR + Tenor Adj +538 Total $930 9.33% Floating Rate Repo (Secured Recourse Financing) $2,543(3) Floating Rate Preferred Equity $525 Total Floating Rate Sensitivity $3,068 Interest Rate Hedges $1,500 Hedge Percentage 49% Net Floating Rate Exposure $1,568 Preferred Details ($ Millions) $1,482 $323 $42 $114 $164 $241 $524 $339 $0 $400 $800 $1,200 $1,600 0-3 Months 3-6 Months 6-12 Months 12 Months+ MtM Limited MtM Non MtM Floating Rate Sensitivity ($ Millions) Repo (Secured Recourse Financing): $3,229 (24%) 6 Q3’24 Expected Repo Maturities ($ Millions) We use several funding sources to finance our investments including repurchase agreements (repo), warehouse lines, unsecured debt and, most importantly, asset securitization. (1) At Fair Value. (2) After deducting the debt issuance cost of $2.7 million, the Company received approximately $62 million with the May 2024 Unsecured Debt Offering. After deducting the debt issuance cost of $2.9 million, the Company received approximately $72 million with the August 2024 Unsecured Debt Offering. (3) Excludes $241 million of capped floating rate financing. (4) Series B coupon is equal to three-month CME Term SOFR (plus a LIBOR to SOFR Tenor spread adjustment of 0.26%) plus a spread of 5.79%. (5) Series D coupon is equal to three-month CME Term SOFR (plus a LIBOR to SOFR Tenor spread adjustment of 0.26%) plus a spread of 5.38%. Total Liabilities & Stockholders’ Equity ($ Millions): $13,702(1)
Information is unaudited, estimated and subject to change. SECURED RECOURSE FINANCING & INTEREST RATE HEDGING ▪ $3.2 billion in repo (secured recourse financing) liabilities ▪ $1.8 billion of Mark-to-Market (MtM) financing ▪ 1.2x recourse leverage ▪ 43% of repos are Non-MtM and Limited MtM ▪ $1.5 billion of interest rate swaps hedge 59% of our floating rate liabilities(1) ➢ Weighted average pay-fixed rate of 3.56% ➢ Weighted average maturity is less than one year. ▪ $500 million of interest rate swaptions (expire Jan. 2025) ➢ Weighted average pay-fixed rate of 3.45% ▪ $2.7 billion in repo liabilities ▪ $1.3 billion of Mark-to-Market (MtM) financing ▪ 1.0x recourse leverage ▪ 52% of repos are Non-MtM and Limited MtM ▪ $1.5 billion of interest rate swaps hedge 74% of our floating rate liabilities(2) ➢ Weighted average pay-fixed rate of 3.56% ➢ Weighted average maturity is less than one year. ▪ $500 million of interest rate swaptions (expire Jan. 2025) ➢ Weighted average pay-fixed rate of 3.45% ▪ Shorted 5-year $308 million of Treasury futures to hedge execution risk and closed our position post July 2024 securitization pricing. Q3’24 Q2’24 $1,847 $278 $418 $241 $445 $1,500 $500 Recourse Financing Hedges Floating MtM Floating Limited MtM Floating Non MtM Capped Floating Limited MtM Fixed Non MtM Swaps Swaptions Floating Rate(1): $2,543 (79%) Q3’24 Secured Recourse Financing & Interest Rate Hedges ($ Millions) Total: $3,229 Total: $2,000 Non-MtM & Limited MtM: $1,382 (43%) Interest Rate Swaptions Interest Rate Swaps (1) Excludes $241 million of capped floating rate financing. (2) Excludes $243 million of capped floating rate financing. 7 $1,305 $285 $425 $243 $441 $1,500 $500 Recourse Financing Hedges Floating MtM Floating Limited MtM Floating Non MtM Capped Floating Limited MtM Fixed Non MtM Swaps Swaptions Floating Rate(2): $2,015 (75%) Q2’24 Secured Recourse Financing & Interest Rate Hedges ($ Millions) Total: $2,699 Total: $2,000 Non-MtM & Limited MtM: $1,394 (52%) Interest Rate Swaptions Interest Rate Swaps
