Chimera Investment posts $194M Q3 2026 GAAP loss
Book value per common share was down 16.5% from Q2 2026, while GAAP loss available to common shareholders reached $193.7 million.
Sentiment and the balance of points
Rhea-AI Sentiment reads the wording of the document, how positive or negative its language is on a 1 to 5 scale. The balance of points shown with the takes weighs what the document actually discloses, so the two can disagree, for example when a trial that missed its main goal is described in upbeat language.
Form Type
8-K
Rhea-AI Filing Summary
Chimera Investment Corporation (CIM) reported third-quarter 2026 results, including a $193.7 million GAAP loss available to common shareholders, or $2.31 per diluted share, compared with a $22.0 million loss, or $0.27 per diluted share, a year earlier. Earnings available for distribution, a non-GAAP measure, were $32.3 million, or $0.38 per adjusted diluted common share, versus $30.3 million and $0.37 a year earlier. Book value was $14.82 per common share, down 16.5% from $17.75 in Q2 2026; economic return was (13.98)%, measured using the change in book value per common share plus common stock dividends.
Net interest income was $71.2 million, compared with $65.0 million in Q3 2025. Chimera said interest-rate volatility and wider mortgage spreads affected book value. Residential Origination reported $1.1 billion of volume, up 27% year over year on HomeXpress standalone results, and a $2 million net loss with $439,000 of EBTDA. The Investment Portfolio committed to purchase $797 million of loans during the quarter. After quarter-end, Chimera completed its inaugural $291 million Prism securitization, backed by loans originated by HomeXpress.
1 point · 0 major1 major · 2 points
How this balance works
Rhea-AI gives every point it takes from this document a weight. Minor counts 1, Moderate 3 and Major 9, so one Major point outweighs several Minor ones. The bar adds up the weights on each side, and when neither side holds more than 65% of the total the balance reads Mixed.
It reads the document as published, with the same rules for every company, and it does not look at what the market expected or at how the stock traded, so a point can be objectively good on a day the stock falls.
Rhea-AI Sentiment measures something else, the tone of the wording.
Positive
- Minor pointNon-GAAP EAD increased to $32.3 million from $30.3 million in Q3 2025.
Negative
- Major pointGAAP common-shareholder loss widened to $193.7 million year over year.
- Moderate pointBook value per share fell 16.5% to $14.82 from Q2 2026.
Filing Explained
At September 30, 2026, GAAP leverage was 6.5:1 and recourse leverage 4.1:1, up from 5.1:1 and 2.4:1 at December 31, 2025.
This Form 8-K reports Chimera’s results for the quarter ended
EAD is the company’s non-GAAP measure that removes certain fair-value and realized investment and derivative results, among other items, from GAAP net income; Chimera says it is not a substitute for GAAP results.
Issued and outstanding common shares were 83,711,818 at
At
8-K Event Classification
2 items: 2.02, 9.01
2 items
Item 2.02
Results of Operations and Financial Condition
Financial
Disclosure of earnings results, typically an earnings press release or preliminary financials.
Item 9.01
Financial Statements and Exhibits
Exhibits
Financial statements, pro forma financial information, or exhibit attachments filed with this report.
Key Figures
GAAP net income (loss) available to common shareholders: $193.7 million loss
GAAP diluted loss per common share: $2.31 loss per share
Earnings available for distribution: $32.3 million
+5 more
8 metrics
GAAP net income (loss) available to common shareholders
$193.7 million loss
Quarter ended September 30, 2026; compared with a $22.0 million loss in Q3 2025
GAAP diluted loss per common share
$2.31 loss per share
Quarter ended September 30, 2026; compared with $0.27 loss per share in Q3 2025
Earnings available for distribution
$32.3 million
Quarter ended September 30, 2026; compared with $30.3 million in Q3 2025
Earnings available for distribution per adjusted diluted common share
$0.38
Quarter ended September 30, 2026; compared with $0.37 in Q3 2025
GAAP book value per common share
$14.82
As of September 30, 2026; down 16.5% from $17.75 in Q2 2026
Economic return
(13.98)%
Quarter ended September 30, 2026
Net interest income
$71.2 million
Quarter ended September 30, 2026; compared with $65.0 million in Q3 2025
Residential Origination volume
$1.1 billion
Q3 2026; up 27% year over year on HomeXpress standalone results
Key Terms
Earnings available for distribution, Economic net interest income, Earnings Before Taxes, Depreciation and Amortization, TBA securities
4 terms
Earnings available for distribution financial
"Earnings available for distribution (“EAD”) is a non-GAAP measure"
Earnings available for distribution are the portion of a company’s profit that remains after paying taxes, meeting legal or contractual reserves, and covering any required debt or operating obligations — essentially the cash the business can legally and practically give to shareholders or unitholders. Investors watch this number because it shows how much income a company can return as dividends or distributions, similar to the money left in a household account after paying bills and savings goals.
Economic net interest income financial
"Economic net interest income of our Investment Portfolio segment"
Earnings Before Taxes, Depreciation and Amortization financial
"Earnings Before Taxes, Depreciation and Amortization, or EBTDA"
TBA securities financial
"long and/or short positions in TBA securities"
TBA securities are agreements to buy or sell mortgage-backed bonds where the broad terms (coupon, size and settlement date) are set now but the exact pool of mortgages is chosen and announced later, similar to ordering a generic loaf of bread and getting a specific one on pickup. Investors care because TBAs let large buyers and sellers lock in prices and manage interest-rate and liquidity risk before the precise underlying loans are known, making the mortgage market more tradable and affecting yields on related investments.
Earnings Snapshot
GAAP net income (loss) available to common shareholders: $193.7 million loss
Quarter ended September 30, 2026
GAAP net income (loss) available to common shareholders
$193.7 million loss
From a $22.0 million loss in Q3 2025
Earnings available for distribution
$32.3 million
From $30.3 million in Q3 2025
Earnings available for distribution per adjusted diluted common share
$0.38
From $0.37 in Q3 2025
GAAP book value per common share
$14.82
Down 16.5% from $17.75 in Q2 2026
Economic return
(13.98)%
FAQ
AI-generated questions and answers. How Rhea-AI works. Not financial advice.
What were Chimera (CIM)'s third-quarter 2026 earnings?
CIM reported a GAAP loss available to common shareholders of $193.7 million, or $2.31 per diluted share; earnings available for distribution, a non-GAAP measure, were $32.3 million, or $0.38 per adjusted diluted common share. The comparable Q3 2025 amounts were a $22.0 million GAAP loss, $0.27 loss per diluted share, $30.3 million in earnings available for distribution and $0.37 per adjusted diluted common share.
What was Chimera's residential loan product mix in Q3 2026?
Consumer Non-QM loans represented 42% of the product mix, Investor Loans 55%, and QM loans 3%.
AI-generated analysis. How Rhea-AI works. Not financial advice.
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
____________
FORM8-K
FORM
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934
Date of Report (Date of earliest event reported):
(Exact name of registrant as specified in its charter)
| (State or Other Jurisdiction | (Commission | (IRS Employer | ||||||
| of Incorporation) | File Number) | Identification No.) | ||||||
One Rockefeller Plaza, 32 nd Floor
(Address of principal executive offices)
10020
(Zip Code)
Registrant’s telephone number, including area code: (888 ) 895-6557
Securities registered pursuant to Section 12(b) of the Act:
| Title of Each Class | Trading Symbol(s) | Name of Each Exchange on Which Registered | ||||||
(Former Name or Former Address, if Changed Since Last Report)
Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:
Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (§230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§240.12b-2 of this chapter).
Emerging growth company ☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐
Item 2.02. Results of Operations and Financial Condition
On November 5, 2026, the registrant issued a press release announcing its financial results for the quarter ended September 30, 2026. A copy of the press release is furnished as Exhibit 99.1 to this report.
On November 5, 2026, the registrant posted investor presentation information on the News & Events - Press Releases section of its website (www.chimerareit.com). A copy of the investor presentation information is furnished as Exhibit 99.2 to this report and incorporated herein by reference.
Item 9.01 Financial Statements and Exhibits
(d) Exhibits
99.1 Press Release, dated November 5, 2026, issued by Chimera Investment Corporation
99.2 Investor Presentation Q3 2026
104 Cover Page Interactive Data File (embedded within the Inline XBRL document).
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
Chimera Investment Corporation
By: /s/ Subramaniam Viswanathan
Name: Subramaniam Viswanathan Title: Chief Financial Officer (Principal Financial Officer and Principal Accounting Officer of the registrant)
Date: November 5, 2026
NEWS RELEASE
CHIMERA INVESTMENT CORPORATION REPORTS THIRD QUARTER 2026 RESULTS
NEW YORK, November 5, 2026 - Chimera Investment Corporation (NYSE: CIM) today announced its financial results for the third quarter ended September 30, 2026.
Executive Summary:
| Metric | Value | ||||
| GAAP Net income (loss) available to common shareholders | $(194) million, or $(2.31) per diluted common share | ||||
Earnings available for distribution (1) | $32 million, or $0.38 per adjusted diluted common share | ||||
| GAAP Book Value per common share | $14.82 per common share | ||||
Economic Return (2) | (13.98)% | ||||
| (1) Earnings available for distribution per adjusted diluted common share is a non-GAAP measure. See additional discussion on page 6-7. | |||||
| (2) Our economic return is measured by the change in GAAP book value per common share plus common stock dividend. | |||||
Business Highlights:
•Significant movements in interest rates and mortgage spreads impacted book value.
•Maintained a strong liquidity position amid heightened market volatility.
Investment Portfolio Segment
•Repositioned the Agency RMBS portfolio toward higher coupon securities to take advantage of more attractive yields; approximately 90% of our specified pools now have coupons of 5% or higher.
•Committed to purchase $797 million of loans to support our securitization program during the quarter, bringing year to date purchases to $1.1 billion.
•Subsequent to quarter end, completed the inaugural $291 million Prism securitization backed by loans originated by HomeXpress.
Residential Origination Segment
•Originated volume of $1.1 billion, up 27% vs prior year period3, reflecting disciplined approach to pricing amid volatile market conditions.
•Reported a net loss of $(2) million, and $439 thousand of EBTDA
•Product mix shifted, with consumer Non-QM representing 42%, Investor Loans 55%, and QM at 3%. Expanded correspondent channel to account for 17% of production in the quarter.
“The third quarter presented a challenging market environment, with significant credit spread widening and interest rate volatility putting pressure on our book value. Despite these headwinds, we are executing on our strategic priorities, most recently with the successful launch of Prism. Our focus is on disciplined capital allocation, maintaining strong liquidity and leveraging our expanded platform to drive long term shareholder value,” said Phillip J. Kardis II, President and CEO.
3 Reflects HomeXpress standalone results. HomeXpress was acquired on October 1, 2025 and is not included in Chimera’s consolidated results prior to that date.
Third Quarter 2026 Earnings Call
Chimera Investment Corporation will host a conference call and live audio webcast to discuss the results at 8:30 AM ET on Thursday, November 5, 2026.
Call-in Number:
▪U.S. Toll Free: (866) 604-1613
▪International: (201) 689-7810
▪Webcast: https://www.chimerareit.com/news-events/ir-calendar
Conference Call Replay:
▪U.S. Toll Free: (877) 660-6853
▪International: (201) 612-7415
▪Conference ID: 13760724
▪A replay of the call will be available for a limited time and can be accessed via the dial-in numbers above or through the webcast archive on the company’s website.
Other Information
Chimera Investment Corporation (NYSE: CIM) is a diversified, internally managed REIT, that serves the U.S. residential real estate market. Through its Investment Portfolio and Residential Origination segments, the company acquires, manages, finances and originates residential mortgage and real estate-related assets, with the objective of delivering attractive risk-adjusted returns to shareholders.
