Business Wire | Aug 4, 2021 07:00AM EDT

CHIMERA INVESTMENT CORPORATION REPORTS 2ND QUARTER 2021 EARNINGS

Aug. 04, 2021

NEW YORK--(BUSINESS WIRE)--Aug. 04, 2021--Chimera Investment Corporation (NYSE:CIM) today announced its financial results for the second quarter ended June 30, 2021. The Company's GAAP net income for the second quarter was $145 million, or $0.60 per common share. Core earnings(1) for the second quarter ended June 30, 2021 was $130 million, or $0.54 per common share.

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"This quarter we continued to make significant progress towards optimization of our liability structure. For the first six months of 2021 we successfully refinanced 12 legacy CIM securitizations supporting more than $5.6 billion loans," said Mohit Marria, Chimera's CEO and Chief Investment Officer. "The result of these transactions has lowered our overall cost of debt by approximately 245 basis points and we expect this cost savings to continue to benefit our shareholders in the future."

(1) Core earnings per adjusted diluted common share is a non-GAAP measure. Seeadditional discussion on page 5.

Other Information

Chimera Investment Corporation is a publicly traded real estate investment trust, or REIT, that is primarily engaged in the business of investing directly or indirectly through our subsidiaries, on a leveraged basis, in a diversified portfolio of mortgage assets, including residential mortgage loans, Non-Agency RMBS, Agency CMBS, Agency RMBS, and other real estate related securities.

CHIMERA INVESTMENT CORPORATION

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION

(dollars in thousands, except share and per share data)

(Unaudited)

June 30, 2021 December 31, 2020

Cash and cash equivalents $ 346,951 $ 269,090

Non-Agency RMBS, at fair value (net ofallowance for credit losses of $508 thousand 1,919,668 2,150,714 and $180 thousand, respectively)

Agency RMBS, at fair value 76,820 90,738

Agency CMBS, at fair value 1,236,507 1,740,368

Loans held for investment, at fair value 12,150,868 13,112,129

Accrued interest receivable 75,314 81,158

Other assets 53,931 78,822

Total assets ^(1) $ 15,860,059 $ 17,523,019

Liabilities:

Secured financing agreements ($4.8 billionand $6.7 billion pledged as collateral, $ 3,554,428 $ 4,636,847 respectively)

Securitized debt, collateralized byNon-Agency RMBS ($453 million and $505 99,559 113,433 million pledged as collateral, respectively)

Securitized debt at fair value,collateralized by Loans held for investment 8,371,511 8,711,677 ($11.5 billion and $12.4 billion pledged ascollateral, respectively)

Long term debt 20,550 51,623

Payable for investments purchased 58,467 106,169

Accrued interest payable 23,128 40,950

Dividends payable 87,050 77,213

Accounts payable and other liabilities 17,935 5,721

Total liabilities ^(1) $ 12,232,628 $ 13,743,633



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, $ 58 $ 58 respectively ($145,000 liquidationpreference)

8.00% Series B cumulative redeemable:13,000,000 shares issued and outstanding, 130 130 respectively ($325,000 liquidationpreference)

7.75% Series C cumulative redeemable:10,400,000 shares issued and outstanding, 104 104 respectively ($260,000 liquidationpreference)

8.00% Series D cumulative redeemable:8,000,000 shares issued and outstanding, 80 80 respectively ($200,000 liquidationpreference)

Common stock: par value $0.01 per share;500,000,000 shares authorized, 235,557,640 2,356 2,306 and 230,556,760 shares issued andoutstanding, respectively

Additional paid-in-capital 4,352,986 4,538,029

Accumulated other comprehensive income 456,113 558,096

Cumulative earnings 4,202,806 3,881,894

Cumulative distributions to stockholders (5,387,202 ) (5,201,311 )

Total stockholders' equity $ 3,627,431 $ 3,779,386

Total liabilities and stockholders' equity $ 15,860,059 $ 17,523,019

(1) The Company's consolidated statements of financial condition include assets of consolidated variable interest entities ("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 June 30, 2021, and December 31, 2020, total assets of consolidated VIEs were $11,090,458 and $12,165,017, respectively, and total liabilities of consolidated VIEs were $7,786,837 and $8,063,110, respectively.

