# EDGAR Filing Document

**Accession Number:** 0001409493
**File Stem:** 0001628280-23-003615
**Filing Date:** 2023-2
**Character Count:** 56844
**Document Hash:** 271af5533dabe452dcce06a3932d620b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001628280-23-003615.hdr.sgml**: 20230215

**ACCESSION NUMBER**: 0001628280-23-003615

**CONFORMED SUBMISSION TYPE**: 8-K

**PUBLIC DOCUMENT COUNT**: 26

**CONFORMED PERIOD OF REPORT**: 20230215

**ITEM INFORMATION**: Results of Operations and Financial Condition

**ITEM INFORMATION**: Financial Statements and Exhibits

**FILED AS OF DATE**: 20230215

**DATE AS OF CHANGE**: 20230215

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** CHIMERA INVESTMENT CORP
- **CENTRAL INDEX KEY:** 0001409493
- **STANDARD INDUSTRIAL CLASSIFICATION:** REAL ESTATE INVESTMENT TRUSTS [6798]
- **IRS NUMBER:** 260630461
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** 8-K
- **SEC ACT:** 1934 Act
- **SEC FILE NUMBER:** 001-33796
- **FILM NUMBER:** 23633577

**BUSINESS ADDRESS:**
- **STREET 1:** 520 MADISON AVENUE
- **STREET 2:** 32ND FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10022
- **BUSINESS PHONE:** 212-626-2300

**MAIL ADDRESS:**
- **STREET 1:** 520 MADISON AVENUE
- **STREET 2:** 32ND FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10022

?xml version="1.0" ? cim-20230215

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

____________

FORM 8-K

CURRENT REPORT

PURSUANT TO SECTION 13 OR 15(d) OF THE

SECURITIES EXCHANGE ACT OF 1934

Date of Report (Date of earliest event reported):

<u>February 15, 2023</u>

<u>CHIMERA INVESTMENT CORPORATION</u> 

(Exact name of registrant as specified in its charter)

---

| | | |
|:---|:---|:---|
| <u>Maryland</u> | <u>1-33796</u> | <u>26-0630461</u> |
| (State or Other Jurisdiction | (Commission | (IRS Employer |
| of Incorporation) | File Number) | Identification No.) |

---

630 Fifth Avenue, STE 2400

New York, New York

(Address of principal executive offices)

10111

(Zip Code)

Registrant's telephone number, including area code: (212) 626-2300

Securities registered pursuant to Section 12(b) of the Act:

---

| | | |
|:---|:---|:---|
| **<u>Title of Each Class</u>** | **<u>Trading Symbol(s)</u>** | **<u>Name of Each Exchange on Which Registered</u>** |
| **Common Stock, par value $0.01 per share** | **CIM** | **New York Stock Exchange** |
| **8.00% Series A Cumulative Redeemable Preferred Stock** | **CIM PRA** | **New York Stock Exchange** |
| **8.00% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock** | **CIM PRB** | **New York Stock Exchange** |
| **7.75% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock** | **CIM PRC** | **New York Stock Exchange** |
| **8.00% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock** | **CIM PRD** | **New York Stock Exchange** |

---

Registrant's Web site address: www.chimerareit.com

(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:

☐ Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)

------

☐ Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)

☐ Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))

☐ Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

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).&nbsp;&nbsp;&nbsp;&nbsp;

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.&nbsp;&nbsp;&nbsp;&nbsp;☐

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Item 2.02. Results of Operations and Financial Condition

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;On February 15, 2023, the registrant issued a press release announcing its financial results for the quarter and year ended December 31, 2022. A copy of the press release is furnished as Exhibit 99.1 to this report.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;On February 15, 2023, the registrant posted supplemental financial information on the News & Events - Press Releases section of its website (www.chimerareit.com). A copy of the supplemental financial information is furnished as Exhibit 99.2 to this report and incorporated herein by reference.