Contact
Investor Relations
888-895-6557
investor-relations@chimerareit.com
www.chimerareit.com
| CHIMERA INVESTMENT CORPORATION | ||||||||
| CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||||
| (dollars in thousands, except share and per share data) | ||||||||
| (Unaudited) | ||||||||
| September 30, 2026 | December 31, 2025 | |||||||
| Assets: | ||||||||
| Cash and cash equivalents | $ | 357,179 | $ | 278,582 | ||||
Non-Agency RMBS, at fair value (net of allowance for credit losses of $60 million and $43 million, respectively) | 673,683 | 817,280 | ||||||
| Agency MBS, at fair value | 5,545,002 | 3,463,485 | ||||||
| Loans held for investment, at fair value | 7,405,464 | 9,803,615 | ||||||
| Loans held-for-sale, at fair value | 1,986,814 | 896,117 | ||||||
| Accrued interest receivable | 85,283 | 78,691 | ||||||
| Other assets | 493,316 | 408,291 | ||||||
| Interests in MSR financing receivables | 41,256 | 37,294 | ||||||
| Derivatives, at fair value, net | 121,209 | 25,187 | ||||||
Total assets (1) | $ | 16,709,206 | $ | 15,808,542 | ||||
| Liabilities: | ||||||||
Secured financing agreements ($9.7 billion and $7.4 billion pledged as collateral, respectively, and includes $267 million and $299 million at fair value, respectively) | $ | 8,619,936 | $ | 6,031,182 | ||||
Securitized debt, collateralized by Non-Agency RMBS ($185 million and $210 million pledged as collateral, respectively) | 62,329 | 66,579 | ||||||
Securitized debt at fair value, collateralized by Loans held for investment ($7.1 billion and $9.4 billion pledged as collateral, respectively) | 5,077,677 | 6,721,302 | ||||||
| Long term debt | 253,063 | 251,528 | ||||||
| Payable for investments purchased | 343,161 | 3,267 | ||||||
| Accrued interest payable | 40,658 | 43,032 | ||||||
| Dividends payable | 43,080 | 34,891 | ||||||
| Accounts payable and other liabilities | 97,663 | 82,308 | ||||||
| Derivatives, at fair value, net | 1,318 | 1,759 | ||||||
Total liabilities (1) | $ | 14,538,885 | $ | 13,235,848 | ||||
| Stockholders’ Equity: | ||||||||
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized: | ||||||||
8.00% Series A cumulative redeemable: 5,800,000 shares issued and outstanding, respectively ($145,000 liquidation preference) | $ | 58 | $ | 58 | ||||
8.00% Series B cumulative redeemable: 13,000,000 shares issued and outstanding, respectively ($325,000 liquidation preference) | 130 | 130 | ||||||
7.75% Series C cumulative redeemable: 10,400,000 shares issued and outstanding, respectively ($260,000 liquidation preference) | 104 | 104 | ||||||
8.00% Series D cumulative redeemable: 8,000,000 shares issued and outstanding, respectively ($200,000 liquidation preference) | 80 | 80 | ||||||
Common stock: par value $0.01 per share; 166,666,667 shares authorized, 83,711,818 and 83,402,145 shares issued and outstanding, respectively | 837 | 834 | ||||||
| Additional paid-in-capital | 4,438,590 | 4,429,009 | ||||||
| Accumulated other comprehensive income | 112,845 | 146,295 | ||||||
| Cumulative earnings | 4,372,838 | 4,571,610 | ||||||
| Cumulative distributions to stockholders | (6,755,161) | (6,575,426) | ||||||
| Total stockholders’ equity | $ | 2,170,321 | $ | 2,572,694 | ||||
| Total liabilities and stockholders’ equity | $ | 16,709,206 | $ | 15,808,542 | ||||
(1) The Company’s Consolidated Statements of Financial Condition include assets of consolidated variable interest entities, or VIEs, that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of September 30, 2026, and December 31, 2025, total assets of consolidated VIEs were $7,046,471 and $9,215,343, respectively, and total liabilities of consolidated VIEs were $4,981,153 and $6,533,891, 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, 2026 | September 30, 2025 | September 30, 2026 | September 30, 2025 | |||||||||||
| Net Interest Income: | ||||||||||||||
Interest income (1) | $ | 230,687 | $ | 209,100 | $ | 671,607 | $ | 601,014 | ||||||
Interest expense (2) | 159,504 | 144,089 | 454,912 | 400,773 | ||||||||||
| Net interest income | 71,183 | 65,011 | 216,695 | 200,241 | ||||||||||
| Increase in provision for credit losses | 6,847 | 2,587 | 16,863 | 10,383 | ||||||||||
| Other income (losses): | ||||||||||||||
| Net unrealized gains (losses) on derivatives | 127,224 | (7,907) | 160,772 | (16,932) | ||||||||||
| Realized gains (losses) on derivatives | 74,901 | 2,015 | 87,298 | (15,857) | ||||||||||
| Periodic interest on derivatives, net | 5,639 | 5,751 | 9,534 | 14,953 | ||||||||||
| Net gains (losses) on derivatives | 207,764 | (141) | 257,604 | (17,836) | ||||||||||
| Investment management and advisory fees | 7,978 | 8,509 | 21,682 | 26,254 | ||||||||||
Interest income from investment in MSR financing receivables, net (3) | 777 | 500 | 3,927 | 500 | ||||||||||
| Net unrealized gains (losses) on financial instruments at fair value | (391,000) | (36,995) | (471,922) | 98,872 | ||||||||||
| Net realized gains (losses) on sales of investments | (26,889) | 1,991 | (76,941) | 76 | ||||||||||
| Gains (losses) on extinguishment of debt | — | — | (41,605) | 2,122 | ||||||||||
| Other investment gains (losses) | 1,063 | 1,945 | 1,382 | 4,481 | ||||||||||
| Gain on origination and sale of loans, net | 11,128 | — | 54,723 | — | ||||||||||
| Total other income (losses) | (189,179) | (24,191) | (251,150) | 114,469 | ||||||||||
| Other expenses: | ||||||||||||||
Compensation and benefits (4) | 23,875 | 13,756 | 75,683 | 38,501 | ||||||||||
| General and administrative expenses | 12,174 | 6,936 | 35,814 | 20,658 | ||||||||||
| Servicing and asset manager fees | 6,164 | 6,991 | 16,117 | 21,726 | ||||||||||
| Depreciation, amortization, and impairment of intangible assets | 5,479 | 948 | 19,203 | 2,850 | ||||||||||
| Transaction expenses | — | 9,931 | 3,305 | 16,009 | ||||||||||
| Total other expenses | 47,692 | 38,562 | 150,122 | 99,744 | ||||||||||
| Income (loss) before income taxes | (172,535) | (329) | (201,440) | 204,583 | ||||||||||
| Income tax expense (benefit) | (306) | 251 | (2,671) | 2,416 | ||||||||||
| Net income (loss) | $ | (172,229) | $ | (580) | $ | (198,769) | $ | 202,167 | ||||||
| Dividends on preferred stock | $ | 21,433 | $ | 21,417 | $ | 63,910 | $ | 64,200 | ||||||
| Net income (loss) available to common shareholders | $ | (193,662) | $ | (21,997) | $ | (262,679) | $ | 137,967 | ||||||
| Net income (loss) per share available to common shareholders: | ||||||||||||||
| Basic | $ | (2.31) | $ | (0.27) | $ | (3.14) | $ | 1.69 | ||||||
| Diluted | $ | (2.31) | $ | (0.27) | $ | (3.14) | $ | 1.67 | ||||||
| Weighted average number of common shares outstanding: | ||||||||||||||
| Basic | 83,870,874 | 81,507,492 | 83,787,100 | 81,435,782 | ||||||||||
| Diluted | 83,870,874 | 81,507,492 | 83,787,100 | 82,696,006 | ||||||||||
(1) Includes interest income of consolidated VIEs of $104,642 and $137,597 for the quarters ended September 30, 2026 and 2025 respectively, and $339,901 and $423,817 for the nine months ended September 30, 2026 and 2025, respectively.
(2) Includes interest expense of consolidated VIEs of $55,287 and $70,387 for the quarters ended September 30, 2026 and 2025 respectively, and $173,765 and $213,076 for the nine months ended September 30, 2026 and 2025, respectively.
(3) Includes interest income from investment in MSR financing receivables of a consolidated VIE of $312 and $363 for the quarter ended September 30, 2026 and 2025, respectively, and $2,162 and $363 for the nine months ended September 30, 2026 and 2025.
(4) Includes a related-party, non-cash imputed compensation expense from the Palisades Acquisition of $302 and $341 for the quarters ended September 30, 2026 and 2025, respectively, and $984 and $1,023 for the nine months ended September 30, 2026 and 2025, respectively.
| CHIMERA INVESTMENT CORPORATION | ||||||||||||||
| CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) | ||||||||||||||
| (dollars in thousands) | ||||||||||||||
| (Unaudited) | ||||||||||||||
| For the Quarters Ended | For the Nine Months Ended | |||||||||||||
| September 30, 2026 | September 30, 2025 | September 30, 2026 | September 30, 2025 | |||||||||||
| Comprehensive income (loss): | ||||||||||||||
| Net income (loss) | $ | (172,229) | $ | (580) | $ | (198,769) | $ | 202,167 | ||||||
| Other comprehensive loss: | ||||||||||||||
| Unrealized gains (losses) on available-for-sale securities, net | (16,139) | (5,059) | (36,590) | (12,073) | ||||||||||
| Reclassification adjustment for net realized losses (gains) included in net income for other-than-temporary credit impairment losses | — | 2,056 | 3,140 | 2,056 | ||||||||||
| Other comprehensive loss | $ | (16,139) | $ | (3,003) | $ | (33,450) | $ | (10,017) | ||||||
| Comprehensive income (loss) before preferred stock dividends | $ | (188,368) | $ | (3,583) | $ | (232,219) | $ | 192,150 | ||||||
| Dividends on preferred stock | $ | 21,433 | $ | 21,417 | $ | 63,910 | $ | 64,200 | ||||||
| Comprehensive income (loss) available to common stock shareholders | $ | (209,801) | $ | (25,000) | $ | (296,129) | $ | 127,950 | ||||||
Earnings available for distribution
Earnings available for distribution (“EAD”) is a non-GAAP measure and is defined as GAAP net income (loss) excluding: (i) Net unrealized gains (losses) on financial instruments at fair value; (ii) Net realized gains (losses) on sales of investments; (iii) Gains (losses) on extinguishment of debt; (iv) Increase in provision for credit losses; (v) Net unrealized gains (losses) on derivatives; (vi) Realized gains (losses) on derivatives; (vii) Transaction expenses; (viii) stock compensation expenses for retirement eligible awards; (ix) Depreciation, amortization, and impairment of intangible assets, net of any tax impact; (x) non-cash imputed compensation expense related to business acquisitions; and (xi) Other investment gains (losses).
Non-cash imputed compensation expense reflects the portion of the consideration paid in the Palisades Acquisition that pursuant to the sellers’ contractual arrangements is distributable to the sellers’ legacy employees (who are now our employees) and that for GAAP purposes is recorded as non-cash imputed compensation expense with an offsetting entry recorded as a non-cash contribution from a related party to stockholders’ equity. The excluded amounts do not include any normal, recurring compensation paid to our employees.
Transaction expenses are primarily comprised of costs only incurred at the time of execution of our securitizations, certain structured secured financing agreements, and business combination transactions, and include costs such as underwriting fees, legal fees, diligence fees, accounting fees, bank fees, and other similar transaction-related expenses. These costs are incurred prior to or at the execution of the transaction and do not recur thereafter. Recurring expenses, such as servicing fees, custodial fees, trustee fees, and other similar ongoing fees, are not excluded from EAD. We believe that excluding these costs is useful to investors because it is generally consistent with the treatment applied by our peer group in their non-GAAP measure presentations, 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 issuance costs prior to the fair value election option made by us. We also believe it is important for investors to review EAD as it is consistent with how management internally evaluates the performance of the Company. Stock compensation expense charges incurred on awards to retirement eligible employees is reflected as an expense over a vesting period (generally 36 months) rather than reported as an immediate expense.
We may hold long and/or short positions in TBA securities through transactions commonly referred to as “dollar roll” transactions. Under U.S. GAAP, these transactions are accounted for as derivatives and are carried at fair value. Changes in the fair value of TBA positions consist of two components: (i) drop income (expense) and (ii) mark-to-market adjustments. For financial statement presentation purposes, drop income (expense) is reported within Periodic interest on derivatives, net, while mark-to-market adjustments are reported within Net unrealized gains (losses) on derivatives. Together with any realized gains and losses, these amounts are included in Net gains (losses) on derivatives in our Consolidated Statements of Operations. Management includes drop income (expense) in EAD because it views drop income (expense) as the economic equivalent of net interest income on the underlying Agency securities, reflecting the difference between the implied interest earned and the implied financing cost over the period from trade date to settlement date. This treatment is consistent with how management evaluates the Company’s investment performance and how we believe our investors analyze our investment performance.
We view EAD as one measure of our investment portfolio's ability to generate income for distribution to common stockholders. EAD is one of the metrics, but not the exclusive metric, that our Board of Directors considers when determining the amount, if any, of dividends on our common stock. Other metrics that our Board of Directors may consider when determining the amount, if any, of dividends on our common stock include, among others, REIT taxable income, dividend yield, book value, cash generated from the portfolio, reinvestment opportunities, and other cash needs. To maintain our qualification as a REIT, U.S. federal income tax law generally requires that we distribute at least 90% of our REIT taxable income (subject to certain adjustments) annually. EAD is different from REIT taxable income. For example, differences between EAD and REIT taxable income may result from whether the REIT uses mark-to-market accounting for GAAP purposes, accretion of market discount or OID and amortization of premium, and differences in the treatment of securitizations for GAAP and tax purposes, among other items. Further, REIT taxable income generally does not include earnings of our domestic taxable REIT subsidiaries (“TRSs”) unless such income is distributed from current or accumulated earnings and profits. The determination of whether we have met the requirement to distribute at least 90% of our annual REIT taxable income is not based on EAD, and EAD should not be considered as an indication of our REIT taxable income, a guarantee of our ability to pay dividends, or a proxy for the amount of dividends we may pay. We believe EAD helps us and investors evaluate our financial performance period over period without the impact of certain non-recurring transactions. EAD should not be viewed in isolation and is not a substitute for, or superior to, net income (loss) or net income (loss) per basic share computed in accordance with GAAP. In addition, our methodology for calculating EAD may differ from the methodologies employed by other REITs to calculate the same or similar supplemental performance measures, and accordingly, our EAD may not be comparable to the EAD 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.
| For the Quarters Ended | |||||||||||||||||
| September 30, 2026 | June 30, 2026 | March 31, 2026 | December 31, 2025 | September 30, 2025 | |||||||||||||
| (dollars in thousands, except per share data) | |||||||||||||||||
| GAAP net income (loss) available to common stockholders | $ | (193,662) | $ | (4,012) | $ | (65,007) | $ | 6,501 | $ | (21,997) | |||||||
Adjustments (1): | |||||||||||||||||
| Net unrealized (gains) losses on financial instruments at fair value | 391,000 | 43,386 | 37,536 | 17,138 | 36,995 | ||||||||||||
| Net realized (gains) losses on sales of investments | 26,889 | 9,623 | 40,428 | 23,268 | (1,991) | ||||||||||||
| Gain (loss) on extinguishment of debt | — | 2,748 | 38,858 | (20) | — | ||||||||||||
| Increase in provision for credit losses | 6,847 | 7,192 | 2,824 | 5,322 | 2,587 | ||||||||||||
| Net unrealized (gains) losses on derivatives | (127,224) | (15,398) | (18,150) | (27,303) | 7,907 | ||||||||||||
| Realized (gains) losses on derivatives | (74,901) | (9,527) | (2,870) | 17,495 | (2,015) | ||||||||||||
| Transaction expenses | — | 3,207 | 98 | 625 | 9,931 | ||||||||||||
| Stock Compensation expense for retirement eligible awards | (515) | (510) | 2,023 | (449) | (506) | ||||||||||||
Depreciation, amortization, and impairment expense (2) | 5,479 | 4,076 | 9,649 | 4,332 | 948 | ||||||||||||
HomeXpress acquisition intangible amortization tax impact (3) | (850) | (850) | (863) | (837) | — | ||||||||||||
| Non-cash imputed compensation related to business acquisition | 302 | 341 | 341 | 341 | 341 | ||||||||||||
| Other investment (gains) losses | (1,063) | (1,229) | 910 | (1,252) | (1,945) | ||||||||||||
| Earnings available for distribution | $ | 32,302 | $ | 39,047 | $ | 45,777 | $ | 45,161 | $ | 30,255 | |||||||
| GAAP net income (loss) per diluted common share | $ | (2.31) | $ | (0.05) | $ | (0.78) | $ | 0.08 | $ | (0.27) | |||||||
| Earnings available for distribution per adjusted diluted common share | $ | 0.38 | $ | 0.46 | $ | 0.54 | $ | 0.53 | $ | 0.37 | |||||||
(1) As a result of the business combinations, we updated the determination of earnings available for distribution to exclude non-recurring acquisition-related transaction expenses, non-cash amortization of intangibles and depreciation expenses, and non-cash imputed compensation expenses. These expenses are excluded as they relate to our business combinations and are not directly related to our income-generating activities.
(2) Non-cash amortization of intangibles, depreciation, and impairment expense related to acquisitions.
(3) Tax impact on non-cash amortization of intangibles and depreciation expenses related to business combinations.