(1) The Company's consolidated statements of financial condition include assetsof consolidated variable interest entities ("VIEs") that can only be used tosettle obligations and liabilities of the VIE for which creditors do not haverecourse to the primary beneficiary (Chimera Investment Corporation). As ofJune 30, 2021, and December 31, 2020, total assets of consolidated VIEs were$11,090,458 and $12,165,017, respectively, and total liabilities ofconsolidated VIEs were $7,786,837 and $8,063,110, respectively.

CHIMERA INVESTMENT CORPORATION

CONSOLIDATED STATEMENTS OF OPERATIONS

(dollars in thousands, except share and per share data)

(Unaudited)

For the Quarters Ended

For the Six Months Ended

June 30, 2021

June 30, 2020

June 30, 2021

June 30, 2020

Net interest income:

Interest income (1)

$

252,677

$

245,922

$

495,805

$

546,189

Interest expense (2)

80,610

129,256

188,677

271,339

Net interest income

172,067

116,666

307,128

274,850

Increase/(decrease) in provision for credit losses

453

(4,497

)

327

1,817

Other investment gains (losses):

Net unrealized gains (losses) on derivatives

-

-

-

201,000

Realized gains (losses) on terminations of interest rate swaps

-

-

-

(463,966

)

Net realized gains (losses) on derivatives

-

-

-

(41,086

)

Net gains (losses) on derivatives

-

-

-

(304,052

)

Net unrealized gains (losses) on financial instruments at fair value

36,108

(171,921

)

306,120

(432,809

)

Net realized gains (losses) on sales of investments

7,517

26,380

45,313

102,234

Gains (losses) on extinguishment of debt

(21,777

)

459

(258,914

)

459

Total other gains (losses)

21,848

(145,082

)

92,519

(634,168

)

Other expenses:

Compensation and benefits

9,230

10,255

22,669

23,190

General and administrative expenses

6,173

5,963

11,371

11,100

Servicing and asset manager fees

9,081

10,072

18,362

20,601

Transaction expenses

5,745

4,710

22,182

9,616

Total other expenses

30,229

31,000

74,584

64,507

Income (loss) before income taxes

163,233

(54,919

)

324,736

(425,642

)

Income tax expense (benefit)

(88

)

36

3,824

68

Net income (loss)

$

163,321

$

(54,955

)

$

320,912

$

(425,710

)

Dividends on preferred stock

18,438

18,438

36,875

36,875

Net income (loss) available to common shareholders

$

144,883

$

(73,393

)

$

284,037

$

(462,585

)

Net income (loss) per share available to common shareholders:

Basic

$

0.63

$

(0.37

)

$

1.23

$

(2.39

)

Diluted

$

0.60

$

(0.37

)

$

1.14

$

(2.39

)

Weighted average number of common shares outstanding:

Basic

231,638,042

199,282,790

231,105,595

193,150,696

Diluted

241,739,536

199,282,790

251,723,940

193,150,696

CHIMERA INVESTMENT CORPORATION

CONSOLIDATED STATEMENTS OF OPERATIONS

(dollars in thousands, except share and per share data)

(Unaudited)

For the Quarters Ended For the Six Months Ended

June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020

Net interest income:

Interest $ 252,677 $ 245,922 $ 495,805 $ 546,189 income ^(1)

Interest 80,610 129,256 188,677 271,339 expense ^(2)

Net interest 172,067 116,666 307,128 274,850 income



Increase/(decrease) in 453 (4,497 ) 327 1,817 provision forcredit losses



Otherinvestment gains(losses):

Net unrealizedgains (losses) - - - 201,000 on derivatives

Realized gains(losses) onterminations - - - (463,966 ) of interestrate swaps

Net realizedgains (losses) - - - (41,086 ) on derivatives

Net gains(losses) on - - - (304,052 ) derivatives

Net unrealizedgains (losses)on financial 36,108 (171,921 ) 306,120 (432,809 ) instruments atfair value

Net realizedgains (losses) 7,517 26,380 45,313 102,234 on sales ofinvestments

Gains (losses)on (21,777 ) 459 (258,914 ) 459 extinguishmentof debt

Total other 21,848 (145,082 ) 92,519 (634,168 ) gains (losses)



Other expenses:

