Business Wire | Nov 3, 2021 07:00AM EDT

CHIMERA INVESTMENT CORPORATION REPORTS 3RD QUARTER 2021 EARNINGS

Nov. 03, 2021

NEW YORK--(BUSINESS WIRE)--Nov. 03, 2021--Chimera Investment Corporation (NYSE:CIM) today announced its financial results for the third quarter ended September 30, 2021. The Company's GAAP net income for the third quarter was $313 million, or $1.30 per diluted common share. Earnings available for distribution(1) for the third quarter ended September 30, 2021 was $102 million, or $0.42 per diluted common share.

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"Chimera's disciplined approach to investing was rewarded as we committed to purchase nearly $850 million of new loans for the portfolio, highlighting our continued ability to acquire mortgage assets", said Mohit Marria, Chimera's CEO and Chief Investment Officer. "Chimera's book value increased to $12.32 per share contributing to total economic return(2) of 10.5% for the third quarter of 2021."

(1) Earnings available for distribution per adjusted diluted common share is anon-GAAP measure. See additional discussion on page 5.

(2) Economic return on book value is based on the change in GAAP book value percommon share plus the dividend declared per common share.

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 its 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)

September 30, December 31, 2021 2020

Cash and cash equivalents $ 328,455 $ 269,090

Non-Agency RMBS, at fair value (net ofallowance for credit losses of $122 thousand 1,890,030 2,150,714 and $180 thousand, respectively)

Agency RMBS, at fair value 65,889 90,738

Agency CMBS, at fair value 1,062,131 1,740,368

Loans held for investment, at fair value 12,533,864 13,112,129

Accrued interest receivable 74,011 81,158

Other assets 49,844 78,822

Total assets ^(1) $ 16,004,224 $ 17,523,019

Liabilities:

Secured financing agreements ($5.0 billion and$6.7 billion pledged as collateral, $ 3,788,336 $ 4,636,847 respectively)

Securitized debt, collateralized by Non-AgencyRMBS ($424 million and $505 million pledged as 92,204 113,433 collateral, respectively)

Securitized debt at fair value, collateralizedby Loans held for investment ($11.3 billion and 7,947,644 8,711,677 $12.4 billion pledged as collateral,respectively)

Long term debt - 51,623

Payable for investments purchased 192,552 106,169

Accrued interest payable 20,388 40,950

Dividends payable 85,255 77,213

Accounts payable and other liabilities 29,297 5,721

Total liabilities ^(1) $ 12,155,676 $ 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: 5,800,000shares issued and outstanding, respectively $ 58 $ 58 ($145,000 liquidation preference)

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

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

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

Common stock: par value $0.01 per share;500,000,000 shares authorized, 236,883,020 and 2,369 2,306 230,556,760 shares issued and outstanding,respectively

Additional paid-in-capital 4,357,526 4,538,029

Accumulated other comprehensive income 438,915 558,096

Cumulative earnings 4,534,274 3,881,894

Cumulative distributions to stockholders (5,484,908 ) (5,201,311 )

Total stockholders' equity $ 3,848,548 $ 3,779,386

Total liabilities and stockholders' equity $ 16,004,224 $ 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 September 30, 2021, and December 31, 2020, total assets of consolidated VIEs were $10,865,801 and $12,165,017, respectively, and total liabilities of consolidated VIEs were $7,400,498 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 ofSeptember 30, 2021, and December 31, 2020, total assets of consolidated VIEswere $10,865,801 and $12,165,017, respectively, and total liabilities ofconsolidated VIEs were $7,400,498 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 Nine Months Ended

September 30,

2021

September 30,

2020

September 30,

2021

September 30,

2020

Net interest income:

Interest income (1)

$

220,579

$

247,905

$

716,384

$

794,094

Interest expense (2)

71,353

124,557

260,029

395,897

Net interest income

149,226

123,348

456,355

398,197

Increase/(decrease) in provision for credit losses

(386

)

(1,650

)

(58

)

167

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

239,524

260,766

545,643

(172,042

)

Net realized gains (losses) on sales of investments

-

65,041

45,313

167,275

Gains (losses) on extinguishment of debt

(25,622

)

(55,794

)

(284,535

)

(55,338

)

Total other gains (losses)

213,902

270,013

306,421

(364,157

)