Information is unaudited, estimated and subject to change. RESIDENTIAL MORTGAGE LOANS OVERVIEW ▪ We acquire residential mortgage loans from banks, non- bank financial institutions and government sponsored agencies. ▪ We finance purchases of mortgage loans via warehouse facilities and repurchase agreements (recourse financing). ▪ We securitize 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. Our Residential Mortgage Loan Process Q3’24 Key Loan Statistics Total Current Unpaid Principal Balance (UPB) $11.4 Billion(1) Total Number of Loans 106,144 Weighted Average Loan Size $108K Weighted Average Coupon 5.97% WA FICO 666 Weighted Average Loan Age (WALA) 188 Months Weighted Average Original Loan-to-Value (LTV) 78% Amortized Loan-to-Value (LTV) 65% HPI Updated Loan-to-Value (LTV)(2) 45% 60+ Days Delinquent 9.3% Our loan portfolio is very seasoned, with 78% of loans originated prior to 2008. $8.9 (78%) $2.5 (22%) UPB Originated Prior to 2008 UPB Originated After 2008 162 173 184 180 184 188 2019 2020 2021 2022 2023 2024 Loan Origination Year ($ Billions) Weighted Average Loan Age (Months) Source: Bloomberg and IntexCalc. (1) Includes $544MM of Residential Mortgage Loans held in financing trusts and $602MM of Non-QM and Prime Jumbo securitizations. (2) HPI LTV data as of July 2024. 8
Information is unaudited, estimated and subject to change. RESIDENTIAL MORTGAGE LOANS OVERVIEW Our loan portfolio has benefitted from historical levels of home equity due to home price appreciation. S&P Case Shiller National HPI(1) HPI Updated LTV(1) (%) 100 150 200 250 300 350 2000 2004 2008 2012 2016 2020 2024 66 62 52 49 45 45 2019 2020 2021 2022 2023 2024 Delinquencies on our loan portfolio have been low – currently at lowest level since 2019. Our loan portfolio has a weighted average coupon of 5.97%. 60+ Day Delinquency (%) Weighted Average Coupon (%) 9.9 12.9 11.9 10.7 9.5 9.3 2019 2020 2021 2022 2023 2024 6.54 6.30 6.10 5.85 5.96 5.97 2019 2020 2021 2022 2023 2024 Source: Bloomberg and IntexCalc. (1) HPI LTV data as of July 2024. 9
Information is unaudited, estimated and subject to change. SECURITIZATION ACTIVITY ▪ We currently have RMBS & Loan issuance with an unpaid principal balance of approximately $14 billion outstanding. ▪ Re-securitization is an additional source for future capital re-deployment. We have completed 105 deals and securitized $53 billion of residential mortgage assets, including Legacy Non-Agency RMBS, Seasoned Reperforming Loans, Agency Eligible Investor Loans, Non- QM DSCR loans, and Prime Jumbo loans, since inception. Securitization History ($ Millions) 0 2,000 4,000 6,000 8,000 10,000 2008 2011 2015 2018 2021 2024 Subordinated Bond Orig. Balance Senior Bond Orig. Balance 10 # of Senior Subordinated # of Deals Total Bond Bond Deals Vintage Type Issued Orig. Balance Orig. Balance Orig. Balance 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 - 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 14 2022 Loan 5 1,571 1,156 415 5 2023 Loan 8 2,553 1,991 562 8 2024 Loan 1 468 352 116 1 105 $52,878 $36,957 $15,921 64
Information is unaudited, estimated and subject to change. Q3’24 Key Loan Statistics RPL SECURIZATION 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. Total Original Unpaid Principal Balance (UPB) $16.6 Billion Total Current Unpaid Principal Balance (UPB) $10.3 Billion Total Number of Loans 103,355 Weighted Average Loan Size $99K Weighted Average Coupon 5.98% Weighted Average FICO 656 Weighted Average Loan Age (WALA) 206 Months Amortized Loan-to-Value (LTV) 64% HPI Updated Loan-to-Value (LTV)(1) 42% 60+ Days Delinquent 9.0% 7 8 9 10 11 12 J a n -2 2 M a y -2 2 S e p -2 2 J a n -2 3 M a y -2 3 S e p -2 3 J a n -2 4 M a y -2 4 S e p -2 4 4 8 12 16 J a n -2 2 M a y -2 2 S e p -2 2 J a n -2 3 M a y -2 3 S e p -2 3 J a n -2 4 M a y -2 4 S e p -2 4 0.4 0.5 0.6 0.7 0.8 0.9 J a n -2 2 M a y -2 2 S e p -2 2 J a n -2 3 M a y -2 3 S e p -2 3 J a n -2 4 M a y -2 4 S e p -2 4 5 15 25 35 45 55 J a n -2 2 M a y -2 2 S e p -2 2 J a n -2 3 M a y -2 3 S e p -2 3 J a n -2 4 M a y -2 4 S e p -2 4 60+ Day Delinquency (%) 3 Month Prepayment Rate (CPR %) 3 Month Default Rate (%) 3 Month Loss Severity (%) Source: Bloomberg and IntexCalc.. (1) HPI LTV data as of July 2024. 11