Compensation 9,230 10,255 22,669 23,190 and benefits

General andadministrative 6,173 5,963 11,371 11,100 expenses

Servicing andasset manager 9,081 10,072 18,362 20,601 fees

Transaction 5,745 4,710 22,182 9,616 expenses

Total other 30,229 31,000 74,584 64,507 expenses

Income (loss)before income 163,233 (54,919 ) 324,736 (425,642 ) taxes

Income taxexpense (88 ) 36 3,824 68 (benefit)

Net income $ 163,321 $ (54,955 ) $ 320,912 $ (425,710 ) (loss)



Dividends onpreferred 18,438 18,438 36,875 36,875 stock



Net income(loss)available to $ 144,883 $ (73,393 ) $ 284,037 $ (462,585 ) commonshareholders



Net income(loss) pershare available tocommonshareholders:

Basic $ 0.63 $ (0.37 ) $ 1.23 $ (2.39 )

Diluted $ 0.60 $ (0.37 ) $ 1.14 $ (2.39 )



Weightedaverage numberof common sharesoutstanding:

Basic 231,638,042 199,282,790 231,105,595 193,150,696

Diluted 241,739,536 199,282,790 251,723,940 193,150,696

(1) Includes interest income of consolidated VIEs of $149,115 and $169,127 for the quarters ended June 30, 2021 and 2020, respectively, and $307,214 and $343,809 for the six months ended June 30, 2021 and 2020, respectively.

(2) Includes interest expense of consolidated VIEs of $50,935 and $70,816 for the quarters ended June 30, 2021 and 2020, respectively, and $116,141 and $135,445 for the six months ended June 30, 2021 and 2020, respectively.

(1) Includes interest income of consolidated VIEs of $149,115 and $169,127 forthe quarters ended June 30, 2021 and 2020, respectively, and $307,214 and$343,809 for the six months ended June 30, 2021 and 2020, respectively.

(2) Includes interest expense of consolidated VIEs of $50,935 and $70,816 forthe quarters ended June 30, 2021 and 2020, respectively, and $116,141 and$135,445 for the six months ended June 30, 2021 and 2020, respectively.

CHIMERA INVESTMENT CORPORATION

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)

(dollars in thousands, except share and per share data)

(Unaudited)

For the Quarters Ended

For the Six Months Ended

June 30, 2021

June 30, 2020

June 30, 2021

June 30, 2020

Comprehensive income (loss):

Net income (loss)

$

163,321

$

(54,955

)

$

320,912

$

(425,710

)

Other comprehensive income:

Unrealized gains (losses) on available-for-sale securities, net

(26,215

)

61,399

(64,867

)

(137,805

)

Reclassification adjustment for net realized losses (gains) included in net income

(11,323

)

(26,380

)

(37,116

)

(33,021

)

Other comprehensive income (loss)

(37,538

)

35,019

(101,983

)

(170,826

)

Comprehensive income (loss) before preferred stock dividends

$

125,783

$

(19,936

)

$

218,929

$

(596,536

)

Dividends on preferred stock

$

18,438

$

18,438

$

36,875

$

36,875

Comprehensive income (loss) available to common stock shareholders

$

107,345

$

(38,374

)

$

182,054

$

(633,411

)

Core earnings

Core earnings 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, 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.

As defined, core earnings 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 believe that the presentation of core earnings provides us and investors with a useful measure, but has important limitations. We believe core earnings as described above helps us and investors evaluate our financial performance period over period without the impact of certain transactions but, is of limited usefulness as an analytical tool. Therefore, core earnings 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 core earnings may differ from the methodologies employed by other REITs to calculate the same or similar supplemental performance measures, and accordingly, our reported core earnings may not be comparable to the core earnings reported by other REITs.

The following table provides GAAP measures of net income and net income per diluted share available to common stockholders for the periods presented and details with respect to reconciling the line items to core earnings and related per average diluted common share amounts. Core earnings is presented on an adjusted dilutive shares basis. Certain prior period amounts have been reclassified to conform to the current period's presentation.