At September 30, 2026, the Company’s reportable segments include (i) Investment Portfolio and (ii) Residential Origination. The Investment Portfolio segment consists of our investment and third-party advisory services activities, as well as the purchase and aggregation of LHFS from HomeXpress and third-party mortgage originators for future securitizations. The Residential Origination segment consists of the stand-alone mortgage origination business of HomeXpress that originates Non-QM residential mortgage loans (both consumer loans and Investor Loans), and other Non-Agency and Agency mortgage loan products. The segment information presented below reflects the Company’s current reportable segment structure.
Segment Results of Operations
The following tables present, for each reportable segment, revenues, the measure of segment profit or loss, and significant segment expenses that are regularly reviewed by the Chief Operating Decision Maker (“CODM”). Segment results are prepared on the same basis as the Company’s consolidated financial statements and are reconciled to consolidated amounts below:
| For the Quarters Ended | ||||||||||||||||||||||||||||||||||||||
September 30, 2026 | June 30, 2026 | |||||||||||||||||||||||||||||||||||||
| (dollars in thousands) | ||||||||||||||||||||||||||||||||||||||
| Investment Portfolio | Residential Origination | Total | Investment Portfolio | Residential Origination | Total | |||||||||||||||||||||||||||||||||
| Net interest income: | ||||||||||||||||||||||||||||||||||||||
| Interest income | $ | 214,131 | $ | 16,556 | $ | 230,687 | $ | 206,910 | $ | 14,715 | $ | 221,625 | ||||||||||||||||||||||||||
| Interest expense | 147,630 | 11,874 | 159,504 | 140,205 | 10,911 | 151,116 | ||||||||||||||||||||||||||||||||
| Net interest income | 66,501 | 4,682 | 71,183 | 66,705 | 3,804 | 70,509 | ||||||||||||||||||||||||||||||||
| Increase in provision for credit losses | 6,847 | — | 6,847 | 7,192 | — | 7,192 | ||||||||||||||||||||||||||||||||
| Other income (losses): | ||||||||||||||||||||||||||||||||||||||
| Net unrealized gains (losses) on derivatives | 127,224 | — | 127,224 | 15,398 | — | 15,398 | ||||||||||||||||||||||||||||||||
| Realized gains (losses) on derivatives | 74,901 | — | 74,901 | 9,527 | — | 9,527 | ||||||||||||||||||||||||||||||||
| Periodic interest on derivatives, net | 5,639 | — | 5,639 | 2,061 | — | 2,061 | ||||||||||||||||||||||||||||||||
| Net gains (losses) on derivatives | 207,764 | — | 207,764 | 26,986 | — | 26,986 | ||||||||||||||||||||||||||||||||
| Investment management and advisory fees | 7,978 | — | 7,978 | 6,540 | — | 6,540 | ||||||||||||||||||||||||||||||||
| Interest income from investment in MSR financing receivables, net | 777 | — | 777 | 838 | — | 838 | ||||||||||||||||||||||||||||||||
| Net unrealized gains (losses) on financial instruments at fair value | (391,000) | — | (391,000) | (43,386) | — | (43,386) | ||||||||||||||||||||||||||||||||
| Net realized losses on sales of investments | (26,889) | — | (26,889) | (9,623) | — | (9,623) | ||||||||||||||||||||||||||||||||
| Gains (losses) on extinguishment of debt | — | — | — | (2,748) | — | (2,748) | ||||||||||||||||||||||||||||||||
| Other investment gains (losses) | 1,063 | — | 1,063 | 1,229 | — | 1,229 | ||||||||||||||||||||||||||||||||
| Gain on origination and sale of loans, net | 176 | 10,952 | 11,128 | (68) | 22,278 | 22,210 | ||||||||||||||||||||||||||||||||
| Total other income (losses) | (200,131) | 10,952 | (189,179) | (20,232) | 22,278 | 2,046 | ||||||||||||||||||||||||||||||||
| Other expenses: | ||||||||||||||||||||||||||||||||||||||
| Compensation and benefits | 11,402 | 12,473 | 23,875 | 13,223 | 11,879 | 25,102 | ||||||||||||||||||||||||||||||||
| General and administrative expenses | 9,452 | 2,722 | 12,174 | 9,027 | 2,452 | 11,479 | ||||||||||||||||||||||||||||||||
| Servicing and asset manager fees | 6,164 | — | 6,164 | 4,431 | — | 4,431 | ||||||||||||||||||||||||||||||||
| Depreciation, amortization, and impairment expense | 2,048 | 3,431 | 5,479 | 644 | 3,432 | 4,076 | ||||||||||||||||||||||||||||||||
| Transaction expenses | — | — | — | 3,207 | — | 3,207 | ||||||||||||||||||||||||||||||||
| Total other expenses | 29,066 | 18,626 | 47,692 | 30,532 | 17,763 | 48,295 | ||||||||||||||||||||||||||||||||
| Income (loss) before income taxes | (169,543) | (2,992) | (172,535) | 8,749 | 8,319 | 17,068 | ||||||||||||||||||||||||||||||||
| Income tax (benefit) expense | 254 | (560) | (306) | 47 | (348) | (301) | ||||||||||||||||||||||||||||||||
| Net income (loss) | (169,797) | (2,432) | (172,229) | 8,702 | 8,667 | 17,369 | ||||||||||||||||||||||||||||||||
| Dividends on preferred stock | 21,433 | — | 21,433 | 21,381 | — | 21,381 | ||||||||||||||||||||||||||||||||
| Net income (loss) available to common shareholders | $ | (191,230) | $ | (2,432) | $ | (193,662) | $ | (12,679) | $ | 8,667 | $ | (4,012) | ||||||||||||||||||||||||||
Investment Portfolio Segment
The following tables provide a summary of the Company’s MBS portfolio, within our Investment Portfolio Segment, at September 30, 2026 and December 31, 2025.
| September 30, 2026 | |||||||||||||||||
| 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 | $ | 816,412 | $ | 41.09 | $ | 54.25 | 5.7 | % | 21.8 | % | |||||||
| Subordinated | 382,975 | 45.06 | 46.44 | 3.8 | % | 9.2 | % | ||||||||||
| Interest-only | 2,282,171 | 6.13 | 2.32 | 0.8 | % | 3.3 | % | ||||||||||
| Agency RMBS | |||||||||||||||||
| Pass-through | 5,739,072 | 100.65 | 96.33 | 5.6 | % | 5.4 | % | ||||||||||
| Agency CMBS | |||||||||||||||||
| ACMBS bond | 17,905 | 97.77 | 92.42 | 4.1 | % | 4.4 | % | ||||||||||
(1) Bond Equivalent Yield at period end.
| December 31, 2025 | |||||||||||||||||
| Principal or Notional Value at Period-End (dollars in thousands) | Weighted Average Amortized Cost Basis | Weighted Average Fair Value | Weighted Average Coupon | Weighted Average Yield at Period-End (1) | |||||||||||||
| Non-Agency RMBS | |||||||||||||||||
| Senior | $ | 852,887 | $ | 42.78 | $ | 59.21 | 5.7 | % | 20.3 | % | |||||||
| Subordinated | 453,269 | 48.99 | 51.47 | 4.2 | % | 9.3 | % | ||||||||||
| Interest-only | 2,428,976 | 6.03 | 3.25 | 0.8 | % | 4.4 | % | ||||||||||
| Agency RMBS | |||||||||||||||||
| Pass-through | 3,096,299 | 97.79 | 99.52 | 5.0 | % | 5.3 | % | ||||||||||
CMO | 330,871 | 99.94 | 100.31 | 5.1 | % | 5.1 | % | ||||||||||
Interest-only | 367,866 | 5.07 | 4.04 | 0.6 | % | 6.5 | % | ||||||||||
| Agency CMBS | |||||||||||||||||
| Project loans | 39,693 | 101.52 | 81.98 | 3.4 | % | 3.3 | % | ||||||||||
| Interest-only | 123,375 | 2.67 | 2.11 | 0.7 | % | 13.0 | % | ||||||||||
(1) Bond Equivalent Yield at period end.
At September 30, 2026 and December 31, 2025, the Company’s secured financing agreements collateralized by MBS, Loans held for investment, and LHFS had the following remaining maturities and borrowing rates.
| September 30, 2026 | December 31, 2025 | ||||||||||||||||||||||
| (dollars in thousands) | |||||||||||||||||||||||
Principal (1) | Weighted Average Borrowing Rates | Range of Borrowing Rates | Principal (1) | Weighted Average Borrowing Rates | Range of Borrowing Rates | ||||||||||||||||||
| Overnight | $ | — | N/A | N/A | $ | — | N/A | N/A | |||||||||||||||
| 1 to 29 days | 4,929,563 | 4.18% | 3.80% - 6.65% | 2,630,804 | 4.15% | 3.93% - 6.76% | |||||||||||||||||
| 30 to 59 days | 1,622,196 | 4.26% | 3.85% - 6.65% | 781,654 | 4.86% | 3.94% - 6.54% | |||||||||||||||||
| 60 to 89 days | 123,902 | 5.59% | 4.90% - 6.65% | 722,995 | 4.75% | 3.90% - 6.54% | |||||||||||||||||
| 90 to 119 days | 64,174 | 6.09% | 4.79% - 6.65% | 263,081 | 6.78% | 5.37% - 6.97% | |||||||||||||||||
| 120 to 180 days | 778,594 | 6.97% | 4.84% - 8.15% | 96,153 | 5.47% | 5.36% - 6.54% | |||||||||||||||||
| 180 days to 1 year | 483,694 | 5.66% | 5.15% - 6.90% | 810,443 | 6.03% | 4.77% - 8.38% | |||||||||||||||||
| 1 to 2 years | 633,906 | 5.95% | 4.97% - 7.25% | 733,206 | 6.79% | 4.98% - 8.15% | |||||||||||||||||
| Total | $ | 8,636,029 | 4.69% | $ | 6,038,336 | 5.02% | |||||||||||||||||
Investment Portfolio Segment
| September 30, 2026 | December 31, 2025 | September 30, 2026 | December 31, 2025 | ||||||||||||||
| Portfolio Composition | Amortized Cost | Fair Value | |||||||||||||||
| Non-Agency RMBS | 4.6 | % | 5.5 | % | 4.6 | % | 5.8 | % | |||||||||
| Senior | 2.6 | % | 2.9 | % | 3.0 | % | 3.6 | % | |||||||||
| Subordinated | 1.1 | % | 1.6 | % | 1.2 | % | 1.6 | % | |||||||||
| Interest-only | 0.9 | % | 1.0 | % | 0.4 | % | 0.6 | % | |||||||||
| Agency RMBS | 37.6 | % | 24.1 | % | 37.4 | % | 24.2 | % | |||||||||
| Pass-through | 37.6 | % | 21.6 | % | 37.4 | % | 21.8 | % | |||||||||
| CMO | N/A | 2.4 | % | N/A | 2.3 | % | |||||||||||
| Interest-only | N/A | 0.1 | % | N/A | 0.1 | % | |||||||||||
| Agency CMBS | 0.1 | % | 0.3 | % | 0.1 | % | 0.2 | % | |||||||||
| ACMBS bond | 0.1 | % | N/A | 0.1 | % | N/A | |||||||||||
| Project loans | N/A | 0.3 | % | N/A | 0.2 | % | |||||||||||
| Interest-only | N/A | 0.0 | % | N/A | 0.1 | % | |||||||||||
| Loans held for investment | 50.2 | % | 69.8 | % | 50.3 | % | 69.5 | % | |||||||||
| Loans held for sale | 7.1 | % | N/A | 7.4 | % | N/A | |||||||||||
| Interests in MSR financing receivables | 0.3 | % | 0.3 | % | 0.3 | % | 0.3 | % | |||||||||
| Fixed-rate percentage of portfolio | 97.8 | % | 86.5 | % | 98.0 | % | 86.1 | % | |||||||||
| Adjustable-rate percentage of portfolio | 2.2 | % | 13.5 | % | 2.0 | % | 13.9 | % | |||||||||
The following table summarizes certain characteristics of our consolidated assets and liabilities at September 30, 2026 and December 31, 2025.
| September 30, 2026 | December 31, 2025 | |||||||
| (dollars in thousands) | ||||||||
Interest earning assets at period-end (1) | $ | 15,652,219 | $ | 15,017,791 | ||||
| Interest bearing liabilities at period-end | $ | 14,013,005 | $ | 13,070,591 | ||||
| GAAP Leverage at period-end | 6.5:1 | 5.1:1 | ||||||
| GAAP Leverage at period-end (recourse) | 4.1:1 | 2.4:1 | ||||||
Economic Net Interest Income - Investment Portfolio Segment
Economic net interest income of our Investment Portfolio segment is a non-GAAP financial measure that equals GAAP net interest income adjusted for net periodic interest on derivatives, interest income from our Residential Origination segment and interest income from investment in MSR financing receivables, and excludes interest earned on cash and interest expense from our Residential Origination segment. For the purpose of computing economic net interest income and ratios relating to cost of funds measures throughout this section, interest expense includes net payments on our derivatives, which is presented as a part of Net gains (losses) on derivatives in our Consolidated Statements of Operations. Interest rate swaps, interest rate caps and swap futures are used to manage the increase in interest paid on secured financing agreements in a rising rate environment. Presenting the net contractual interest payments on interest rate derivatives with the interest paid on interest-bearing liabilities reflects our total contractual interest payments. We believe this presentation is useful to investors because it depicts the economic value of our investment strategy by showing all components of interest expense and net interest income of our investment portfolio. However, Economic net interest income should not be viewed in isolation and is not a substitute for net interest income computed in accordance with GAAP. Where indicated, interest expense, adjusting for any interest earned on cash, is referred to as Economic interest expense. Where indicated, net interest income reflecting net periodic interest on derivatives and any interest earned on cash, is referred to as Economic net interest income.