Other expenses:

Compensation and benefits

12,694

10,287

35,363

33,476

General and administrative expenses

5,300

6,236

16,672

17,335

Servicing and asset manager fees

9,297

9,473

27,659

30,074

Transaction expenses

3,432

1,624

25,614

11,239

Total other expenses

30,723

27,620

105,308

92,124

Income (loss) before income taxes

332,791

367,391

657,526

(58,251

)

Income tax expense (benefit)

1,323

62

5,146

130

Net income (loss)

$

331,468

$

367,329

$

652,380

$

(58,381

)

Dividends on preferred stock

18,438

18,438

55,313

55,313

Net income (loss) available to common shareholders

$

313,030

$

348,891

$

597,067

$

(113,694

)

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

Basic

$

1.33

$

1.50

$

2.57

$

(0.55

)

Diluted

$

1.30

$

1.32

$

2.42

$

(0.55

)

Weighted average number of common shares outstanding:

Basic

235,887,296

232,127,224

232,717,010

206,237,705

Diluted

240,362,602

265,346,359

247,358,823

206,237,705

CHIMERA INVESTMENT CORPORATION

CONSOLIDATED STATEMENTS OF OPERATIONS

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

(Unaudited)

For the Quarters Ended For the Nine Months Ended

September 30, September 30, September 30, September 30, 2021 2020 2021 2020

Net interest income:

Interest $ 220,579 $ 247,905 $ 716,384 $ 794,094 income ^(1)

Interest 71,353 124,557 260,029 395,897 expense ^(2)

Net interest 149,226 123,348 456,355 398,197 income



Increase/(decrease) in (386 ) (1,650 ) (58 ) 167 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 239,524 260,766 545,643 (172,042 )instruments atfair value

Net realizedgains (losses) - 65,041 45,313 167,275 on sales ofinvestments

Gains (losses)on (25,622 ) (55,794 ) (284,535 ) (55,338 )extinguishmentof debt

Total other 213,902 270,013 306,421 (364,157 )gains (losses)



Other expenses:

Compensation 12,694 10,287 35,363 33,476 and benefits

General andadministrative 5,300 6,236 16,672 17,335 expenses

Servicing andasset manager 9,297 9,473 27,659 30,074 fees

Transaction 3,432 1,624 25,614 11,239 expenses

Total other 30,723 27,620 105,308 92,124 expenses

Income (loss)before income 332,791 367,391 657,526 (58,251 )taxes

Income taxexpense 1,323 62 5,146 130 (benefit)

Net income $ 331,468 $ 367,329 $ 652,380 $ (58,381 )(loss)



Dividends onpreferred 18,438 18,438 55,313 55,313 stock



Net income(loss)available to $ 313,030 $ 348,891 $ 597,067 $ (113,694 )commonshareholders



Net income(loss) pershare available tocommonshareholders:

Basic $ 1.33 $ 1.50 $ 2.57 $ (0.55 )

Diluted $ 1.30 $ 1.32 $ 2.42 $ (0.55 )



Weightedaverage numberof common sharesoutstanding:

Basic 235,887,296 232,127,224 232,717,010 206,237,705

Diluted 240,362,602 265,346,359 247,358,823 206,237,705

(1) Includes interest income of consolidated VIEs of $138,984 and $171,442 for the quarters ended September 30, 2021 and 2020, respectively, and $446,198 and $515,250 for the nine months ended September 30, 2021 and 2020, respectively.

(2) Includes interest expense of consolidated VIEs of $43,525 and $74,753 for the quarters ended September 30, 2021 and 2020, respectively, and $159,666 and $210,198 for the nine months ended September 30, 2021 and 2020, respectively.

(1) Includes interest income of consolidated VIEs of $138,984 and $171,442 forthe quarters ended September 30, 2021 and 2020, respectively, and $446,198 and$515,250 for the nine months ended September 30, 2021 and 2020, respectively.