CHIMERA INVESTMENT CORPORATION

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)

(dollars in thousands, except share and per share data)

(Unaudited)



For the Quarters Ended For the Six Months Ended

June 30, June 30, June 30, June 30, 2020 2021 2020 2021

Comprehensive income (loss):

Net income (loss) $ 163,321 $ (54,955 ) $ 320,912 $ (425,710 )

Other comprehensive income:

Unrealized gains(losses) on (26,215 ) 61,399 (64,867 ) (137,805 ) available-for-salesecurities, net

Reclassificationadjustment for netrealized losses (11,323 ) (26,380 ) (37,116 ) (33,021 ) (gains) included innet income

Other comprehensive (37,538 ) 35,019 (101,983 ) (170,826 ) income (loss)

Comprehensive income(loss) before $ 125,783 $ (19,936 ) $ 218,929 $ (596,536 ) preferred stockdividends

Dividends on preferred $ 18,438 $ 18,438 $ 36,875 $ 36,875 stock

Comprehensive income(loss) available to $ 107,345 $ (38,374 ) $ 182,054 $ (633,411 ) common stockshareholders

Core earnings

Core earnings 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, 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.

As defined, core earnings 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 believe that the presentation of core earnings provides us and investors with a useful measure, but has important limitations. We believe core earnings as described above helps us and investors evaluate our financial performance period over period without the impact of certain transactions but, is of limited usefulness as an analytical tool. Therefore, core earnings 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 core earnings may differ from the methodologies employed by other REITs to calculate the same or similar supplemental performance measures, and accordingly, our reported core earnings may not be comparable to the core earnings reported by other REITs.

The following table provides GAAP measures of net income and net income per diluted share available to common stockholders for the periods presented and details with respect to reconciling the line items to core earnings and related per average diluted common share amounts. Core earnings 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

June 30, March 31, December September June 30, 2020 2021 2021 31, 2020 30, 2020

(dollars in thousands, except per share data)

GAAP Netincomeavailable to $ 144,883 $ 139,153 $ 128,797 $ 348,891 $ (73,393 ) commonstockholders

Adjustments:

Net unrealized(gains) losseson financial (36,108 ) (270,012 ) (61,379 ) (260,766 ) 171,921 instruments atfair value

Net realized(gains) losses (7,517 ) (37,796 ) 329 (65,041 ) (26,380 ) on sales ofinvestments

(Gains) losseson 21,777 237,137 (919 ) 55,794 (459 ) extinguishmentof debt

Interestexpense on 959 1,076 1,197 1,495 4,391 long term debt

Increase(decrease) in 453 (126 ) 13 (1,650 ) (4,497 ) provision forcredit losses

Transaction 5,745 16,437 3,827 1,624 4,710 expenses

StockCompensationexpense for (361 ) 661 (225 ) (275 ) (273 ) retirementeligibleawards

Core Earnings $ 129,831 $ 86,530 $ 71,640 $ 80,072 $ 76,020



GAAP netincome per $ 0.60 $ 0.54 $ 0.49 $ 1.32 $ (0.37 ) diluted commonshare

Core earningsper adjusted $ 0.54 $ 0.36 $ 0.29 $ 0.33 $ 0.32 diluted commonshare

The following tables provide a summary of the Company's MBS portfolio at June 30, 2021 and December 31, 2020.

June 30, 2021

Principal or Weighted Notional Average Weighted Weighted Weighted Value Amortized Average Average Average Yield at Period-End Cost Fair Coupon at (dollars in Basis Value Period-End ^(1) thousands)

Non-Agency RMBS

Senior $ 1,405,783 $ 49.69 79.45 4.4 % 17.4 %

Subordinated 827,198 67.30 73.04 3.9 % 6.5 %

Interest-only 4,217,507 5.06 4.71 1.7 % 12.7 %

Agency RMBS

Interest-only 1,164,844 9.47 6.60 1.3 % 1.4 %

Agency CMBS

Project loans 974,756 101.78 112.25 4.2 % 4.1 %

Interest-only 2,412,480 5.71 5.90 0.7 % 4.6 %

(1) Bond Equivalent Yield at period end.

December 31, 2020

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

$

1,560,135

$

50.65

$

81.90

4.5

%

16.9

%

Subordinated

905,674

62.46

67.43

3.8

%

6.3

%

Interest-only

5,628,240

4.43

4.66

1.5

%

16.2

%

Agency RMBS

Interest-only

1,262,963

9.41

7.18

1.7

%

1.6

%

Agency CMBS

Project loans

1,527,621

101.81

112.23

4.1

%

3.8

%

Interest-only

1,326,665

1.78

1.95

0.6

%

8.4

%

(1) Bond Equivalent Yield at period end.