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.
| GAAP Interest Income | Interest Income on Mortgage Loan Origination | Other (1) | Economic Interest Income | GAAP Interest Expense | Periodic Interest On Derivatives, net & Interest Expense on Mortgage Loan Origination | Economic Interest Expense | GAAP Net Interest Income | Periodic Interest On Derivatives, net | Other (1) | Net Interest Income on Mortgage Loan Origination | Economic Net Interest Income | |||||||||||||||||||||||||||||||||
| For the Quarter Ended September 30, 2026 | $ | 230,687 | $ | (16,235) | $ | (3,019) | $ | 211,433 | $ | 159,504 | $ | (17,513) | $ | 141,991 | $ | 71,183 | $ | 5,639 | $ | (3,019) | $ | (4,361) | $ | 69,442 | ||||||||||||||||||||
| For the Quarter Ended June 30, 2026 | $ | 221,625 | $ | (14,420) | $ | (2,772) | $ | 204,433 | $ | 151,116 | $ | (12,972) | $ | 138,144 | $ | 70,509 | $ | 2,061 | $ | (2,772) | $ | (3,509) | $ | 66,289 | ||||||||||||||||||||
| For the Quarter Ended March 31, 2026 | $ | 219,295 | $ | (13,706) | $ | (472) | $ | 205,117 | $ | 144,293 | $ | (11,958) | $ | 132,335 | $ | 75,002 | $ | 1,834 | $ | (472) | $ | (3,582) | $ | 72,782 | ||||||||||||||||||||
| For the Quarter Ended December 31, 2025 | $ | 220,328 | $ | (12,355) | $ | (3,540) | $ | 204,433 | $ | 154,150 | $ | (15,101) | $ | 139,049 | $ | 66,178 | $ | 5,422 | $ | (3,540) | $ | (2,676) | $ | 65,384 | ||||||||||||||||||||
| For the Quarter Ended September 30, 2025 | $ | 209,100 | $ | — | $ | (2,204) | $ | 206,896 | $ | 144,089 | $ | (5,751) | $ | 138,338 | $ | 65,011 | $ | 5,751 | $ | (2,204) | $ | — | $ | 68,558 | ||||||||||||||||||||
(1) Primarily interest income on cash and cash equivalents from our Investment Portfolio and Residential Origination segments and interest income from investment in MSR financing receivables.
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 Quarters Ended | |||||||||||||||||||||||
| September 30, 2026 | June 30, 2026 | ||||||||||||||||||||||
| (dollars in thousands) | (dollars in thousands) | ||||||||||||||||||||||
| Average Balance | Interest | Average Yield/Cost | Average Balance | Interest | Average Yield/Cost | ||||||||||||||||||
| Assets: | |||||||||||||||||||||||
Interest-earning assets (1)(4): | |||||||||||||||||||||||
Agency RMBS (3) | $ | 5,530,592 | $ | 75,611 | 5.5 | % | $ | 5,005,152 | $ | 68,137 | 5.3 | % | |||||||||||
Agency CMBS (6) | 17,502 | 192 | 4.4 | % | 38,544 | 899 | 9.3 | % | |||||||||||||||
Non-Agency RMBS (3) | 658,950 | 21,756 | 13.1 | % | 677,333 | 23,230 | 13.7 | % | |||||||||||||||
| Loans held for investment | 7,832,648 | 106,574 | 5.4 | % | 8,102,064 | 110,291 | 5.4 | % | |||||||||||||||
Loans held for sale (3) | 371,504 | 6,523 | 7.0 | % | 56,982 | 1,038 | 7.3 | % | |||||||||||||||
MSR (5) | 38,221 | 777 | 8.1 | % | 38,221 | 838 | 8.8 | % | |||||||||||||||
| Total | $ | 14,449,417 | $ | 211,433 | 5.9 | % | $ | 13,918,296 | $ | 204,433 | 5.9 | % | |||||||||||
| Liabilities and stockholders’ equity: | |||||||||||||||||||||||
Interest-bearing liabilities (2)(4): | |||||||||||||||||||||||
| Secured financing agreements collateralized by: | |||||||||||||||||||||||
Agency RMBS (3) | $ | 5,372,564 | $ | 50,407 | 4.1 | % | $ | 4,843,317 | $ | 47,147 | 3.9 | % | |||||||||||
| Agency CMBS | 16,490 | 161 | 3.9 | % | 31,732 | 351 | 4.4 | % | |||||||||||||||
Non-Agency RMBS (3) | 391,782 | 5,244 | 5.4 | % | 412,063 | 5,296 | 5.1 | % | |||||||||||||||
| Loans held for investment | 1,297,903 | 18,819 | 5.8 | % | 1,393,527 | 22,467 | 6.4 | % | |||||||||||||||
Loans held for sale (3) | 342,404 | 4,524 | 5.3 | % | 52,630 | 686 | 5.2 | % | |||||||||||||||
| Securitized debt | 5,615,398 | 56,471 | 4.0 | % | 5,741,507 | 55,832 | 3.9 | % | |||||||||||||||
| Long term debt | 259,750 | 6,365 | 9.8 | % | 259,750 | 6,365 | 9.8 | % | |||||||||||||||
| Total | $ | 13,296,291 | $ | 141,991 | 4.3 | % | $ | 12,734,526 | $ | 138,144 | 4.3 | % | |||||||||||
| Economic net interest income/net interest rate spread | $ | 69,442 | 1.6 | % | $ | 66,289 | 1.6 | % | |||||||||||||||
| Net interest-earning assets/net interest margin | $ | 1,153,126 | 1.9 | % | $ | 1,183,770 | 1.9 | % | |||||||||||||||
| Ratio of interest-earning assets to interest bearing liabilities | 1.09 | 1.09 | |||||||||||||||||||||
| (1) Interest-earning assets at amortized cost. | |||||||||||||||||||||||
| (2) Interest includes periodic interest on derivatives, net. | |||||||||||||||||||||||
| (3) These amounts have been adjusted to reflect the daily outstanding averages for which the financial instruments were held during the period. | |||||||||||||||||||||||
(4) This table excludes interest-earning assets and interest-bearing liabilities of our Residential Origination segment. Our Residential Origination segment includes average interest-earning assets of $891 million, average interest-bearing liabilities of $824 million, interest income of $17 million, interest expense of $12 million, and net interest income of $5 million. | |||||||||||||||||||||||
| (5) The average balance amount represents committed capital by us during the period. | |||||||||||||||||||||||
| (6) Average Yield includes the receipt of one-time extension fee received during the second quarter. | |||||||||||||||||||||||
The table below shows our Net income (loss) 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, and Average Tangible Common 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. Tangible Common Equity is a non-GAAP measure and is defined below.
| Return on Average Equity | Economic Net Interest Income/Average Equity (1) | Earnings available for distribution/Average Common Equity | Earnings available for distribution/Average Tangible Common Equity | |||||||||||
| (Ratios have been annualized) | ||||||||||||||
| For the Quarter Ended September 30, 2026 | (30.04) | % | 13.91 | % | 9.48 | % | 11.05 | % | ||||||
| For the Quarter Ended June 30, 2026 | 2.85 | % | 12.35 | % | 10.35 | % | 11.91 | % | ||||||
| For the Quarter Ended March 31, 2026 | (6.97) | % | 13.03 | % | 11.53 | % | 13.24 | % | ||||||
| For the Quarter Ended December 31, 2025 | 4.41 | % | 10.75 | % | 11.00 | % | 11.91 | % | ||||||
| For the Quarter Ended September 30, 2025 | (0.09) | % | 10.56 | % | 7.26 | % | 7.44 | % | ||||||
(1) Represents our Economic Net Interest Income and Average equity on our Investment Portfolio segment.
Tangible Common Equity is a non-GAAP measure and is defined as Total stockholders' equity available to common stockholders less intangible assets and goodwill related to the business acquisitions. We believe that this measure helps our management and investors understand our capital adequacy and changes from period to period in our common stockholders' equity exclusive of changes of intangible assets. The following table presents a reconciliation of Total Stockholders’ Equity to Tangible Common Equity as of the following periods.
| As of | |||||||||||||||||
| September 30, 2026 | June 30, 2026 | March 31, 2026 | December 31, 2025 | September 30, 2025 | |||||||||||||
| (dollars in thousands, except share and per share data) | |||||||||||||||||
| Total stockholders' equity | $ | 2,170,321 | $ | 2,415,626 | $ | 2,463,759 | $ | 2,572,694 | $ | 2,571,238 | |||||||
| Less: Liquidation Preference on Preferred Stock | (930,000) | (930,000) | (930,000) | (930,000) | (930,000) | ||||||||||||
| Total stockholders' equity available to common stockholders | $ | 1,240,321 | $ | 1,485,626 | $ | 1,533,759 | $ | 1,642,694 | $ | 1,641,238 | |||||||
| Less: Intangibles | (95,535) | (100,850) | (104,760) | (114,246) | (18,124) | ||||||||||||
| Less: Goodwill | (95,342) | (95,342) | (95,342) | (95,342) | (22,152) | ||||||||||||
| Total Intangibles & Goodwill | (190,877) | (196,192) | (200,102) | (209,588) | (40,276) | ||||||||||||
| Tangible Common Equity | $ | 1,049,444 | $ | 1,289,434 | $ | 1,333,657 | $ | 1,433,106 | $ | 1,600,962 | |||||||
Investment Portfolio Segment
The following table presents changes to Accretable Discount (net of premiums) as it pertains to our Non-Agency RMBS portfolio, excluding premiums on interest-only investments, during the previous five quarters on our investment portfolio segment.
| For the Quarters Ended | |||||||||||||||||
| (dollars in thousands) | |||||||||||||||||
| Accretable Discount (Net of Premiums) | September 30, 2026 | June 30, 2026 | March 31, 2026 | December 31, 2025 | September 30, 2025 | ||||||||||||
| Balance, beginning of period | $ | 56,913 | $ | 59,964 | $ | 79,422 | $ | 89,297 | $ | 108,412 | |||||||
| Accretion of discount | (6,168) | (8,774) | (9,756) | (8,795) | (10,803) | ||||||||||||
| Purchases | — | — | — | — | — | ||||||||||||
| Sales | 200 | (58) | (7,241) | (4,224) | (10,786) | ||||||||||||
| Elimination in consolidation | — | — | — | — | — | ||||||||||||
| Transfers from/(to) credit reserve, net | 6,304 | 5,781 | (2,460) | 3,144 | 2,474 | ||||||||||||
| Balance, end of period | $ | 57,249 | $ | 56,913 | $ | 59,964 | $ | 79,422 | $ | 89,297 | |||||||
Residential Origination Segment
•NET LOSS OF $2 MILLION FOR THE QUARTER ENDED SEPTEMBER 30, 2026.
•EBTDA OF $439 THOUSAND FOR THE QUARTER ENDED SEPTEMBER 30, 2026.
•FUNDED PRODUCTION VOLUME OF $1.1 BILLION FOR THE QUARTER ENDED SEPTEMBER 30, 2026.
Earnings Before Taxes, Depreciation and Amortization
In managing our Residential Origination segment, management additionally uses Earnings Before Taxes, Depreciation and Amortization, or EBTDA, a non-GAAP measure, as a supplemental performance measure to evaluate the underlying operating efficiency and scalability of the business. EBTDA is defined as GAAP Net Income of the Residential Origination Segment, adjusted for federal and state tax provisions; and non-cash items such as intangibles amortization and depreciation. In our current model where we sell all the loans we originate and purchase from correspondents on a servicing-released basis, the economics are driven by origination income and loan sale activity, net and personnel-based costs. EBTDA helps isolate core operating results by excluding the effects of capital structure, non-cash depreciation and amortization, and tax attributes that can vary period to period. This measure allows management to assess margin performance, expense discipline, and incremental profitability as loan volumes fluctuate, and supports internal decision-making related to staffing levels, compensation structures, and growth initiatives. We believe this presentation is useful to investors because it provides investors with important information concerning the operating performance of our Residential Origination Segment exclusive of certain non-cash and other costs. However, EBTDA should not be viewed in isolation and is not a substitute for net income computed in accordance with GAAP.
The following table provides a reconciliation from GAAP net income to common stockholders for our residential origination segment to a non-GAAP measure of EBTDA for the period presented.
| For the Quarter Ended | |||||
| September 30, 2026 | |||||
| (dollars in thousands) | |||||
| Residential Origination | |||||
| Net income (loss) available to common shareholders | $ | (2,432) | |||
| Adjustments: | |||||
| Income tax expense (benefit) | (560) | ||||
| Amortization of intangibles and depreciation expenses | 3,431 | ||||
| Earnings Before Taxes, Depreciation and Amortization | $ | 439 | |||
Disclaimer
In this press release references to “we,” “us,” “our,” “Chimera,” or “the Company” refer to Chimera Investment Corporation and its subsidiaries unless specifically stated otherwise or the context otherwise indicates. This press release includes “forward-looking statements” within the meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act of 1995. Actual results may differ from expectations, estimates and projections and, consequently, readers should not rely on these forward-looking statements as predictions of future events. Words such as “goal,” “expect,” “target,” “assume,” “estimate,” “project,” “budget,” “forecast,” “anticipate,” “intend,” “plan,” “may,” “would,” “will,” “could,” “should,” “believe,” “predict,” “potential,” “continue,” or similar expressions are intended to identify such forward-looking statements. These forward-looking statements involve significant risks and uncertainties that could cause actual results to differ materially from expected results, including, among other things, those described in our most recent Annual Report on Form 10-K, and any subsequent Quarterly Reports on Form 10-Q and Current Reports on Form 8-K, under the caption “Risk Factors.” Factors that could cause actual results to differ include, but are not limited to: our ability to obtain funding on favorable terms and access the capital markets; our ability to achieve optimal levels of leverage and effectively manage our liquidity; changes in inflation, the yield curve, interest rates, including the resumption of Federal Reserve monetary tightening, and mortgage prepayment rates; our ability to manage credit risk related to our investments and comply with the Dodd-Frank Act and related laws and regulations relating to credit risk retention for securitizations; rates of default, delinquencies, forbearance, deferred payments or decreased recovery rates on our investments; the concentration of properties securing our securities and residential loans in a small number of geographic areas; our ability to execute on our business and investment strategy; our ability to determine accurately the fair market value of our assets; changes in our industry, the general economy or geopolitical conditions, including the ongoing conflicts involving the U.S. in the Middle East; our ability to successfully integrate and realize the anticipated benefits of any acquisitions, including the acquisition of HomeXpress; our ability to originate or acquire quality and profitable loans at an appropriate and consistent cost; our ability to sell the loans that we originate or acquire; our ability to refinance or obtain additional liquidity for borrowing; our ability to manage, maintain and expand our relationships with our clients, the independent mortgage brokers and bankers; our ability to operate our investment management and advisory services and manage any regulatory rules and conflicts of interest; the degree to which our hedging strategies may or may not be effective; our ability to effect our strategy to securitize residential mortgage loans; our ability to compete with competitors and source target assets at attractive prices; the ability of servicers and other third parties to perform their services at a high level and comply with applicable law and expanding regulations; our dependence on information technology and its susceptibility to cyber-attacks; the development, proliferation and use of artificial intelligence; our ability to find and retain qualified executive officers and key personnel; our ability to comply with extensive government regulation, including, but not limited to, federal and state consumer lending regulations; the impact of and changes in governmental regulations, tax law and rates, accounting guidance, refinancing and borrowing guidelines and similar matters; our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended; our ability to maintain our classification as a real estate investment trust for U.S. federal income tax purposes; the volatility of the market price and trading volume of our shares; and our ability to make distributions to our stockholders in the future.