(2) Includes interest expense of consolidated VIEs of $43,525 and $74,753 forthe quarters ended September 30, 2021 and 2020, respectively, and $159,666 and$210,198 for the nine months ended September 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 Nine Months Ended

September 30,

2021

September 30,

2020

September 30,

2021

September 30,

2020

Comprehensive income (loss):

Net income (loss)

$

331,468

$

367,329

$

652,380

$

(58,381

)

Other comprehensive income:

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

(17,198

)

40,470

(82,065

)

(97,334

)

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

-

(22,999

)

(37,116

)

(56,021

)

Other comprehensive income (loss)

(17,198

)

17,471

(119,181

)

(153,355

)

Comprehensive income (loss) before preferred stock dividends

$

314,270

$

384,800

$

533,199

$

(211,736

)

Dividends on preferred stock

$

18,438

$

18,438

$

55,313

$

55,313

Comprehensive income (loss) available to common stock shareholders

$

295,832

$

366,362

$

477,886

$

(267,049

)

Earnings available for distribution

Commencing with the quarter ended September 30, 2021, we will no longer report our non-GAAP measure of core earnings (and by calculation, core earnings per adjusted diluted common share). Instead, we are reporting the new measure Earnings available for distribution (and by calculation, earnings available for distribution per adjusted diluted common share).

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, 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, 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 a consistent 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. In addition, Earnings available for distribution is different than REIT taxable income and the determination of whether the Company has met the requirement to distribute at least 90% of its annual REIT taxable income (subject to certain adjustments) to its 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, because Earnings available for distribution excludes certain items that impact our cash needs. 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.

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.





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 Nine Months Ended

September September September September 30, 30, 30, 30,

2021 2020 2021 2020

Comprehensive income (loss):

Net income (loss) $ 331,468 $ 367,329 $ 652,380 $ (58,381 )

Other comprehensive income:

Unrealized gains(losses) on (17,198 ) 40,470 (82,065 ) (97,334 )available-for-salesecurities, net

Reclassificationadjustment for net - (22,999 ) (37,116 ) (56,021 )realized losses (gains)included in net income

Other comprehensive (17,198 ) 17,471 (119,181 ) (153,355 )income (loss)

Comprehensive income(loss) before preferred $ 314,270 $ 384,800 $ 533,199 $ (211,736 )stock dividends

Dividends on preferred $ 18,438 $ 18,438 $ 55,313 $ 55,313 stock

Comprehensive income(loss) available to $ 295,832 $ 366,362 $ 477,886 $ (267,049 )common stockshareholders

Earnings available for distribution

Commencing with the quarter ended September 30, 2021, we will no longer report our non-GAAP measure of core earnings (and by calculation, core earnings per adjusted diluted common share). Instead, we are reporting the new measure Earnings available for distribution (and by calculation, earnings available for distribution per adjusted diluted common share).

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, 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, 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 a consistent 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. In addition, Earnings available for distribution is different than REIT taxable income and the determination of whether the Company has met the requirement to distribute at least 90% of its annual REIT taxable income (subject to certain adjustments) to its 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, because Earnings available for distribution excludes certain items that impact our cash needs. 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.

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

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

(dollars in thousands, except per share data)

GAAP Netincomeavailable to $ 313,030 $ 144,883 $ 139,153 $ 128,797 $ 348,891 commonstockholders

Adjustments:

Net unrealized(gains) losseson financial (239,524 ) (36,108 ) (270,012 ) (61,379 ) (260,766 )instruments atfair value

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

(Gains) losseson 25,622 21,777 237,137 (919 ) 55,794 extinguishmentof debt

Interestexpense on 238 959 1,076 1,197 1,495 long term debt

Increase(decrease) in (386 ) 453 (126 ) 13 (1,650 )provision forcredit losses

Transaction 3,432 5,745 16,437 3,827 1,624 expenses

StockCompensationexpense for (365 ) (361 ) 661 (225 ) (275 )retirementeligibleawards

Earningsavailable for $ 102,047 $ 129,831 $ 86,530 $ 71,640 $ 80,072 distribution



GAAP netincome per $ 1.30 $ 0.60 $ 0.54 $ 0.49 $ 1.32 diluted commonshare

Earningsavailable fordistribution $ 0.42 $ 0.54 $ 0.36 $ 0.29 $ 0.33 per adjusteddiluted commonshare