At June 30, 2021 and December 31, 2020, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates.

December 31, 2020

Principal or Weighted Notional Average Weighted Weighted Weighted Value Amortized Average Average Average Yield at Period-End Cost Fair Coupon at (dollars in Basis Value Period-End ^(1) thousands)

Non-Agency RMBS

Senior $ 1,560,135 $ 50.65 $ 81.90 4.5 % 16.9 %

Subordinated 905,674 62.46 67.43 3.8 % 6.3 %

Interest-only 5,628,240 4.43 4.66 1.5 % 16.2 %

Agency RMBS

Interest-only 1,262,963 9.41 7.18 1.7 % 1.6 %

Agency CMBS

Project loans 1,527,621 101.81 112.23 4.1 % 3.8 %

Interest-only 1,326,665 1.78 1.95 0.6 % 8.4 %

(1) Bond Equivalent Yield at period end.

At June 30, 2021 and December 31, 2020, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates.

June 30, 2021 December 31, 2020

(dollars in thousands)

Weighted Range of Weighted Range of Principal ^ Average Borrowing Principal ^ Average Borrowing (1) Borrowing Rates (1) Borrowing Rates Rates Rates

Overnight $ 105,673 0.73% 0.70% - $ - NA NA 0.78%

1 to 29 1,248,179 0.84% 0.08% - 1,521,134 0.38% 0.20% -days 3.25% 2.72%

30 to 59 267,897 1.57% 1.38% - 481,257 4.35% 2.42% -days 1.96% 6.61%

60 to 89 459,140 2.16% 1.38% - 352,684 2.78% 1.34% -days 2.44% 6.30%

90 to 119 51,944 1.82% 1.82% - 301,994 7.97% 7.97% -days 1.82% 7.97%

120 to 122,765 1.77% 1.77% - 595,900 5.29% 2.40% -180 days 1.77% 6.26%

180 days 146,296 1.79% 0.95% - 345,204 3.60% 3.25% -to 1 year 1.95% 4.50%

1 to 2 837,513 3.96% 2.85% - - NA NAyears 4.38%

2 to 3 - NA NA 642,696 4.91% 1.65% -years 7.00%

Greater 5.56% - 5.56% -than 3 315,021 5.56% 5.56% 395,978 5.56% 5.56%years

Total $ 3,554,428 2.30% $ 4,636,847 3.41%

(1) The values for secured financing agreements in the table above is net of $4 million and $8 million of deferred financing cost as of June 30, 2021 and December 31, 2020, respectively.

The following table summarizes certain characteristics of our portfolio at June 30, 2021 and December 31, 2020.

(1) The values for secured financing agreements in the table above is net of $4million and $8 million of deferred financing cost as of June 30, 2021 andDecember 31, 2020, respectively.

The following table summarizes certain characteristics of our portfolio at June 30, 2021 and December 31, 2020.

June 30, 2021 December 31, 2020

GAAP Leverage at period-end 3.3:1 3.6:1

GAAP Leverage at period-end (recourse) 1.0:1 1.2:1

June 30, 2021

December 31, 2020

June 30, 2021

December 31, 2020

Portfolio Composition

Amortized Cost

Fair Value

Non-Agency RMBS

10.4

%

10.2

%

12.5

%

12.6

%

Senior

5.0

%

5.0

%

7.3

%

7.5

%

Subordinated

3.9

%

3.6

%

3.9

%

3.6

%

Interest-only

1.5

%

1.6

%

1.3

%

1.5

%

Agency RMBS

0.8

%

0.7

%

0.5

%

0.5

%

Pass-through

-

%

-

%

-

%

-

%

Interest-only

0.8

%

0.7

%

0.5

%

0.5

%

Agency CMBS

8.0

%

10.0

%

8.0

%

10.2

%

Project loans

7.0

%

9.9

%

7.1

%

10.0

%

Interest-only

1.0

%

0.1

%

0.9

%

0.2

%

Loans held for investment

80.8

%

79.1

%

79.0

%

76.7

%

Fixed-rate percentage of portfolio

95.0

%

94.9

%

93.7

%

93.2

%

Adjustable-rate percentage of portfolio

5.0

%

5.1

%

6.3

%

6.8

%

Economic Net Interest Income

Our "Economic net interest income" is a non-GAAP financial measure, that equals interest income, less interest expense and realized losses on our interest rate swaps. Realized losses on our interest rate swaps are the periodic net settlement payments made or received. 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 interest rate swaps, which is presented as a part of Realized gains (losses) on derivatives in our Consolidated Statements of Operations and Comprehensive Income. Interest rate swaps are used to manage the increase in interest paid on repurchase agreements in a rising rate environment. Presenting the net contractual interest payments on interest rate swaps 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 actual interest expense and net interest income. Where indicated, interest expense, including interest payments on interest rate swaps, is referred to as economic interest expense. Where indicated, net interest income reflecting interest payments on interest rate swaps, is referred to as economic net interest income.