Information is unaudited, estimated and subject to change. SUMMARY Capital • Issued $75 million(1) of 5 Year NC2 Senior Unsecured Notes at 9.25%. • We expect to continue to acquire and securitize mortgage loans as well as further implement our call optimization strategy on our securitizations. • The timing of these re-securitizations is impacted by many factors, including credit performance, prepayment speeds, interest rates, and market volatility. Portfolio Investments • Sponsored rated RPL securitization CIM 2024-R1 with a UPB of $468 million. • Purchased $543 million of Agency CMO floaters. • Purchased $50 million of high-yielding subordinated tranches of new issue residential credit securitizations. • Committed to purchasing approximately $118 million of RTLs, which are expected to settle in 2024. Credit Performance • We believe credit performance on our existing loan portfolio remains strong. • The weighted average HPI LTV of our loan portfolio is 45%(2). • 188 months of seasoning. Financing & Liquidity • Recourse leverage is 1.2x as of Q3’24. • Ended the quarter with $97 million in cash and $550 million in unencumbered assets. Interest Rate Hedging • Current hedges are positioned to deal with an uncertain rate environment. • $1.5 billion of interest rate swaps, with a weighted average maturity less than one year, protect 59% of our floating rate secured recourse financing (3). • $500 million of interest rate swaptions, expiring January 2025, gives us flexibility in case the Fed holds rates higher through 2025. (1) After deducting the debt issuance cost of $2.9 million, the Company received approximately $72 million. (2) HPI LTV data as of July 2024. (3) Excludes $241 million of capped floating rate financing. 12
Information is unaudited, estimated and subject to change. APPENDIX
Information is unaudited, estimated and subject to change. $20.70 $20.25 $21.32 $21.27 $22.35 Q3'23 Q4'23 Q1'24 Q2'24 Q3'24 Q3’24 Economic Return: 6.8% ($0.21) $0.16 $1.36 $0.41 $1.39 Q3'23 Q4'23 Q1'24 Q2'24 Q3'24 $0.38 $0.40 $0.37 $0.37 $0.36 Q3'23 Q4'23 Q1'24 Q2'24 Q3'24 1.0x 1.0x 0.9x 1.0x 1.2x Q3'23 Q4'23 Q1'24 Q2'24 Q3'24 $139 $222 $169 $162 $97 Q3'23 Q4'23 Q1'24 Q2'24 Q3'24 $467 $377 $418 $486 $550 Q3'23 Q4'23 Q1'24 Q2'24 Q3'24 GAAP Earnings Per Share Earnings Available For Distribution (EAD) Per Share(1) GAAP Book Value Per Share Recourse Leverage Cash ($ Millions) Unencumbered Assets Market Value ($ Millions) FINANCIAL METRICS (1) Earnings available for distribution per adjusted diluted common share is a non- GAAP measure. See additional discussion in the Appendix section of this presentation. . 14
Information is unaudited, estimated and subject to change. 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, changes in the provision for credit losses, other gains or losses on equity investments, and transaction expenses incurred. Transaction expenses are primarily comprised of costs only incurred at the time of execution of our securitizations and certain structured secured financing agreements and include costs such as underwriting fees, legal fees, diligence 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 groups 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. Earnings available for distribution is the Economic net interest income, as defined previously, 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. 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. 15