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

September 30, 2021

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

Non-Agency RMBS

Senior $ 1,340,949 $ 48.75 78.62 4.4 % 17.6 %

Subordinated 849,256 67.92 76.37 3.8 % 6.7 %

Interest-only 4,225,195 4.77 4.43 1.6 % 12.8 %

Agency RMBS

Interest-only 1,067,557 9.97 6.17 1.3 % 0.7 %

Agency CMBS

Project loans 825,894 101.87 112.16 4.3 % 4.1 %

Interest-only 2,351,641 5.60 5.78 0.7 % 5.3 %

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

September 30, 2021 December 31, 2020

(dollars in thousands)

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

Rates Rates

Overnight $ - NA -% - -% $ - NA NA

1 to 29 1,005,444 0.37% 0.11% - 1,521,134 0.38% 0.20% -days 1.82% 2.72%

30 to 59 109,436 1.62% 1.62% - 481,257 4.35% 2.42% -days 1.62% 6.61%

60 to 89 245,058 1.62% 1.28% - 352,684 2.78% 1.34% -days 1.68% 6.30%

90 to 119 455,938 1.78% 1.41% - 301,994 7.97% 7.97% -days 1.99% 7.97%

120 to 526,398 1.84% 0.90% - 595,900 5.29% 2.40% -180 days 2.34% 6.26%

180 days 899,381 3.59% 0.94% - 345,204 3.60% 3.25% -to 1 year 4.38% 4.50%

1 to 2 261,999 3.06% 3.04% - - NA NAyears 3.09%

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

Greater 5.56% - 5.56% -than 3 284,682 5.56% 5.56% 395,978 5.56% 5.56%years

Total $ 3,788,336 2.20% $ 4,636,847 3.41%

(1) The values for secured financing agreements in the table above is net of $3 million and $8 million of deferred financing cost as of September 30, 2021 and December 31, 2020, respectively.

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

(1) The values for secured financing agreements in the table above is net of $3million and $8 million of deferred financing cost as of September 30, 2021 andDecember 31, 2020, respectively.

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

September 30, December 31, 2021 2020

GAAP Leverage at period-end 3.1:1 3.6:1

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

September 30,

2021

December 31,

2020

September 30,

2021

December 31,

2020

Portfolio Composition

Amortized Cost

Fair Value

Non-Agency RMBS

10.2

%

10.2

%

12.1

%

12.6

%

Senior

4.7

%

5.0

%

6.7

%

7.5

%

Subordinated

4.1

%

3.6

%

4.2

%

3.6

%

Interest-only

1.4

%

1.6

%

1.2

%

1.5

%

Agency RMBS

0.8

%

0.7

%

0.4

%

0.5

%

Pass-through

-

%

-

%

-

%

-

%

Interest-only

0.8

%

0.7

%

0.4

%

0.5

%

Agency CMBS

6.9

%

10.0

%

6.9

%

10.2

%

Project loans

6.0

%

9.9

%

6.0

%

10.0

%

Interest-only

0.9

%

0.1

%

0.9

%

0.2

%

Loans held for investment

82.1

%

79.1

%

80.6

%

76.7

%

Fixed-rate percentage of portfolio

95.3

%

94.9

%

94.2

%

93.2

%

Adjustable-rate percentage of portfolio

4.7

%

5.1

%

5.8

%

6.8

%

Economic Net Interest Income

Our Economic net interest income is a non-GAAP financial measure that equals GAAP net interest income adjusted for net realized gains or losses on interest rate swaps, interest expense on long term debt and any interest earned on cash. Realized gains or losses on our interest rate swaps are the periodic net settlement payments made or received. We believe this presentation is useful to investors because it depicts the economic value of our investment strategy by showing all components of interest expense and net interest income. However, Economic net interest income should not be viewed in isolation and is not a substitute for net interest income computed in accordance with GAAP. Where indicated, interest expense, adjusting for interest payments on interest rate swaps, is referred to as Economic interest expense.

The following table reconciles the Economic net interest income to GAAP net interest income and Economic interest expense to GAAP interest expense for the periods presented.