The following table reconciles the GAAP and non-GAAP measurements reflected in the Management's Discussion and Analysis of Financial Condition and Results of Operations.

June 30, December June 30, December 2021 31, 2021 31, 2020 2020

Portfolio Composition Amortized Cost Fair Value

Non-Agency RMBS 10.4 % 10.2 % 12.5 % 12.6 %

Senior 5.0 % 5.0 % 7.3 % 7.5 %

Subordinated 3.9 % 3.6 % 3.9 % 3.6 %

Interest-only 1.5 % 1.6 % 1.3 % 1.5 %

Agency RMBS 0.8 % 0.7 % 0.5 % 0.5 %

Pass-through - % - % - % - %

Interest-only 0.8 % 0.7 % 0.5 % 0.5 %

Agency CMBS 8.0 % 10.0 % 8.0 % 10.2 %

Project loans 7.0 % 9.9 % 7.1 % 10.0 %

Interest-only 1.0 % 0.1 % 0.9 % 0.2 %

Loans held for investment 80.8 % 79.1 % 79.0 % 76.7 %

Fixed-rate percentage of 95.0 % 94.9 % 93.7 % 93.2 %portfolio

Adjustable-rate percentage of 5.0 % 5.1 % 6.3 % 6.8 %portfolio

Economic Net Interest Income

Our "Economic net interest income" is a non-GAAP financial measure, that equals interest income, less interest expense and realized losses on our interest rate swaps. Realized losses on our interest rate swaps are the periodic net settlement payments made or received. 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 interest rate swaps, which is presented as a part of Realized gains (losses) on derivatives in our Consolidated Statements of Operations and Comprehensive Income. Interest rate swaps are used to manage the increase in interest paid on repurchase agreements in a rising rate environment. Presenting the net contractual interest payments on interest rate swaps 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 actual interest expense and net interest income. Where indicated, interest expense, including interest payments on interest rate swaps, is referred to as economic interest expense. Where indicated, net interest income reflecting interest payments on interest rate swaps, is referred to as economic net interest income.

The following table reconciles the GAAP and non-GAAP measurements reflected in the Management's Discussion and Analysis of Financial Condition and Results of Operations.

Net Net Realized Interest Realized GAAP GAAP (Gains) Expense Economic GAAP Net Gains Economic Interest Interest Losses on Long Interest Interest (Losses) Other^ Net Income Expense on Term Expense Income on (1) Interest Interest Debt Interest Income Rate Rate Swaps Swaps

For theQuarterEnded $ 252,677 $ 80,610 $ - $ (959 ) $ 79,651 $ 172,067 $ - $ 936 $ 173,003June 30,2021

For theQuarterEnded $ 243,127 $ 108,066 $ - $ (1,076 ) $ 106,990 $ 135,061 $ - $ 1,065 $ 136,126March 31,2021

For theQuarterEnded $ 236,156 $ 120,285 $ - $ (1,197 ) $ 119,088 $ 115,871 $ - $ 1,177 $ 117,048December31, 2020

For theQuarterEnded $ 247,905 $ 124,557 $ - $ (1,495 ) $ 123,062 $ 123,348 $ - $ 1,487 $ 124,835September30, 2020

For theQuarterEnded $ 245,922 $ 129,256 $ - $ (4,391 ) $ 124,865 $ 116,666 $ - $ 4,358 $ 121,024June 30,2020

(1) Primarily interest expense on Long term debt and interest income on cashand cash equivalents.

The table below shows our average earning assets held, interest earned on assets, yield on average interest earning assets, average debt balance, economic interest expense, economic average cost of funds, economic net interest income, and net interest rate spread for the periods presented.