Information is unaudited, estimated and subject to change. EARNINGS AVAILABLE FOR DISTRIBUTION The following table provides GAAP measures of net income and net income per diluted share available to common stockholders for the periods presented and details with respect to reconciling the line items to Earnings available for distribution and related per average diluted common share amounts. Earnings available for distribution is presented on an adjusted dilutive shares basis. 16 For the Quarters Ended September 30, 2024 June 30, 2024 March 31, 2024 December 31, 2023 September 30, 2023 (dollars in thousands, except per share data) GAAP Net income (loss) available to common stockholders $ 113,672 $ 33,913 $ 111,016 $ 12,104 $ (16,268) Adjustments: Net unrealized (gains) losses on financial instruments at fair value (104,012) (11,231) (76,765) (6,815) 43,988 Net realized (gains) losses on sales of investments — — 3,750 3,752 460 (Gains) losses on extinguishment of debt — — — 2,473 — Increase (decrease) in provision for credit losses 358 3,684 1,347 2,330 3,217 Net unrealized (gains) losses on derivatives 14,457 (11,955) (5,189) 15,871 (17) Realized (gains) losses on derivatives 4,864 17,317 — — — Transaction expenses 2,317 — 67 425 90 Stock Compensation expense for retirement eligible awards (424) (419) 1,024 (391) (392) Other investment (gains) losses (1,366) (1,001) (4,686) 986 (2,381) Earnings available for distribution $ 29,866 $ 30,308 $ 30,564 $ 30,735 $ 28,697 GAAP net income (loss) per diluted common share $ 1.39 $ 0.41 $ 1.36 $ 0.16 $ (0.21) Earnings available for distribution per adjusted diluted common share $ 0.36 $ 0.37 $ 0.37 $ 0.40 $ 0.38
Information is unaudited, estimated and subject to change. NET ASSET BREAKDOWN 17 Net Asset Breakout Q3'24 Q2'24 Direct Holdings Securitization Trusts Financing Trusts Total Direct Holdings Securitization Trusts Financing Trusts Total Investments: Non-Agency RMBS, at fair value 880,819,478 241,016,668 - 1,121,836,146 813,042,952 238,927,634 - 1,051,970,586 Agency MBS, at fair value 1,018,918,229 - - 1,018,918,229 503,294,692 - - 503,294,692 Residential Mortgage Loans (1) RPL - 10,044,194,082 (0) 10,044,194,082 - 9,629,946,326 - 9,629,946,326 Investor - 596,968,023 - 596,968,023 - 601,750,384 - 601,750,384 RTL - - 119,690,280 119,690,280 - - 139,511,597 139,511,597 Jumbo Prime - - 404,924,787 404,924,787 - - 399,186,679 399,186,679 Total Investment Assets 1,899,737,707 10,882,178,773 524,615,068 13,306,531,547 1,316,337,643 10,470,624,344 538,698,276 12,325,660,264 Securitized debt, collateralized by: Non-Agency RMBS - 72,174,357 - 72,174,357 - 72,120,773 - 72,120,773 Residential Mortgage Loans - - RPL - 6,874,242,573 - 6,874,242,573 - 6,626,493,313 - 6,626,493,313 Investor - 440,168,602 - 440,168,602 - 452,497,909 - 452,497,909 Secured financing agreements, secured by: Non-Agency RMBS 547,598,193 114,339,000 - 661,937,193 532,073,000 116,293,000 - 648,366,000 Agency RMBS 866,831,475 - - 866,831,475 412,458,000 - - 412,458,000 Residential Mortgage Loans RPL - 1,264,720,834 - 1,264,720,834 - 1,192,889,940 - 1,192,889,940 RTL - - 96,476,035 96,476,035 - - 112,481,919 112,481,919 Jumbo Prime - - 338,782,341 338,782,341 - - 333,103,156 333,103,156 Total Investment Liabilities 1,414,429,668 8,765,645,366 435,258,376 10,615,333,410 944,531,000 8,460,294,935 445,585,075 9,850,411,010 Net Assets 485,308,039 2,116,533,407 89,356,691 2,691,198,137 371,806,643 2,010,329,409 93,113,202 2,475,249,254 (1) Table above excludes approximately $118 million and $463 million of Loans held for investment as of September 30, 2024 and June 30,2024, which were purchased prior to the reporting dates and settled subsequent to the reporting periods.