Readers are cautioned not to place undue reliance upon any forward-looking statements, which speak only as of the date made. Chimera does not undertake or accept any obligation to release publicly any updates or revisions to any forward-looking statement to reflect any change in its expectations or any change in events, conditions or circumstances on which any such statement is based. Additional information concerning these and other risk factors is contained in Chimera’s most recent filings with the Securities and Exchange Commission (SEC). All subsequent written and oral forward-looking statements concerning Chimera or matters attributable to Chimera or any person acting on its behalf are expressly qualified in their entirety by the cautionary statements above.
Readers are advised that any financial information in this press release is based on Company data available at the time of this press release and, in certain circumstances, may not have been audited by Chimera’s independent auditors.
Q 3 2 0 2 6 | I N V E S T O R P R E S E N T A T I O N N o v e m b e r 5 , 2 0 2 6 RESIDENTIAL FOCUS | D IVERSIFIED INCOME #5B7875 #AC7F00 #928579 #508BCC #91ABA9 #BFBFBF #E1D49F #5D6F81
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . Disclaimer 2 In this presentation references to “we,” “us,” “our,” “Chimera,” or “the Company” refer to Chimera Investment Corporation and its subsidiaries unless specifically stated otherwise or the context otherwise indicates. 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,” “would,” “will,” “could,” “should,” “believe,” “predict,” “potential,” “continue,” or similar expressions are intended to identify such forward-looking statements. These forward-looking statements involve significant risks and uncertainties that could cause actual results to differ materially from expected results, including, among other things, those described in our most recent Annual Report on Form 10-K, and any subsequent Quarterly Reports on Form 10-Q and Current Reports on Form 8-K, under the caption “Risk Factors.” Factors that could cause actual results to differ include, but are not limited to: our ability to obtain funding on favorable terms and access the capital markets; our ability to achieve optimal levels of leverage and effectively manage our liquidity; changes in inflation, the yield curve, interest rates, including the resumption of Federal Reserve monetary tightening, and mortgage prepayment rates; our ability to manage credit risk related to our investments and comply with the Dodd-Frank Act and related laws and regulations relating to credit risk retention for securitizations; rates of default, delinquencies, forbearance, deferred payments or decreased recovery rates on our investments; the concentration of properties securing our securities and residential loans in a small number of geographic areas; our ability to execute on our business and investment strategy; our ability to determine accurately the fair market value of our assets; changes in our industry, the general economy or geopolitical conditions, including the ongoing conflicts involving the U.S. in the Middle East; our ability to successfully integrate and realize the anticipated benefits of any acquisitions, including the acquisition of HomeXpress; our ability to originate or acquire quality and profitable loans at an appropriate and consistent cost; our ability to sell the loans that we originate or acquire; our ability to refinance or obtain additional liquidity for borrowing; our ability to manage, maintain and expand our relationships with our clients, the independent mortgage brokers and bankers; our ability to operate our investment management and advisory services and manage any regulatory rules and conflicts of interest; the degree to which our hedging strategies may or may not be effective; our ability to effect our strategy to securitize residential mortgage loans; our ability to compete with competitors and source target assets at attractive prices; the ability of servicers and other third parties to perform their services at a high level and comply with applicable law and expanding regulations; our dependence on information technology and its susceptibility to cyber-attacks; the development, proliferation and use of artificial intelligence; our ability to find and retain qualified executive officers and key personnel; our ability to comply with extensive government regulation, including, but not limited to, federal and state consumer lending regulations; the impact of and changes in governmental regulations, tax law and rates, accounting guidance, refinancing or borrowing guidelines and similar matters; our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended; our ability to maintain our classification as a real estate investment trust for U.S. federal income tax purposes; the volatility of the market price and trading volume of our shares; and our ability to make distributions to our stockholders in the future. Readers are cautioned not to place undue reliance upon any forward-looking statements, which speak only as of the date made. Chimera does not undertake or accept any obligation to release publicly any updates or revisions to any forward-looking statement to reflect any change in its expectations or any change in events, conditions or circumstances on which any such statement is based. Additional information concerning these, and other risk factors, is contained in Chimera’s most recent filings with the Securities and Exchange Commission (SEC). All subsequent written and oral forward-looking statements concerning Chimera or matters attributable to Chimera or any person acting on its behalf are expressly qualified in their entirety by the cautionary statements above. 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, 2026, 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.
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . This presentation includes certain non-GAAP financial measures, including earnings available for distribution, earnings before taxes, depreciation and amortization, and economic net interest income. We believe the non-GAAP financial measures are useful for management, investors, analysts, and other interested parties in evaluating our performance but should not be viewed in isolation and are not a substitute for financial measures computed in accordance with U.S. generally accepted accounting principles (“GAAP”). In addition, we may calculate our non-GAAP metrics, such as earnings available for distribution and economic net interest income, differently than our peers making comparative analysis difficult. Non-GAAP Financial Measures 3
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 4 KEY STATISTICS As of September 30, 2026 2007 460 $6.8B $16.7B $2.2B Year Founded Full-Time Professionals Dividends Declared Since Inception Total Assets Stockholders’ Equity Chimera Investment Corporation We are a fully integrated hybrid mortgage REIT delivering diversified investment and platform solutions across the mortgage product spectrum. Detailed endnotes are included within the Appendix at the end of this presentation. INVESTMENT PORTFOLIO Investment Income ▪ Diversified residential investment portfolio ▪ Affiliate capabilities create sourcing & credit edge LIQUID Agency MBS CREDIT RPL, NQM, RTL, other ASSET HEDGE Mortgage Servicing Rights MORTGAGE BANKING Capital Markets & Advisory Income ▪ Loan origination, aggregation, and securitization ▪ Internal and 3rd party asset-level credit risk management capabilities MORTGAGE ORIGINATION Gain on Loan Sales, Net Spread Income PRISM CAPITAL Loan Acquisition & Securitization ADVISORY SERVICES Bespoke 3rd Party Loan Solutions $
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 5 Detailed endnotes are included within the Appendix at the end of this presentation. Market Summary | Q3 2026 Stronger growth, persistent inflation and geopolitical pressures drove rates higher, while residential credit remained resilient. IN T E R E S T R A T E S ▪ Fed followed through on its hawkish July tone, raising the policy rate 25 bps in September. ▪ Treasury yields rose across the curve with the 10-year reaching its highest level since 2007. M O R T G A G E R A T E S ▪ Primary mortgage rates increased 50-75 basis points, ending the quarter well over 7%. ▪ Higher rates reduced refinancing incentives and weighed on mortgage origination volumes. A G E N C Y M B S ▪ Agency MBS spreads widened 18–26 basis points amid the highest volatility since May 2025. ▪ Market functioning remained orderly despite the sharp increase in rates and volatility. R E S ID E N T IA L C R E D IT ▪ Higher all-in yields supported investor demand for non-agency RMBS. ▪ Lower coupon loans increased extension risk and contributed to wider spreads at quarter end. H O U S IN G ▪ Higher mortgage rates further pressured affordability and housing turnover during the quarter. ▪ Home prices remained positive nationally, while Sun Belt supply weighed on select markets. TREASURY YIELDS(1) Q3 2026 Q2 2026 ∆ (bps) 2Y Treasury (%) 4.89 4.17 72 10Y Treasury (%) 5.28 4.47 81 30Y Treasury (%) 5.63 4.95 68 MORTGAGE RATES(1) 30Y FRM (Bankrate) (%) 7.23 6.55 68 30Y Freddie PMMS (%) 7.03 6.49 54 30Y FRM (MBA) (%) 7.52 6.76 76 AGENCY SPREADS(1) CC Tsy Spread (bps) 125 107 18 CC Treasury OAS (bps) 46 20 26 CC Swap OAS (bps) 80 57 23 RMBS SPREADS(2) NQM – AAA (bps) 150 130 20 RPL AAA (A1) (bps) 130 118 12 RPL Unrated (A1) (bps) 180 155 25 CORPORATES(1) Inv Grade – Yield (%) 6.04 5.20 84 Inv Grade – Spread (bps) 80 74 6 High Yield – Spread (bps) 311 270 41
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 6 EARNINGS & PERFORMANCE $0.38 EARNINGS AVAILABLE FOR DISTRIBUTION PER SHARE(1) $0.45 DIVIDENDS PER SHARE $14.82 BOOK VALUE PER SHARE (13.98%) ECONOMIC RETURN(2) LIQUIDITY LEVERAGE $357MM CASH $203MM UNENCUMBERED ASSETS 6.5x TOTAL LEVERAGE(3) 4.1x RECOURSE LEVERAGE RESIDENTIAL CREDIT INVESTMENT PORTFOLIO REPO FINANCING(4) RESIDENTIAL ORIGINATION $716MM (43%) FIXED RATE REPO (PERCENTAGE OF TOTAL REPO) $1.2B (73%) NON-MARK-TO-MARKET REPO(5) (PERCENTAGE OF TOTAL REPO) $439K EBTDA(6) 0.6% EBTDA ROE(6) Chimera | Q3 2026 Highlights Continued to maintain strong liquidity position during volatile Q3 market environment. Detailed endnotes are included within the Appendix at the end of this presentation.
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 7 Chimera | Q3 2026 Highlights Portfolio entered the quarter with sufficient liquidity to support higher funding requirements amid increased market volatility. EARNINGS AVAILABLE FOR DISTRIBUTION ▪ $0.38 per share quarterly earnings available for distribution (“EAD”). ▪ Investment Portfolio contributions offset by lower gain-on-sale related to third-party loan acquisitions and HomeXpress production. BOOK VALUE ▪ $14.82 book value per share, down 16.5% compared to $17.75 in Q2 2026. ▪ Increased interest rates, higher volatility and widening credit spreads during the quarter contributed to the decline in book value. RESIDENTIAL ORIGINATION ▪ $1.1 billion of production volume representing a 27% increase versus Q3 2025(1). ▪ $439 thousand EBTDA(2) contribution representing a 0.6% EBTDA ROE(2). RESIDENTIAL CREDIT ▪ Committed to purchase $797 million of loans for the newly formed Prism securitization platform; $1.1 billion year-to-date commitments. ▪ Subsequent to quarter end, completed the inaugural $291 million Prism securitization collateralized by HomeXpress loans. AGENCY MBS ▪ Repositioned towards higher coupon securities to take advantage of more attractive spreads and shorter spread duration. ▪ Entered into a $2.4 billion TBA short position toward the end of September as a risk management precaution amid market volatility. Detailed endnotes are included within the Appendix at the end of this presentation.
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . EARNINGS AVAILABLE FOR DISTRIBUTION & DIVIDEND COVERAGE (quarterly per share data) 8 Chimera | Dividend Coverage & Sustainability Detailed endnotes are included within the Appendix at the end of this presentation. ▪ Earnings covered dividend in 9 out of the last 11 quarters, averaging 1.07x coverage. ▪ Business continued to deliver strong earnings despite headwinds from market volatility and highest rates in nearly two decades. $ 0 .3 3 $ 0 .3 5 $ 0 .3 7 $ 0 .3 7 $ 0 .3 7 $ 0 .3 7 $ 0 .3 7 $ 0 .3 7 $ 0 .4 5 $ 0 .4 5 $ 0 .4 5 $ 0 .3 6 $ 0 .3 7 $ 0 .3 6 $ 0 .3 7 $ 0 .4 1 $ 0 .3 9 $ 0 .3 7 $ 0 .5 3 $ 0 .5 4 $ 0 .4 6 $ 0 .3 8 109% 106% 97% 100% 111% 105% 100% 143% 120% 102% 84% 0% 20% 40% 60% 80% 100% 120% 140% $0.00 $0.10 $0.20 $0.30 $0.40 $0.50 $0.60 $0.70 1Q24 2Q24 3Q24 4Q24 1Q25 2Q25 3Q25 4Q25 1Q26 2Q26 3Q26 Dividends per Share (LHS) Earnings Available for Distribution per Share (LHS) Dividend Coverage (RHS)
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 9 HomeXpress | Residential Origination Highlights(1) A leading partner for loan brokers and correspondent lenders across the U.S. QUARTERLY UPDATE ▪ 27% increase in volume versus Q3 2025. ▪ Net origination margin compressed as gain-on-sale was impacted by market volatility and wider spreads. ▪ Wholesale volumes represented 83% with non-delegated correspondent growing 33% during the quarter to account for 17%. PRODUCTION VOLUME ($ in millions) PRODUCT MIX (% of unpaid principal balance) NET ORIGINATION MARGIN (basis points)(2) $881 $1,037 $884 $1,094 $1,116 $400 $500 $600 $700 $800 $900 $1,000 $1,100 $1,200 Q3 2025 Q4 2025 Q1 2026 Q2 2026 Q3 2026 39 38 39 47 42 58 58 57 48 55 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% Q3 2025 Q4 2025 Q1 2026 Q2 2026 Q3 2026 NQM Investor QM 177 135 114 124 -7-20 0 20 40 60 80 100 120 140 160 180 Q3 2025 Q4 2025 Q1 2026 Q2 2026 Q3 2026 Detailed endnotes are included within the Appendix at the end of this presentation.