Item 9.01 Financial Statements and Exhibits

(d)&nbsp;&nbsp;&nbsp;&nbsp;Exhibits

99.1&nbsp;&nbsp;&nbsp;&nbsp;<u>[Press Release, dated](pressrelease-q42022.htm)[February 15, 2023](pressrelease-q42022.htm)[, issued by Chimera Investment Corporation](pressrelease-q42022.htm)</u>

99.2&nbsp;&nbsp;&nbsp;&nbsp;<u>[Supplemental Financial Information for the quarter ended](supplement-q42022.htm)[December](supplement-q42022.htm)[3](supplement-q42022.htm)[1](supplement-q42022.htm)[, 202](supplement-q42022.htm)[2](supplement-q42022.htm)[.](supplement-q42022.htm)</u>

------

SIGNATURES

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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.

&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Chimera Investment Corporation

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; By: <u>/s/ Subramaniam Viswanathan</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Name:&nbsp;&nbsp;&nbsp;&nbsp;Subramaniam Viswanathan&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Title:&nbsp;&nbsp;&nbsp;&nbsp;Chief Financial Officer

Date: February 15, 2023

## Exhibit 99.1

![chimeralogoa18.jpg](chimeralogoa18.jpg)

**PRESS RELEASE**

*NYSE: CIM&nbsp;&nbsp;&nbsp;&nbsp;*

**CHIMERA INVESTMENT CORPORATION**

**630 Fifth Ave, Ste 2400**

**New York, New York 10111**

_________________________________________________________________________________________________

Investor Relations

888-895-6557

<u>www.chimerareit.com</u>

***FOR IMMEDIATE RELEASE***

**CHIMERA INVESTMENT CORPORATION REPORTS 4TH QUARTER 2022 EARNINGS** 

NEW YORK - (BUSINESS WIRE) - Chimera Investment Corporation (NYSE:CIM) today announced its financial results for the fourth quarter and full year ended December 31, 2022.

**Financial Highlights:**

&nbsp;&nbsp;&nbsp;&nbsp;**•** 4TH QUARTER GAAP NET INCOME OF $0.34 PER DILUTED COMMON SHARE

&nbsp;&nbsp;&nbsp;&nbsp;• 4TH QUARTER EARNINGS AVAILABLE FOR DISTRIBUTION<sup>(1)</sup> OF $0.11 PER DILUTED COMMON SHARE.

&nbsp;&nbsp;&nbsp;&nbsp;• FULL YEAR GAAP NET LOSS OF $587 MILLION, OR $2.51 PER DILUTED COMMON SHARE

&nbsp;&nbsp;&nbsp;&nbsp;• FULL YEAR EARNINGS AVAILABLE FOR DISTRIBUTION<sup>(1)</sup> OF $256 MILLION, OR $1.08 PER DILUTED COMMON SHARE.

&nbsp;&nbsp;&nbsp;&nbsp;• GAAP BOOK VALUE OF $7.49 PER COMMON SHARE

&nbsp;&nbsp;&nbsp;&nbsp;• 4TH QUARTER BOOK VALUE RETURN OF 3.8%, CHANGE IN BOOK VALUE PLUS DIVIDEND FOR THE QUARTER

**Business Highlights:** 

*Fourth Quarter*

&nbsp;&nbsp;&nbsp;&nbsp;• Settled $463 million of fixed rate prime jumbo loans into a financing structure in which we borrowed $383 million for five years at an effective fixed rate with non-mark-to-market feature

&nbsp;&nbsp;&nbsp;&nbsp;• Sponsored $145 million CIM 2022-NR1 Securitization which reduced our mark-to-market mortgage loan warehouse exposure by approximately $100 million

*Post Quarter*

&nbsp;&nbsp;&nbsp;&nbsp;• Committed to purchase approximately $900 million of residential mortgage loans, which is expected to be accretive to future earnings

&nbsp;&nbsp;&nbsp;&nbsp;• Collapsed CIM Trust 2020-R4, CIM Trust 2020-NR1, CIM Trust 2018-R5, and CIM Trust 2018-R6 and issued CIM Trust 2023-R1 and CIM Trust 2023-NR1 reducing recourse borrowing amount by approximately $139 million and releasing approximately $90 million in equity

------

&nbsp;&nbsp;&nbsp;&nbsp;• As of January 31, we had approximately $365 million in cash

"Since the end of last year, we have been able to take positive actions with respect to our financing, hedging, and asset acquisitions and allocation which we believe position us to navigate potentially volatile markets in 2023, said Phillip Kardis, Chief Executive Officer."