For the Quarter Ended

June 30, 2021 June 30, 2020

(dollars in thousands) (dollars in thousands)

Average Average Average Average Interest Interest Balance Yield/ Balance Yield/ Cost Cost

Assets:

Interest-earning assets ^(1):

Agency RMBS $ 111,271 $ 346 1.2 % $ 132,915 $ 682 2.1 %

Agency CMBS 1,106,926 29,985 10.8 % 2,223,629 20,161 3.6 %

Non-Agency RMBS 1,499,262 69,716 18.6 % 1,758,255 57,515 13.1 %

Loans held for 11,744,270 152,607 5.2 % 13,202,723 167,531 5.1 %investment

Total $ 14,461,729 $ 252,654 7.0 % $ 17,317,522 $ 245,889 5.7 %



Liabilities andstockholders' equity:

Interest-bearing liabilities:

Securedfinancingagreements collateralizedby:

Agency RMBS $ 60,528 $ 116 0.8 % $ 77,114 $ 228 1.2 %

Agency CMBS 1,004,043 296 0.1 % 2,188,202 2,346 0.4 %

Non-Agency RMBS 852,582 7,616 3.6 % 1,292,934 22,408 6.9 %

Loans held for 1,875,395 16,483 3.5 % 2,978,013 27,338 3.7 %investment

Securitized debt 8,629,541 55,140 2.6 % 8,459,641 72,545 3.4 %

Total $ 12,422,089 $ 79,651 2.6 % $ 14,995,904 $ 124,865 3.3 %



Economic netinterest income/ $ 173,003 4.4 % $ 121,024 2.4 %net interestrate spread



Netinterest-earning $ 2,039,640 4.8 % $ 2,321,618 2.8 %assets/netinterest margin



Ratio ofinterest-earningassets to 1.16 1.15 interest bearingliabilities



(1) Interest-earning assets at amortized cost

The table below shows our Net Income and Economic Net Interest Income as a percentage of average stockholders' equity and Core Earnings 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 Core Earnings are non-GAAP measures as defined in previous sections.

Economic Core Return on Net Earnings/ Average Interest Average Equity Income/ Common Average Equity Equity *

(Ratios have been annualized)

For the Quarter Ended June 30, 2021 18.16 % 19.24 % 19.47 %

For the Quarter Ended March 31, 2021 17.16 % 14.82 % 12.62 %

For the Quarter Ended December 31, 2020 15.76 % 12.53 % 10.21 %

For the Quarter Ended September 30, 2020 41.43 % 14.08 % 12.24 %

For the Quarter Ended June 30, 2020 (6.62) % 14.58 % 12.72 %

* Includes effect of realized losses on interest rate swaps and excludes longterm debt expense.

The following table presents changes to Accretable Discount (net of premiums) as it pertains to our Non-Agency RMBS portfolio, excluding premiums on IOs, during the previous five quarters.

For the Quarters Ended

(dollars in thousands)

Accretable June 30, March 31, December September June 30,Discount (Net 2021 2021 31, 2020 30, 2020 2020of Premiums)

Balance,beginning of $ 358,562 $ 409,690 $ 422,981 $ 410,447 $ 438,232 period

Accretion of (37,986 ) (24,023 ) (21,281 ) (20,045 ) (22,508 )discount

Purchases (3,453 ) - 758 2,096 -

Sales and (17,123 ) (41,651 ) 98 - (23,425 )deconsolidation

Transfers from/(to) credit 38,024 14,546 7,134 30,483 18,148 reserve, net

Balance, end of $ 338,024 $ 358,562 $ 409,690 $ 422,981 $ 410,447 period

Disclaimer

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 "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: 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; effect of the novel coronavirus (or COVID-19) pandemic on real estate market, financial markets and our Company, including the impact on the value, availability, financing and liquidity of mortgage assets; how COVID-19 may affect us, our operations and our personnel; 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 interest rates and mortgage prepayment rates; prepayments of the mortgage and other loans underlying our mortgage-backed securities, or RMBS, or other asset-backed securities, or ABS; rates of default, delinquencies 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, including in response to COVID-19; 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; availability of 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.

Readers are advised that the financial information in this press release is based on company data available at the time of this presentation and, in certain circumstances, may not have been audited by the Company's independent auditors.

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CONTACT: Investor Relations 888-895-6557 www.chimerareit.com