September December September December 30, 31, 30, 31,

2021 2020 2021 2020

Portfolio Composition Amortized Cost Fair Value

Non-Agency RMBS 10.2 % 10.2 % 12.1 % 12.6 %

Senior 4.7 % 5.0 % 6.7 % 7.5 %

Subordinated 4.1 % 3.6 % 4.2 % 3.6 %

Interest-only 1.4 % 1.6 % 1.2 % 1.5 %

Agency RMBS 0.8 % 0.7 % 0.4 % 0.5 %

Pass-through - % - % - % - %

Interest-only 0.8 % 0.7 % 0.4 % 0.5 %

Agency CMBS 6.9 % 10.0 % 6.9 % 10.2 %

Project loans 6.0 % 9.9 % 6.0 % 10.0 %

Interest-only 0.9 % 0.1 % 0.9 % 0.2 %

Loans held for investment 82.1 % 79.1 % 80.6 % 76.7 %

Fixed-rate percentage of 95.3 % 94.9 % 94.2 % 93.2 %portfolio

Adjustable-rate percentage of 4.7 % 5.1 % 5.8 % 6.8 %portfolio

Economic Net Interest Income

Our Economic net interest income is a non-GAAP financial measure that equals GAAP net interest income adjusted for net realized gains or losses on interest rate swaps, interest expense on long term debt and any interest earned on cash. Realized gains or losses on our interest rate swaps are the periodic net settlement payments made or received. We believe this presentation is useful to investors because it depicts the economic value of our investment strategy by showing all components of interest expense and net interest income. However, Economic net interest income should not be viewed in isolation and is not a substitute for net interest income computed in accordance with GAAP. Where indicated, interest expense, adjusting for interest payments on interest rate swaps, is referred to as Economic interest expense.

The following table reconciles the Economic net interest income to GAAP net interest income and Economic interest expense to GAAP interest expense for the periods presented.

Net Net

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

Swaps Swaps

For theQuarterEnded $ 220,579 $ 71,353 $ - $ (239 ) $ 71,114 $ 149,226 $ - $ 220 $ 149,446 September30, 2021

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

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

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

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

September 30, 2021 September 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 $ 108,341 $ 190 0.7 % $ 127,273 $ 495 1.6 %

Agency CMBS 998,132 23,933 9.6 % 1,770,009 25,571 5.8 %

Non-Agency RMBS 1,449,681 50,688 14.0 % 1,692,702 56,311 13.3 %

Loans held for 11,462,652 145,749 5.1 % 12,943,898 165,520 5.1 %investment

Total $ 14,018,806 $ 220,560 6.3 % $ 16,533,882 $ 247,897 6.0 %



Liabilities andstockholders' equity:

Interest-bearing liabilities:

Securedfinancingagreements collateralizedby:

Agency RMBS $ 38,620 $ 65 0.7 % $ 76,755 $ 208 1.1 %

Agency CMBS 864,569 347 0.2 % 1,680,566 1,141 0.3 %

Non-Agency RMBS 826,989 6,822 3.3 % 1,171,542 17,495 6.0 %

Loans held for 2,094,438 16,434 3.1 % 2,340,689 27,814 4.8 %investment

Securitized debt 8,077,753 47,446 2.3 % 8,711,513 76,404 3.5 %

Total $ 11,902,369 $ 71,114 2.4 % $ 13,981,065 $ 123,062 3.5 %



Economic netinterest income/ $ 149,446 3.9 % $ 124,835 2.5 %net interestrate spread



Netinterest-earning $ 2,116,437 4.3 % $ 2,552,817 3.0 %assets/netinterest margin



Ratio ofinterest-earningassets to 1.18 1.18 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 Earnings available for distribution as a percentage of average common stockholders' equity. Return on average equity is defined as our GAAP net income (loss) as a percentage of average equity. Average equity is defined as the average of our beginning and ending stockholders' equity balance for the period reported. Economic Net Interest Income and Earnings available for distribution are non-GAAP measures as defined in previous sections.

Economic Net Earnings Return on available for Interest Average distribution/ Equity Income/ Average Average Common Equity Equity *

(Ratios have been annualized)

For the Quarter Ended September 30, 2021 35.47 % 15.99 % 14.54 %

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 %

* 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 September June 30, March 31, December SeptemberDiscount (Net 30, 2021 2021 2021 31, 2020 30, 2020of Premiums)

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

Accretion of (21,820 ) (37,986 ) (24,023 ) (21,281 ) (20,045 )discount

Purchases 1,995 (3,453 ) - 758 2,096

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

Transfers from/(to) credit 34,346 38,024 14,546 7,134 30,483 reserve, net

Balance, end of $ 352,545 $ 338,024 $ 358,562 $ 409,690 $ 422,981 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