(1) Earnings available for distribution per adjusted diluted common share is a non-GAAP measure. See additional discussion on page 6.

------

**Other Information**

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

---

| | | |
|:---|:---|:---|
| **CHIMERA INVESTMENT CORPORATION** | **CHIMERA INVESTMENT CORPORATION** | **CHIMERA INVESTMENT CORPORATION** |
| **CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION** | **CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION** | **CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION** |
| (dollars in thousands, except share and per share data) | (dollars in thousands, except share and per share data) | (dollars in thousands, except share and per share data) |
| (Unaudited) | (Unaudited) | (Unaudited) |
|  | **December 31, 2022** | **December 31, 2021** |
| Cash and cash equivalents | $264600 | $385741 |
| Non-Agency RMBS, at fair value (net of allowance for credit losses of $7 million and $213 thousand, respectively) | 1147481 | 1810208 |
| Agency RMBS, at fair value | 15148 | 60487 |
| Agency CMBS, at fair value | 415796 | 761208 |
| Loans held for investment, at fair value | 11359236 | 12261926 |
| Accrued interest receivable | 61768 | 69513 |
| Other assets | 133866 | 58320 |
| Derivatives, at fair value | 4096 |  |
| Total assets <sup>(1)</sup> | $13401991 | $15407403 |
| Liabilities: |  |  |
| Secured financing agreements ($4.7 billion and $4.4 billion pledged as collateral, respectively, and includes $374 million and $0 million at fair value, respectively) | $3434765 | $3261613 |
| Securitized debt, collateralized by Non-Agency RMBS ($276 million and $365 million pledged as collateral, respectively) | 78542 | 87999 |
| Securitized debt at fair value, collateralized by Loans held for investment ($10.0 billion and $11.0 billion pledged as collateral, respectively) | 7100742 | 7726043 |
| Payable for investments purchased | 9282 | 477415 |
| Accrued interest payable | 30696 | 20416 |
| Dividends payable | 64545 | 86152 |
| Accounts payable and other liabilities | 16616 | 11574 |
| Total liabilities <sup>(1)</sup> | $10735188 | $11671212 |
| 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; 500,000,000 shares authorized, 231,824,192 and 236,951,266 shares issued and outstanding, respectively | 2318 | 2370 |
| Additional paid-in-capital | 4318388 | 4359045 |
| Accumulated other comprehensive income | 229345 | 405054 |
| Cumulative earnings | 4038942 | 4552008 |
| Cumulative distributions to stockholders | (5922562) | (5582658) |
| Total stockholders' equity | $2666803 | $3736191 |
| Total liabilities and stockholders' equity | $13401991 | $15407403 |

---

(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 December 31, 2022, and December 31, 2021, total assets of consolidated VIEs were $10,199,266 and $10,666,591, respectively, and total liabilities of consolidated VIEs were $6,772,125 and $7,223,655, respectively.