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . Investment Portfolio | September 30, 2026(1) 10 Detailed endnotes are included within the Appendix at the end of this presentation. (DOLLARS IN THOUSANDS) PRINCIPAL OR NOTIONAL VALUE ($) AMORTIZED COST ($) FAIR VALUE ($) WEIGHTED AVERAGE COUPON WEIGHTED AVERAGE BOOK YIELD AT PERIOD-END SECURITIZED DEBT CURRENT FACE ($) SECURITIZED DEBT AMORTIZED COST ($) SECURITIZED DEBT FAIR VALUE ($) SECURITIZED DEBT BOOK YIELD SECURED FINANCING AGREEMENTS ($) NET ASSETS ($) NON-AGENCY RMBS(2) Senior(3) 816,412 335,452 442,943 5.7% 21.8% 109,782 62,328 62,329 3.3% 243,330 137,285 Subordinated 382,975 172,584 177,837 3.8% 9.2% 123,965 53,872 Interest-only 2,282,171 139,873 52,903 0.8% 3.3% 17,970 34,933 TOTAL NON-AGENCY RMBS 3,481,558 647,909 673,684 4.1% 14.4% 109,782 62,328 62,329 3.3% 385,265 226,090 AGENCY RMBS(4) Pass-through 5,739,072 5,776,175 5,528,456 5.6% 5.4% 5,450,925 77,530 DUS 17,905 17,506 16,548 4.1% 4.4% 16,162 386 TOTAL AGENCY RMBS 5,756,977 5,793,681 5,545,004 5.6% 5.4% 5,467,087 77,916 LOANS HELD FOR SALE Non-QM 1,091,042 1,091,042 1,087,784 7.2% 5.9% 688,312 399,471 TOTAL LOANS HELD FOR SALE 1,091,042 1,091,042 1,087,784 7.2% 5.9% 688,312 399,471 LOANS HELD FOR INVESTMENT Re-performing loans 6,989,840 6,844,055 6,592,149 5.3% 5.5% 5,098,994 5,004,526 4,648,620 3.9% 964,622 978,906 Prime loans 363,230 330,856 324,784 4.3% 4.1% 3,735 3,371 3,609 7.5% 266,927 54,248 Investor loans 483,172 494,404 487,456 7.4% 6.9% 429,773 430,405 425,446 6.6% 16,998 45,012 Residential Transition Loans 38,260 38,560 34,792 7.9% 4.1% 29,569 5,223 TOTAL LOANS HELD FOR INVESTMENT 7,874,502 7,707,876 7,439,181 5.4% 5.5% 5,532,502 5,438,302 5,077,676 4.1% 1,278,116 1,083,389 MORTGAGE SERVICING RIGHTS Interest in MSR financing receivables 38,221 41,256 41,256 TOTAL MSR 38,221 41,256 41,256 TOTAL INVESTMENT PORTFOLIO 18,242,300 15,240,509 14,786,908 5,642,284 5,500,631 5,140,004 7,818,781 1,828,123
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 11 Agency Portfolio(1) | Portfolio Overview Detailed endnotes are included within the Appendix at the end of this presentation. QUARTERLY UPDATE ▪ Bonds: sold $800 million of lower coupon MBS and purchased $1.9 billion of higher coupon with better carry and lower duration risk. ▪ MBS Coupon: average coupon increased 39 bps to 5.67% from 5.28% in Q2 2026, excluding short TBA position. ▪ Leverage: effective leverage increased throughout the quarter and was reduced with the short TBA position added in September. SWAP TENOR (YEARS) NOTIONAL ($MM) WEIGHTED AVERAGE FIXED PAY RATE ≤ 5 273 3.6% > 5 to ≤ 10 500 3.9% > 10 to ≤ 20 744 4.1% > 20 98 4.0% TOTAL 1,615 4.0% AGENCY HEDGES(2) CAP TENOR (YEARS) NOTIONAL ($MM) WEIGHTED AVERAGE RATE ≤ 3 1,700 3.0% > 3 100 3.0% TOTAL 1,800 3.0% AGENCY PORTFOLIO(1) PRODUCT NOTIONAL ($MM) FAIR VALUE ($MM) % OF TOTAL EQUITY BUFFER (3) ($MM) REPO ($MM) TBA FAIR VALUE ($MM) PORTFOLIO EQUITY ($MM) EFFECTIVE LEVERAGE (4) 3M ACTUAL CPR (4) 3M GENERIC CPR (4) PTs 5,739 5,528 99.7 388 5,451 (2,322) 466 6.7 3.0% 182 148 2.7 22 150 20 7.6 8.3 6.8 3.5% 19 17 0.3 3 16 3 5.5 9.0 10.1 4.0% 72 63 1.1 9 64 8 8.2 11.9 8.2 4.5% 237 213 3.9 29 211 31 6.8 9.3 6.6 5.0% 747 694 12.5 91 689 95 7.2 8.3 5.8 5.5% 1,287 1,232 22.2 146 1,223 156 7.9 7.1 8.8 6.0% 2,396 2,356 42.5 88 2,314 (1,518) 129 6.2 10.6 12.7 6.5% 800 805 14.5 1 783 (804) 24 -0.9 9.1 20.2 DUS 18 17 0.3 2 16 0 2 6.7 TOTAL 5,757 5,545 100 390 5,467 (2,322) 468 6.7
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 12 Agency Portfolio(1) | Portfolio Interest Rate & Spread Sensitivities(2) QUARTERLY UPDATE ▪ Sensitivities reflect the impact of risk management actions related to the $2.4 billion TBA short position entered into during the quarter. ▪ Lower effective leverage and shorter duration portfolio drove risk metrics at quarter end. Detailed endnotes are included within the Appendix at the end of this presentation. INTEREST RATE SENSITIVITY(2) SPREAD SENSITIVITY(2) INTEREST RATE CHANGE (basis points) ESTIMATED CHANGE IN AGENCY PORTFOLIO MARKET VALUE ESTIMATED CHANGE IN AGENCY PORTFOLIO EQUITY Q3’26 Q2’26 Q3’26 Q2’26 (75) (0.0%) (0.7%) (0.2%) (5.3%) (50) 0.0% (0.3%) 0.3% (2.4%) (25) 0.0% (0.1%) 0.4% (0.5%) -- 25 (0.1%) (0.1%) (0.8%) (0.5%) 50 (0.2%) (0.2%) (1.8%) (1.9%) 75 (0.3%) (0.5%) (3.1%) (4.1%) CHANGE IN SPREAD (basis points) ESTIMATED CHANGE IN AGENCY PORTFOLIO MARKET VALUE ESTIMATED CHANGE IN AGENCY PORTFOLIO EQUITY Q3’26 Q2’26 Q3’26 Q2’26 (50) 1.6% 2.5% 19.2% 19.6% (20) 0.6% 1.0% 7.7% 7.8% (10) 0.3% 0.5% 3.8% 3.9% -- 10 (0.3%) (0.5%) (3.8%) (3.9%) 20 (0.6%) (1.0%) (7.7%) (7.8%) 50 (1.6%) (2.5%) (19.2%) (19.6%)
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . Residential Credit | Q3 2026 Loans Held for Investment Portfolio Summary 13 OVERVIEW ▪ We acquire residential mortgage loans from banks, non-bank financial institutions and government sponsored enterprises. ▪ We finance purchases of mortgage loans via warehouse facilities and repurchase agreements (recourse financing). ▪ We securitize loans (long-term non-recourse financing) and retain subordinated and interest-only securities along with call rights. ▪ Re-performing loans comprise 89% of the loan portfolio (by principal balance) and generate consistent cash flows with low convexity. Detailed endnotes are included within the Appendix at the end of this presentation. KEY LOAN STATISTICS(1) RE-PERFORMING LOANS (RPL) PRIME JUMBO INVESTOR LOANS (DSCR) RESIDENTIAL TRANSITION LOANS TOTAL LOAN PORTFOLIO Current Unpaid Principal Balance (UPB) $7.0 Billion $358.2 Million $483.2 Million $38.2 Million $7.9 Billion % of Total Loan Portfolio 89% 5% 6% <1% 100% Total Number of Loans 71,382 372 2,350 32 74,136 Weighted Average Loan Size $98 Thousand $963 Thousand $206 Thousand $1,196 Thousand $106 Thousand Weighted Average Interest Rate 5.76% 4.27% 7.42% 7.85% 5.82% Weighted Average Borrower Credit Score 657 756 746 704 668 Weighted Average Loan Age 229 Months 53 Months 39 Months 55 Months 199 Months Weighted Average Loan Terms(2) 458 Months 361 Months 360 Months 39 Months 444 Months Weighted Average Remaining Term 229 Months 308 Months 321 Months 112Months 244 Months Weighted Average Original Loan-to-Value (LTV) 77% 88% 66% LTC = 67%(3) 77%(5) Amortized Loan-to-Value (LTV) 60% 75% 63% LTARV = 70%(4) 61%(5) HPI Updated Loan-to-Value (LTV) 38% 75% 60% 70% 41% 60+ Days Delinquent 9.0% 1.7% 5.3% $30.2 Million 8.8%
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 14 Residential Credit | Delinquency Experience Credit performance remained within expectation, with a small number of loans driving changes in Prime Jumbo. Detailed endnotes are included within the Appendix at the end of this presentation. RE-PERFORMING LOANS (RPL) (% of Total Loan Balance) INVESTOR LOANS (DSCR) (% of Total Loan Balance) PRIME JUMBO LOANS (% of Total Loan Balance) RESIDENTIAL TRANSITION LOANS ($ Millions) 60+ DAY DELINQUENCY EXPERIENCE(1) 4.7 5.3 0.0 1.3 2.6 3.9 5.2 6.5 Ju n- 23 S e p -2 3 D e c- 23 M ar -2 4 Ju n- 24 S ep -2 4 D e c- 24 M ar -2 5 Ju n- 25 S e p -2 5 D e c- 25 M ar -2 6 Ju n- 26 S e p -2 6 1.4 1.7 0.0 0.3 0.6 0.9 1.2 1.5 1.8 Ju n- 23 S ep -2 3 D e c- 23 M ar -2 4 Ju n- 24 S e p -2 4 D ec -2 4 M ar -2 5 Ju n- 25 S e p -2 5 D e c- 25 M ar -2 6 Ju n- 26 S e p -2 6 8.8 9.0 6.0 6.5 7.0 7.5 8.0 8.5 9.0 9.5 Ju n- 23 S e p -2 3 D e c- 23 M ar -2 4 Ju n- 24 S e p -2 4 D ec -2 4 M ar -2 5 Ju n- 25 S e p -2 5 D e c- 25 M ar -2 6 Ju n- 26 S ep -2 6 29.2 30.2 13 23 33 43 53 Ju n- 23 S e p -2 3 D e c- 23 M ar -2 4 Ju n- 24 S ep -2 4 D e c- 24 M ar -2 5 Ju n- 25 S e p -2 5 D e c- 25 M ar -2 6 Ju n- 26 S e p -2 6
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 15 Residential Credit | Prepayment Experience Prepayment activity was mixed across products. Stable for RPL, materially lower for Investor Loans, and significantly higher for Prime Jumbo. Detailed endnotes are included within the Appendix at the end of this presentation. RE-PERFORMING LOANS (RPL) INVESTOR LOANS (DSCR) PRIME JUMBO LOANS 7.0 7.3 0 2 4 6 8 Ju n- 23 S e p -2 3 D e c- 23 M ar -2 4 Ju n- 24 S e p -2 4 D e c- 24 M ar -2 5 Ju n- 25 S e p -2 5 D e c- 25 M ar -2 6 Ju n- 26 S e p -2 6 5.5 9.7 0 2 4 6 8 10 Ju n- 23 S e p -2 3 D e c- 23 M ar -2 4 Ju n- 24 S e p -2 4 D e c- 24 M ar -2 5 Ju n- 25 S e p -2 5 D e c- 25 M ar -2 6 Ju n- 26 S e p -2 6 PREPAYMENT EXPERIENCE (ANNUALIZED %)(1) 23.1 14.7 0 5 10 15 20 25 Ju n- 23 S e p -2 3 D e c- 23 M ar -2 4 Ju n- 24 S e p -2 4 D e c- 24 M ar -2 5 Ju n- 25 S e p -2 5 D e c- 25 M ar -2 6 Ju n- 26 S e p -2 6
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . Q1 2025 EXPECTED REPO MATURITIES ($ MILLIONS) $238 $197 $7 $67 $127 $208 $409 $410 $305 $606 $134 $618 $0 $100 $200 $300 $400 $500 $600 $700 0-3 Months 3-6 Months 6-12 Months 12+ Months Mark-to-Market (MTM) Limited MTM Non-MTM 16 $442MM $402MM $103MM FLOATING NON-MTM $716MM FLOATING MTM FLOATING LIMITED MTM FIXED NON-MTM $1,663MM SECURED RECOURSE FINANCING HEDGE TYPE NOTIONAL ($ MILLIONS) WAVG PAY-FIXED OR STRIKE RATE WAVG OPTION EXPIRY WAVG MATURITY Swap Futures 50 4.00% -- March 2027 Interest Rate Caps 1,300 3.00% -- April 2028 TOTAL $1,350 3.04% March 2028 RESIDENTIAL CREDIT HEDGES REPO MATURITIES ($ MILLIONS) $1,221MM NON-MTM & LIMITED MTM (73%) $947MM FLOATING RATE (57%) Detailed endnotes are included within the Appendix at the end of this presentation. Residential Credit Investment Portfolio | Secured Recourse Funding(1) Funding strategically diversified across counterparties, tenors, rate structures and liquidity requirement structures.