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. 18 For the Quarter Ended September 30, 2024 June 30, 2024 (dollars in thousands) (dollars in thousands) Average Balance Interest Average Yield/Cos t Average Balance Interest Average Yield/Cos t Assets: Interest-earning assets (1): Agency RMBS (3) $ 627,966 $ 10,343 6.6 % $ 459,668 $ 2,719 6.2 % Agency CMBS 44,236 502 4.5 % 50,383 598 4.7 % Non-Agency RMBS 978,811 30,365 12.4 % 973,309 30,527 12.5 % Loans held for investment 11,260,536 152,355 5.4 % 11,265,266 151,001 5.4 % Total $ 12,911,549 $ 193,565 6.1 % $ 12,748,626 $ 184,845 5.9 % Liabilities and stockholders' equity: Interest-bearing liabilities (2): Secured financing agreements collateralized by: Agency RMBS (3) $ 537,265 $ 7,563 5.7 % $ 376,644 $ 1,858 5.6 % Agency CMBS 31,001 423 5.5 % 36,275 501 5.5 % Non-Agency RMBS 649,412 11,088 6.8 % 657,235 11,288 6.9 % Loans held for investment 1,699,744 26,643 6.3 % 1,679,210 26,170 6.2 % Securitized debt 7,887,609 73,867 3.7 % 7,926,792 71,943 3.6 % Long term debt (3) 99,938 2,470 9.9 % 65,000 691 9.8 % Total $ 10,904,969 $ 122,054 4.5 % $ 10,741,156 $ 112,451 4.2 % Economic net interest income/net interest rate spread $ 71,511 1.6 % $ 72,394 1.7 % Net interest-earning assets/net interest margin $ 2,006,580 2.2 % $ 2,007,470 2.3 % Ratio of interest-earning assets to interest bearing liabilities 1.18 1.19 (1) Interest-earning assets at amortized cost (2) Interest includes periodic net interest cost on swaps (3) These amounts have been adjusted to reflect the daily outstanding averages for which the financial instruments were held during the period
Information is unaudited, estimated and subject to change. SECURITIZATION PROCESS Chimera has created term-funding through securitization.(1) In the example below, CIM buys $100MM Non-Agency mortgage bonds or loans from a dealer for securitization. $100 MM Non-Agency Mortgage Bond/Loans $100 MM Trust (Non-Agency RMBS Collateral) $75 MM Senior A Note Sold to Third Party $25 MM Subordinate B Note Retained by CIM $15 MM Repo Financing $10 MM Equity Deposit Principal & Interest Losses & Interest Recourse Financing • 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. • 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. . 19
Information is unaudited, estimated and subject to change. CONSOLIDATED LOAN SECURITIZATIONS 20 VINTAGE DEAL TOTAL SOLD RETAINED TOTAL SOLD RETAINED Outstanding Bonds Sold Underlying Collateral FIRST CALL DATE 2024 CIM 2024-R1 468,148 351,813 116,335 458,490 342,169 116,321 4.75% 5.76% Clean-up Call 2023 CIM 2023-I2 238,530 202,750 35,780 205,883 170,046 35,780 6.71% 7.16% Jul-26 2023 CIM 2023-R4 393,997 343,368 50,629 345,732 295,087 50,629 5.03% 5.76% Apr-28 2023 CIM 2023-NR2 66,661 48,328 18,333 54,626 38,088 16,538 6.00% 5.28% Currently Callable 2023 CIM 2023-R3 450,834 394,479 56,355 394,906 338,511 56,355 4.50% 5.58% Apr-25 2023 CIM 2023-I1 236,161 205,578 30,583 202,180 171,597 30,583 6.36% 7.41% Apr-26 2023 CIM 2023-R2 447,384 364,841 82,543 379,881 297,370 82,511 5.50% 6.28% Mar-28 2023 CIM 2023-NR1 134,016 97,161 36,855 98,778 61,387 