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 17 MSR Portfolio Update(1) Consistent with portfolio objectives, adding MSRs provides recurring income while hedging other parts of portfolio. MSR PORTFOLIO CHARACTERISTICS & VALUATION MULTIPLE As of September 30, 2026 QUARTERLY UPDATE ▪ Mortgage rates increased 68 basis points to 7.23% during the quarter. ▪ 3-month average prepayments decreased to 7.1% during quarter from 8.1% in Q2 2026. ▪ Valuation multiple increased 0.5x due to higher forward curves and slightly lower weighed average coupon as higher rate loans payoff. NOTE RATE DISTRIBUTION As of September 30, 2026 Detailed endnotes are included within the Appendix at the end of this presentation. UNPAID BALANCE LOAN COUNT WAVG NOTE RATE 3M CPR $5.7B 26.8K 4.0% 7.1% WAVG CREDIT SCORE LOAN-TO- VALUE 60+ DAYS DELINQUENT VALUATION MULTIPLE 741 69.5% 1.4% 6.6X 0.4% 2.7% 21.9% 17.7% 20.6% 6.8% 8.4% 5.7% 6.2% 2.8% 4.5% 0.9% 0.5% 0.7% 0.1% <2 % 2% -2 .5 % 2. 5% -3 % 3% -3 .5 % 3. 5% -4 % 4% -4 .5 % 4. 5% -5 % 5% -5 .5 % 5. 5% -6 % 6 % -6 .5 % 6 .5 % -7 % 7% -7 .2 3% 7. 23 % -7 .5 % 7. 5% -8 % >8 % 30-Year Fixed Mortgage Rate = 7.23%
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . Third-Party Asset Management Highlights Chimera’s third-party asset management business provides advisory and transaction execution services for mortgage loan investors. 18 EXPERTISE BY ASSET TYPE(1)(2) INCEPTION-TO-DATE Re-Performing Loans ✓ Non-Performing Loans ✓ Non-QM ✓ Residential Transition Loans ✓ International Residential Loans ✓ Home Equity Products ✓ Single Family Rental ✓ Detailed endnotes are included within the Appendix at the end of this presentation. QUARTERLY UPDATE ▪ Payoffs and client purchase volumes are key drivers of advisory activities. ▪ Loans under management increased 7% during the quarter. ▪ Higher transaction volumes offset asset paydowns. LOANS UNDER MANAGEMENT ($ Billions)(1) TRANSACTION VOLUME BY UNPAID BALANCE ($ Billions)(1) $26.6 $26.6 $26.4 $25.8 $27.6 $24 $25 $26 $27 $28 Q3'25 Q4'25 Q1'26 Q2'26 Q3'26 $5.2 $6.4 $3.5 $2.8 $4.9 $0 $1 $2 $3 $4 $5 $6 $7 Q3'25 Q4'25 Q1'26 Q2'26 Q3'26
Appendix
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . Quarterly Financial Metrics 20 Detailed endnotes are included within the Appendix at the end of this presentation. ($0.27) $0.08 ($0.78) ($0.05) ($2.31) Q3'25 Q4'25 Q1'26 Q2'26 Q3'26 $0.37 $0.53 $0.54 $0.46 $0.38 Q3'25 Q4'25 Q1'26 Q2'26 Q3'26 $20.24 $19.70 $18.34 $17.75 $14.82 Q3'25 Q4'25 Q1'26 Q2'26 Q3'26 GAAP Earnings Per Share Earnings Available for Distribution (EAD) Per Share(1) GAAP Book Value Per Share Recourse Leverage Cash ($ Millions) Unencumbered Assets Market Value ($ Millions) 1.99x 2.44x 2.94x 3.30x 4.09x Q3'25 Q4'25 Q1'26 Q2'26 Q3'26 $491 $279 $476 $444 $357 Q3'25 Q4'25 Q1'26 Q2'26 Q3'26 $261 $249 $199 $212 $203 Q3'25 Q4'25 Q1'26 Q2'26 Q3'26
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . Earnings Available for Distribution 21 Earnings available for distribution (“EAD”) is a non-GAAP measure and is defined as GAAP net income (loss) excluding: (i) Net unrealized gains (losses) on financial instruments at fair value; (ii) Net realized gains (losses) on sales of investments; (iii) Gains (losses) on extinguishment of debt; (iv) Increase in provision for credit losses; (v) Net unrealized gains (losses) on derivatives; (vi) Realized gains (losses) on derivatives; (vii) Transaction expenses; (viii) stock compensation expenses for retirement eligible awards; (ix) Depreciation, amortization, and impairment of intangible assets, net of any tax impact; (x) non-cash imputed compensation expense related to business acquisitions; and (xi) Other investment gains (losses). Non-cash imputed compensation expense reflects the portion of the consideration paid in the Palisades Acquisition that pursuant to the sellers’ contractual arrangements is distributable to the sellers’ legacy employees (who are now our employees) and that for GAAP purposes is recorded as non-cash imputed compensation expense with an offsetting entry recorded as a non-cash contribution from a related party to stockholders’ equity. The excluded amounts do not include any normal, recurring compensation paid to our employees. Transaction expenses are primarily comprised of costs only incurred at the time of execution of our securitizations, certain structured secured financing agreements, and business combination transactions, and include costs such as underwriting fees, legal fees, diligence fees, accounting fees, bank fees, and other similar transaction-related expenses. These costs are incurred prior to or at the execution of the transaction and do not recur thereafter. Recurring expenses, such as servicing fees, custodial fees, trustee fees, and other similar ongoing fees, are not excluded from EAD. We believe that excluding these costs is useful to investors because it is generally consistent with the treatment applied by our peer group in their non-GAAP measure presentations, 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 issuance costs prior to the fair value election option made by us. We also believe it is important for investors to review EAD as it is consistent with how management internally evaluates the performance of the Company. Stock compensation expense charges incurred on awards to retirement eligible employees is reflected as an expense over a vesting period (generally 36 months) rather than reported as an immediate expense. We may hold long and/or short positions in TBA securities through transactions commonly referred to as “dollar roll” transactions. Under U.S. GAAP, these transactions are accounted for as derivatives and are carried at fair value. Changes in the fair value of TBA positions consist of two components: (i) drop income (expense) and (ii) mark-to-market adjustments. For financial statement presentation purposes, drop income (expense) is reported within Periodic interest on derivatives, net, while mark-to-market adjustments are reported within Net unrealized gains (losses) on derivatives. Together with any realized gains and losses, these amounts are included in Net gains (losses) on derivatives in our Consolidated Statements of Operations. Management includes drop income (expense) in EAD because it views drop income (expense) as the economic equivalent of net interest income on the underlying Agency securities, reflecting the difference between the implied interest earned and the implied financing cost over the period from trade date to settlement date. This treatment is consistent with how management evaluates the Company’s investment performance and how we believe our investors analyze our investment performance. We view EAD as one measure of our investment portfolio's ability to generate income for distribution to common stockholders. EAD is one of the metrics, but not the exclusive metric, that our Board of Directors considers when determining the amount, if any, of dividends on our common stock. Other metrics that our Board of Directors may consider when determining the amount, if any, of dividends on our common stock include, among others, REIT taxable income, dividend yield, book value, cash generated from the portfolio, reinvestment opportunities, and other cash needs. To maintain our qualification as a REIT, U.S. federal income tax law generally requires that we distribute at least 90% of our REIT taxable income (subject to certain adjustments) annually. EAD is different from REIT taxable income. For example, differences between EAD and REIT taxable income may result from whether the REIT uses mark-to-market accounting for GAAP purposes, accretion of market discount or OID and amortization of premium, and differences in the treatment of securitizations for GAAP and tax purposes, among other items. Further, REIT taxable income generally does not include earnings of our domestic taxable REIT subsidiaries (“TRSs”) unless such income is distributed from current or accumulated earnings and profits. The determination of whether we have met the requirement to distribute at least 90% of our annual REIT taxable income is not based on EAD, and EAD should not be considered as an indication of our REIT taxable income, a guarantee of our ability to pay dividends, or a proxy for the amount of dividends we may pay. We believe EAD helps us and investors evaluate our financial performance period over period without the impact of certain non-recurring transactions. EAD should not be viewed in isolation and is not a substitute for, or superior to, net income (loss) or net income (loss) per basic share computed in accordance with GAAP. In addition, our methodology for calculating EAD may differ from the methodologies employed by other REITs to calculate the same or similar supplemental performance measures, and accordingly, our EAD may not be comparable to the EAD reported by other REITs.
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 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. 22 Detailed endnotes are included within the Appendix at the end of this presentation. For the Quarters Ended September 30, 2026 June 30, 2026 March 31, 2026 December 31, 2025 September 30, 2025 (dollars in thousands, except per share data) GAAP net income (loss) available to common stockholders $(193,662) $(4,012) $(65,007) $6,501 $(21,997) Adjustments (1): Net unrealized (gains) losses on financial instruments at fair value 391,000 43,386 37,536 17,138 36,995 Net realized (gains) losses on sales of investments 26,889 9,623 40,428 23,268 (1,991) Gain (loss) on extinguishment of debt — 2,748 38,858 (20) — Increase in provision for credit losses 6,847 7,192 2,824 5,322 2,587 Net unrealized (gains) losses on derivatives (127,224) (15,398) (18,150) (27,303) 7,907 Realized (gains) losses on derivatives (74,901) (9,527) (2,870) 17,495 (2,015) Transaction expenses — 3,207 98 625 9,931 Stock Compensation expense for retirement eligible awards (515) (510) 2,023 (449) (506) Depreciation, amortization, and impairment expense (2) 5,479 4,076 9,649 4,332 948 HomeXpress acquisition intangible amortization tax impact (3) (850) (850) (863) (837) — Non-cash imputed compensation related to business acquisition 302 341 341 341 341 Other investment (gains) losses (1,063) (1,229) 910 (1,252) (1,945) Earnings available for distribution $32,302 $39,047 $45,777 $45,161 $30,255 GAAP net income (loss) per diluted common share $(2.31) $(0.05) $(0.78) $0.08 $(0.27) Earnings available for distribution per adjusted diluted common share $0.38 $0.46 $0.54 $0.53 $0.37
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 23 Detailed endnotes are included within the Appendix at the end of this presentation. Residential Origination Segment | Earnings Before Taxes, Depreciation and Amortization In managing our Residential Origination segment, management additionally uses Earnings Before Taxes, Depreciation and Amortization, or EBTDA, a non-GAAP measure, as a supplemental performance measure to evaluate the underlying operating efficiency and scalability of the business. EBTDA is defined as GAAP Net Income of the Residential Origination Segment, adjusted for federal and state tax provisions; and non-cash items such as intangibles amortization and depreciation. In our current model where we sell all the loans we originate and purchase from correspondents on a servicing-released basis, the economics are driven by origination income and loan sale activity, net and personnel-based costs. EBTDA helps isolate core operating results by excluding the effects of capital structure, non-cash depreciation and amortization, and tax attributes that can vary period to period. This measure allows management to assess margin performance, expense discipline, and incremental profitability as loan volumes fluctuate, and supports internal decision-making related to staffing levels, compensation structures, and growth initiatives. We believe this presentation is useful to investors because it provides investors with important information concerning the operating performance of our Residential Origination Segment exclusive of certain non-cash and other costs. However, EBTDA should not be viewed in isolation and is not a substitute for net income computed in accordance with GAAP. The following table provides a reconciliation from GAAP net income to common stockholders for our residential origination segment to a non-GAAP measure of EBTDA for the period presented. For the Quarter Ended September 30, 2026 (dollars in thousands) Residential Origination Net income available to common shareholders $ (2,432) Adjustments: Income tax benefit (560) Amortization of intangibles and depreciation expenses 3,431 Earnings Before Taxes, Depreciation and Amortization $ 439
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 24 Detailed endnotes are included within the Appendix at the end of this presentation. Investment Portfolio Segment | Economic Net Interest Income Economic net interest income of our Investment Portfolio segment is a non-GAAP financial measure that equals GAAP net interest income adjusted for net periodic interest on derivatives, interest income from our Residential Origination segment and interest income from investment in MSR financing receivables, and excludes interest earned on cash and interest expense from our Residential Origination segment. For the purpose of computing economic net interest income and ratios relating to cost of funds measures throughout this section, interest expense includes net payments on our derivatives, which is presented as a part of Net gains (losses) on derivatives in our Consolidated Statements of Operations. Interest rate swaps, interest rate caps and swap futures are used to manage the increase in interest paid on secured financing agreements in a rising rate environment. Presenting the net contractual interest payments on interest rate derivatives with the interest paid on interest-bearing liabilities reflects our total contractual interest payments. We believe this presentation is useful to investors because it depicts the economic value of our investment strategy by showing all components of interest expense and net interest income of our investment portfolio. However, Economic net interest income should not be viewed in isolation and is not a substitute for net interest income computed in accordance with GAAP. Where indicated, interest expense, adjusting for any interest earned on cash, is referred to as Economic interest expense. Where indicated, net interest income reflecting net periodic interest on derivatives and any interest earned on cash, is referred to as Economic net interest income. 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. GAAP Interest Income Interest Income on Mortgage Loan Origination Other (1) Economic Interest Income GAAP Interest Expense Periodic Interest On Derivatives, net & Interest Expense on Mortgage Loan Origination Economic Interest Expense GAAP Net Interest Income Periodic Interest On Derivatives, net Other (1) Net Interest Income on Mortgage Loan Origination Economic Net Interest Income For the Quarter Ended September 30, 2026 $230,687 $(16,235) $(3,019) $211,433 $159,504 $(17,513) $141,991 $71,183 $5,639 $(3,019) $(4,361) $69,442 For the Quarter Ended June 30, 2026 $221,625 $(14,420) $(2,772) $204,433 $151,116 $(12,972) $138,144 $70,509 $2,061 $(2,772) $(3,509) $66,289 For the Quarter Ended March 31, 2026 $219,295 $(13,706) $(472) $205,117 $144,293 $(11,958) $132,335 $75,002 $1,834 $(472) $(3,582) $72,782 For the Quarter Ended December 31, 2025 $220,328 $(12,355) $(3,540) $204,433 $154,150 $(15,101) $139,049 $66,178 $5,422 $(3,540) $(2,676) $65,384 For the Quarter Ended September 30, 2025 $209,100 $— $(2,204) $206,896 $144,089 $(5,751) $138,338 $65,011 $5,751 $(2,204) $— $68,558