37,391 6.00% 6.09% Currently Callable 2023 CIM 2023-R1 585,718 512,503 73,215 492,798 420,266 72,531 5.40% 6.32% Jan-25 2022 CIM 2022-NR1 144,912 105,061 39,851 121,347 83,074 38,273 5.00% 4.84% Currently Callable 2022 CIM 2022-R3 369,891 327,168 42,723 299,525 256,867 42,657 4.57% 5.51% Sep-27 2022 CIM 2022-I1 219,442 122,997 96,445 186,991 90,546 96,445 4.35% 4.70% Currently Callable 2022 CIM 2022-R2 508,202 440,865 67,337 410,104 342,978 67,125 3.82% 4.80% May-27 2022 CIM 2022-R1 328,226 294,090 34,136 252,241 218,047 34,115 3.05% 4.56% Feb-27 2021 CIM 2021-NR4 167,596 125,747 41,849 107,006 61,401 45,605 2.82% 5.75% Currently Callable 2021 CIM 2021-R6 353,797 336,284 17,513 207,405 189,887 17,513 1.65% 6.17% Sep-26 2021 CIM 2021-R5 450,396 382,836 67,560 329,727 262,825 66,902 2.00% 5.66% Currently Callable 2021 CIM 2021-R4 545,684 463,831 81,853 331,195 249,604 81,591 2.00% 6.71% Currently Callable 2021 CIM 2021-R3 859,735 730,775 128,960 475,472 346,700 128,772 1.95% 6.76% Apr-25 2021 CIM 2021-NR3 117,373 82,161 35,212 60,891 22,033 38,858 5.57% 6.86% Currently Callable 2021 CIM 2021-R2 1,497,213 1,272,631 224,582 750,446 525,373 224,582 2.07% 7.06% Mar-25 2021 CIM 2021-NR2 240,425 180,318 60,107 130,470 57,684 72,785 5.57% 7.10% Currently Callable 2021 CIM 2021-R1 2,098,584 1,783,797 314,787 1,095,938 779,910 314,787 1.94% 7.37% Feb-25 2021 CIM 2021-NR1 232,682 162,877 69,805 115,474 33,401 82,073 5.57% 7.68% Currently Callable 2020 CIM 2020-R7 653,192 562,023 91,169 361,984 271,667 90,317 2.44% 6.22% Currently Callable 2020 CIM 2020-R6 418,390 334,151 84,239 257,165 173,481 83,684 2.25% 5.39% Currently Callable 2020 CIM 2020-R5 338,416 257,027 81,389 162,507 81,226 81,273 2.47% 5.50% Clean-up Call 2020 CIM 2020-R3 438,228 328,670 109,558 249,233 141,272 107,961 4.00% 5.56% Currently Callable 2020 CIM 2020-R2 492,347 416,761 75,586 283,885 210,249 73,895 2.67% 4.32% Clean-up Call 2020 CIM 2020-R1 390,761 317,608 73,153 242,273 169,909 72,364 2.90% 5.92% Currently Callable 2019 SLST 2019-1 1,217,441 941,719 275,722 746,481 522,387 214,820 3.50% 4.47% Currently Callable 2019 CIM 2019-R5 315,039 252,224 62,815 153,637 91,138 61,981 3.00% 5.80% Clean-up Call 2019 CIM 2019-R4 320,802 256,641 64,161 165,318 103,125 62,194 3.00% 6.33% Currently Callable 2019 CIM 2019-R3 342,633 291,237 51,396 148,032 98,003 50,029 2.63% 6.73% Currently Callable 2019 CIM 2019-R2 464,327 358,172 106,155 277,742 173,971 103,771 3.49% 5.45% Clean-up Call 2019 CIM 2019-R1 371,762 297,409 74,353 209,331 136,860 72,471 3.25% 4.42% Currently Callable 2018 CIM 2018-R3 181,073 146,669 34,404 55,036 23,041 31,816 4.37% 7.33% Currently Callable 2016 CIM 2016-FRE1 185,811 115,165 70,646 68,450 10,886 57,564 4.07% 4.86% Currently Callable 2008 PHHMC 2008-CIM1 619,710 549,142 70,568 6,486 4,822 1,642 6.74% 4.77% Do Not Hold Call Rights TOTAL $17,905,539 $14,756,877 $3,148,662 $10,895,066 $7,866,891 $3,016,503 3.50% 5.99% ORIGINAL FACE ($ Thousands) REMAINING FACE ($ Thousands) WEIGHTED AVERAGE COUPON (WAC) Source: Bloomberg and IntexCalc..
Information is unaudited, estimated and subject to change.