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 25 Net Interest Spread(1) 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. Detailed endnotes are included within the Appendix at the end of this presentation. For the Quarters Ended (dollars in thousands) September 30, 2026 June 30, 2026 March 31, 2026 Average Interest Average Average Interest Average Average Interest Average Balance Yield/Cost Balance Yield/Cost Balance Yield/Cost Assets: Interest-earning assets (1)(4): Agency RMBS (3) $5,530,592 $75,611 5.5% $5,005,152 $68,137 5.3% $3,658,521 $43,775 5.2% Agency CMBS (6) 17,502 192 4.4% 38,544 899 9.3% 40,251 415 4.1% Non-Agency RMBS (3) 658,950 21,756 13.1% 677,333 23,230 13.7% 699,370 24,225 13.8% Loans held for investment 7,832,648 106,574 5.4% 8,102,064 110,291 5.4% 9,308,041 134,391 5.8% Loans held for sale (3) 371,504 6,523 7.0% 56,982 1,038 7.3% N/A N/A N/A MSR(5) 38,221 777 8.1% 38,221 838 8.8% 38,221 2,311 3.2% Total $ 14,449,417 $ 211,433 5.9% $13,918,296 $204,433 5.9% $13,744,404 $205,117 6.0% Liabilities and stockholders’ equity: Interest-bearing liabilities (2)(4): Secured financing agreements collateralized by: Agency RMBS (3) $ 5,372,564 $50,407 4.1% $4,843,317 $47,147 3.9% $3,827,937 $29,723 3.7% Agency CMBS 16,490 161 3.9% 31,732 351 4.4% 31,182 299 3.8% Non-Agency RMBS (3) 391,782 5,244 5.4% 412,063 5,296 5.1% 463,374 6,043 5.2% Loans held for investment 1,297,903 18,819 5.8% 1,393,527 22,467 6.4% 1,457,771 24,423 6.7% Loans held for sale (3) 342,404 4,524 5.3% 52,630 686 5.2% N/A N/A N/A Securitized Debt 5,615,398 56,471 4.0% 5,741,507 55,832 3.9% 6,621,547 65,482 4.0% Long Term Debt 259,750 6,365 9.8% 259,750 6,365 9.8% 259,750 6,365 9.8% Total $13,296,291 $141,991 4.3% $12,734,526 $138,144 4.3% $12,661,561 $132,335 4.2% Economic net interest income/net interest rate spread $69,442 1.6% $66,289 1.6% $72,782 1.8% Net interest-earning assets/net interest margin $1,153,126 1.9% $1,183,770 1.9% $1,082,843 2.1% Ratio of interest-earning assets to interest bearing liabilities 1.09 1.09 1.09
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . 26 Detailed endnotes are included within the Appendix at the end of this presentation. Investment Portfolio | June 30, 2026(1) (DOLLARS IN THOUSANDS) PRINCIPAL OR NOTIONAL VALUE ($) AMORTIZED COST ($) FAIR VALUE ($) WEIGHTED AVERAGE COUPON WEIGHTED AVERAGE BOOK YIELD AT PERIOD-END SECURITIZED DEBT CURRENT FACE ($) SECURITIZED DEBT AMORTIZED COST ($) SECURITIZED DEBT FAIR VALUE ($) SECURITIZED DEBT BOOK YIELD SECURED FINANCING AGREEMENTS ($) NET ASSETS ($) NON-AGENCY RMBS(2) Senior(3) 827,607 346,733 467,714 5.6% 21.3% 109,783 63,938 63,939 3.3% 196,164 207,611 Subordinated 394,670 179,127 191,734 3.9% 9.2% - - - - 181,656 10,078 Interest-only 2,327,935 142,286 68,181 0.9% 3.8% - - - - 18,212 49,969 TOTAL NON-AGENCY RMBS 3,550,212 668,146 727,629 4.2% 14.4% 109,783 63,938 63,939 3.3% 396,032 267,658 AGENCY RMBS(4) Pass-through 5,041,259 5,002,763 5,014,494 5.3% 5.3% - - - - 4,812,072 202,422 Agency CMO 231,192 231,033 232,653 4.9% 4.9% - - - - 226,062 6,591 DUS 17,905 17,499 17,414 4.1% 4.4% - - - - 16,705 709 TOTAL AGENCY RMBS 5,290,356 5,251,295 5,264,561 5.2% 5.3% - - - - 5,054,839 209,722 LOANS HELD FOR SALE Non-QM 300,981 300,981 307,031 7.0% 7.0% - - - - 274,931 32,100 TOTAL LOANS HELD FOR SALE 300,981 300,981 307,031 7.0% 7.0% - - - - 274,931 32,100 LOANS HELD FOR INVESTMENT Re-performing loans 7,217,579 7,066,283 7,012,567 5.4% 5.5% 5,318,574 5,218,930 4,952,471 3.9% 933,622 1,126,474 Prime loans 370,972 338,560 342,651 4.3% 3.8% 3,786 3,412 3,713 7.5% 283,984 54,954 Investor loans 504,202 515,645 520,720 7.4% 7.0% 450,664 451,156 452,093 6.6% 18,849 49,778 Residential Transition Loans 48,922 47,945 45,576 9.0% 3.8% - - - - 36,126 9,451 TOTAL LOANS HELD FOR INVESTMENT 8,141,675 7,968,433 7,921,514 5.5% 5.5% 5,773,024 5,673,498 5,408,277 4.1% 1,272,581 1,240,657 MORTGAGE SERVICING RIGHTS Interest in MSR financing receivables 38,221 38,221 35,471 - - - - - - - 35,471 TOTAL MSR 38,221 38,221 35,471 - - - - - - - 35,471 TOTAL INVESTMENT PORTFOLIO 17,321,445 14,227,076 14,256,206 5,882,807 5,737,436 5,472,216 6,998,383 1,785,608
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . Consolidated Loan Securitizations 27 ORIGINAL FACE ($ Thousands) REMAINING FACE ($ Thousands) WEIGHTED AVERAGE COUPON (WAC) VINTAGE DEAL TOTAL SOLD RETAINED TOTAL SOLD RETAINED Outstanding Bonds Sold Underlying Collateral FIRST CALL DATE 2026 CIM 2026-R1 287,174 243,854 43,319 287,174 236,575 43,225 4.75% 6.00% May-28 2026 CIM 2026-NR1 193,834 139,252 54,582 193,834 130,188 53,536 5.00% 5.98% May-27 2025 CIM 2025-R1 391,790 333,021 58,769 350,107 282,618 58,734 5.00% 6.12% Mar-27 2025 CIM 2025-I1 287,674 275,735 11,939 202,550 181,567 11,939 6.00% 7.78% Feb-28 2024 CIM 2024-R1 468,148 351,813 116,335 346,715 294,985 38,363 4.82% 5.47% Clean-up Call 2023 CIM 2023-I2 238,530 202,750 35,780 152,429 122,253 22,987 6.71% 7.06% Currently Callable 2023 CIM 2023-R4 393,997 343,368 50,629 288,729 246,500 34,565 5.01% 5.60% Apr-28 2023 CIM 2023-I1 236,161 205,578 30,583 149,223 125,953 18,470 6.45% 7.31% Currently Callable 2023 CIM 2023-R2 447,384 364,841 82,543 314,204 221,569 82,184 5.50% 6.22% Mar-28 2022 CIM 2022-R3 369,891 327,168 42,723 242,912 205,522 29,014 4.55% 5.34% Sep-27 2022 CIM 2022-R2 508,202 440,865 67,337 358,164 301,070 47,603 3.82% 4.71% May-27 2022 CIM 2022-R1 328,226 294,090 34,136 212,624 190,083 17,624 3.14% 4.48% Feb-27 2021 CIM 2021-R6 353,797 336,284 17,513 155,137 135,660 11,852 1.89% 5.54% Currently Callable 2021 CIM 2021-R5 450,396 382,836 67,560 279,425 206,171 66,580 2.00% 5.53% Currently Callable 2021 CIM 2021-R4 545,684 463,831 81,853 268,719 179,836 80,619 2.00% 6.45% Currently Callable 2021 CIM 2021-R3 859,735 730,775 128,960 373,959 231,417 126,748 1.95% 6.60% Currently Callable 2021 CIM 2021-R2 1,497,213 1,272,631 224,582 552,977 304,888 222,237 2.07% 6.96% Currently Callable 2021 CIM 2021-R1 2,098,584 1,783,797 314,787 845,816 501,016 311,419 1.94% 7.18% Currently Callable 2020 CIM 2020-R7 653,192 562,023 91,169 301,393 203,594 88,818 2.43% 5.98% Currently Callable 2020 CIM 2020-R6 418,390 334,151 84,239 218,593 128,921 82,297 2.25% 5.30% Currently Callable 2020 CIM 2020-R5 338,416 257,027 81,389 137,165 77,109 56,291 3.33% 5.44% Clean-up Call 2020 CIM 2020-R2 492,347 416,761 75,586 252,742 191,940 56,288 2.74% 4.30% Clean-up Call 2020 CIM 2020-R1 390,761 317,608 73,153 207,596 131,611 70,852 2.91% 5.79% Currently Callable 2019 SLST 2019-1 1,217,441 941,719 275,722 658,245 451,481 181,789 3.50% 4.45% Currently Callable 2019 CIM 2019-R5 315,039 252,224 62,815 127,142 79,516 44,347 4.09% 5.73% Clean-up Call 2019 CIM 2019-R2 464,327 358,172 106,155 243,822 166,724 72,864 3.60% 5.35% Clean-up Call 2008 PHHMC 2008-CIM1 619,710 549,142 70,568 5,146 3,735 1,317 6.12% 5.56% Do Not Hold Call Rights $14,866,043 $12,481,316 $2,384,727 $7,726,542 $5,532,502 $1,932,562 3.62% 5.91%
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . Slide #5 1. Sourced from Bloomberg. 2. RMBS spreads sourced from Wells Fargo and Bank of America research. Slide #6 1. Earnings available for distribution per share is a non-GAAP measure. See additional discussion in the Appendix section of this presentation for GAAP to Non-GAAP reconciliations 2. Economic return represents the quarter-over-quarter change in book value plus dividends per common share declared divided by the beginning book value per share. 3. Total leverage includes the sum of secured financing agreements, long term debt, and securitized debt all divided by stockholders' equity. 4. Residential Credit investment portfolio repo financing excludes (i) Agency Pass-Throughs, Agency CMOs, Agency CMBS, legacy Agency interest only securities, and (ii) warehouse lines of credit and repurchase facility obligations related to the Residential Origination (HomeXpress) segment 5. Non-mark-to-market repo includes financings that have margin holidays or limited mark-to-market features. 6. EBTDA, or earnings before taxes, depreciation and amortization, is a non-GAAP measure. See additional discussion in the Appendix section of this presentation for GAAP to Non-GAAP reconciliations. EBTDA ROE, or return on equity, represents the EBTDA divided by the Company’s initial capital investment of $272 million, annualized. Slide #7 1. Reflects HomeXpress standalone results in Q3 2026. HomeXpress was acquired on October 1, 2025 and is not included in Chimera’s consolidated results for that date. 2. EBTDA, or earnings before taxes, depreciation and amortization, is a non-GAAP measure. See additional discussion in the Appendix section of this presentation for GAAP to Non-GAAP reconciliations. EBTDA ROE, or return on equity, represents the EBTDA divided by the Company’s initial capital investment of $272 million, annualized. Slide #9 1. HomeXpress was acquired on October 1, 2025 and is not included in Chimera’s consolidated results for periods prior to Q4 2025. Any data prior to Q4 2025 reflects HomeXpress standalone results. 2. Net origination margin represents the origination revenue less the cost to originate, expressed in basis points of funded loan volume. Origination revenue equals any premiums realized from loan sales, mark-to-market changes of loans held for sale, and loan origination income net of realized gains and losses from hedging, and net interest income. Cost to originate includes direct loan origination costs, net, compensation, payroll taxes and benefits, and general and administrative expenses. Slide #10 1. Investment portfolio figures exclude (i) real estate owned and forward settling transactions, and (ii) assets and liabilities allocable to the Residential Origination segment. 2. Non-Agency RMBS amortized cost is net of allowance for credit losses. 3. Carried at amortized cost. 4. Agency RMBS net assets excludes cash reserves and other cash amounts allocated to the investments, including but not limited to initial margin related to our interest rate hedges allocated to the Agency MBS portfolio. Slide #11 1. Agency Portfolio includes forward settling transactions, if applicable. 2. Excludes derivatives and hedges allocated to the Residential Credit portfolio and Residential Origination segment. 3. Equity Buffer includes initial cash margin held by derivative counterparties and cash reserves and other cash allocated to the Agency MBS portfolio. 4. Effective leverage reflects the Company’s net economic exposure to Agency MBS after considering offsetting short TBA positions. Effective leverage is calculated as repurchase agreement borrowings less the notional amount of short TBA positions, divided by capital allocated to the portfolio. 5. 3-month average annualized prepayment rate (“CPR”) for (i) the active Agency Pass-Through portfolio as of the end of the quarter excludes bonds that have yet to produce three months of prepayment data, and (ii) generic CPR is estimated by Bloomberg based on prepayment speeds of bonds with similar characteristics, such as age and coupon. CPR is sourced from Bloomberg. Slide #12 1. Agency Portfolio includes forward settling transactions, if applicable. 2. Interest rate and spread sensitivities derived using models licensed from third parties with internally derived inputs. Actual results may differ materially from projected estimates. Endnotes 28
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . Slide #13 1. Data is sourced from trustee reports, servicers, Bloomberg and Intex. 2. Weighted Average Loan Term is based on the most recent maturity date of the loan that includes any loan modifications or extension of the maturity date, in each case calculated from the related loan’s first payment date. 3. For Residential Transition Loans, LTC is loan-to-cost, or the total loan amount as a percent of the house value at the time of purchase plus all budgeted improvements. 4. For Residential Transition Loans, LTARV is loan-to-after repair value, or the total loan amount as a percent of the estimated property value after the completion of all planned and budgeted improvements. 5. Total Loan Portfolio Weighted Average Original Loan-to-Value (LTV) and Amortized Loan-to-Value (LTV) excludes the LTC and LTARV related to the Residential Transition Loans. Slide #14 1. Delinquency data sourced from Bloomberg, Intex and trustee/servicer data. Prime Jumbo excludes data prior to December 2022 due to materiality. Slide #15 1. Prepayment data sourced from Bloomberg, Intex and trustee/servicer data. Prime Jumbo excludes data prior to December 2022 due to materiality. Slide #16 1. Residential Credit investment portfolio secured recourse funding includes only financing and interest rate hedges related to, or allocated to, the Residential Credit portfolio. Data does not include outstanding financings or derivatives related to, or allocated to, the Agency RMBS portfolio or the Residential Origination segment Data also excludes financing related to loans held for sale acquired as part of the Prism securitization program ($688 million) and interest rate swaps allocated to hedge interest rate risk in Prism’s settled and unsettled loan pipeline ($1,235 million notional). Slide #17 1. MSR financing receivables represent the contractual right to receive cash flows associated with MSRs through a structured transaction and related financing arrangement. In these arrangements, a licensed servicer holds legal title to the MSRs and is responsible for performing all servicing activities, while the Company provides financing or capital support and, in return, receives the economic benefits of a base and excess servicing spread and related servicing cash flows, net of any fees and costs to service the loans. Slide #18 1. Unaudited total debt related to third-party managed loans and real estate. Excludes total debt related to loans owned by the Company and discretionary credit funds. Data is sourced and reconciled to monthly mortgage loan servicer detail which is subject to subsequent adjustment and reconciliations. 2. Inception period begins February 2013. Slide #20 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 for GAAP to Non-GAAP reconciliations. Slide #22 1. As a result of the business combinations, we updated the determination of earnings available for distribution to exclude non-recurring acquisition-related transaction expenses, non-cash amortization of intangibles and depreciation expenses, and non-cash imputed compensation expenses. These expenses are excluded as they relate to our business combinations and are not directly related to our income-generating activities. 2. Non-cash amortization of intangibles, depreciation, and impairment expense related to acquisitions. 3. Tax impact on non-cash amortization of intangibles and depreciation expenses related to business combinations. Slide #24 1. Primarily interest income on cash and cash equivalents from our Investment Portfolio and Residential Origination segments and interest income from investment in MSR financing receivables. Slide #25 1. Interest-earning assets at amortized cost. 2. Interest includes periodic interest on derivatives, net. 3. These amounts have been adjusted to reflect the daily outstanding averages for which the financial instruments were held during the period. 4. This table excludes interest-earning assets and interest-bearing liabilities of our Residential Origination segment. Our Residential Origination segment includes average interest-earning assets of $891 million, average interest- bearing liabilities of $824 million, interest income of $17 million, interest expense of $12 million, and net interest income of $5 million. 5. The average balance amount represents committed capital by us during the period 6. Average Yield includes the receipt of one-time extension fee received during the second quarter. Endnotes, continued 29
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e . Slide #26 1. Investment portfolio figures exclude (i) real estate owned and forward settling transactions, and (ii) assets and liabilities allocable to the Residential Origination segment. 2. Non-Agency RMBS amortized cost is net of allowance for credit losses. 3. Carried at amortized cost. 4. Agency Pass-through net assets excludes cash reserves and initial margin related to our interest rate hedges and other cash amounts allocated to the Agency MBS portfolio. Endnotes, continued 30
I n f o r m a t i o n u n a u d i t e d , e s t i m a t e d , a n d s u b j e c t t o c h a n g e .