------

---

| | | | |
|:---|:---|:---|:---|
| **CHIMERA INVESTMENT CORPORATION** | **CHIMERA INVESTMENT CORPORATION** | **CHIMERA INVESTMENT CORPORATION** | **CHIMERA INVESTMENT CORPORATION** |
| **CONSOLIDATED STATEMENTS OF OPERATIONS** | **CONSOLIDATED STATEMENTS OF OPERATIONS** | **CONSOLIDATED STATEMENTS OF OPERATIONS** | **CONSOLIDATED STATEMENTS OF OPERATIONS** |
| (dollars in thousands, except share and per share data) | (dollars in thousands, except share and per share data) | (dollars in thousands, except share and per share data) | (dollars in thousands, except share and per share data) |
| (Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) |
|  | **For the Year Ended** | **For the Year Ended** | **For the Year Ended** |
|  | **December 31, 2022** | **December 31, 2021** | **December 31, 2020** |
| **Net interest income:** |  |  |  |
| Interest income <sup>(1)</sup> | $773121 | $937546 | $1030250 |
| Interest expense <sup>(2)</sup> | 333293 | 326628 | 516181 |
| Net interest income | 439828 | 610918 | 514069 |
| Increase/(decrease) in provision for credit losses | 7037 | 33 | 180 |
| **Other investment gains (losses):** |  |  |  |
| Net unrealized gains (losses) on derivatives | (1482) |  | 201000 |
| Realized gains (losses) on terminations of interest rate swaps | (561) |  | (463966) |
| Periodic interest cost of swaps, net | (1752) |  | (41086) |
| Net gains (losses) on derivatives | (3795) |  | (304052) |
| Net unrealized gains (losses) on financial instruments at fair value | (736899) | 437357 | (110664) |
| Net realized gains (losses) on sales of investments | (76473) | 45313 | 166946 |
| Gains (losses) on extinguishment of debt | (2897) | (283556) | (54418) |
| Other investment gains (losses) | (1866) |  |  |
| Total other gains (losses) | (821930) | 199114 | (302188) |
| **Other expenses:** |  |  |  |
| Compensation and benefits | 49378 | 46823 | 44811 |
| General and administrative expenses | 22651 | 22246 | 22914 |
| Servicing and asset manager fees | 36005 | 36555 | 39896 |
| Transaction expenses | 16146 | 29856 | 15068 |
| Total other expenses | 124180 | 135480 | 122689 |
| **Income (loss) before income taxes** | (513319) | 674519 | 89012 |
| Income tax expense (benefit) | (253) | 4405 | 158 |
| **Net income (loss)** | $(513066) | $670114 | $88854 |
| **Dividends on preferred stock** | 73765 | 73764 | 73750 |
| **Net income (loss) available to common shareholders** | $(586831) | $596350 | $15104 |
| **Net income (loss) per share available to common shareholders:** |  |  |  |
| Basic | $(2.51) | $2.55 | $0.07 |
| Diluted | $(2.51) | $2.44 | $0.07 |
| **Weighted average number of common shares outstanding:** |  |  |  |
| Basic | 233938745 | 233770474 | 212995533 |
| Diluted | 233938745 | 245496926 | 226438341 |

---

(1) Includes interest income of consolidated VIEs of $551,253, $586,580, and $683,456 for the years ended December 31, 2022, 2021, and 2020, respectively.

(2) Includes interest expense of consolidated VIEs of $197,823, $203,135, and $285,142 for the years ended December 31, 2022, 2021, and 2020, respectively.

------

---

| | | | |
|:---|:---|:---|:---|
| **CHIMERA INVESTMENT CORPORATION** | **CHIMERA INVESTMENT CORPORATION** | **CHIMERA INVESTMENT CORPORATION** | **CHIMERA INVESTMENT CORPORATION** |
| **CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)** | **CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)** | **CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)** | **CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)** |
| (dollars in thousands, except share and per share data) | (dollars in thousands, except share and per share data) | (dollars in thousands, except share and per share data) | (dollars in thousands, except share and per share data) |
| (Unaudited) | (Unaudited) | (Unaudited) | (Unaudited) |
|  | **For the Year Ended** | **For the Year Ended** | **For the Year Ended** |
|  | **December 31, 2022** | **December 31, 2021** | **December 31, 2020** |
| **Comprehensive income (loss):** |  |  |  |
| Net income (loss) | $(513066) | $670114 | $88854 |
| **Other comprehensive income:** |  |  |  |
| Unrealized gains (losses) on available-for-sale securities, net | (175709) | (115926) | (94136) |
| Reclassification adjustment for net realized losses (gains) included in net income |  | (37116) | (56104) |
| Other comprehensive income (loss) | (175709) | $(153042) | $(150240) |
| **Comprehensive income (loss) before preferred stock dividends** | $**(688775)** | $**517072** | $**(61386)** |
| Dividends on preferred stock | $73765 | $73764 | $73750 |
| **Comprehensive income (loss) available to common stock shareholders** | $**(762540)** | $**443308** | $**(135136)** |

---

------

***Earnings available for distribution***

Earnings available for distribution is a non-GAAP measure and is defined as GAAP net income excluding unrealized gains or losses on financial instruments carried at fair value with changes in fair value recorded in earnings, realized gains or losses on the sales of investments, gains or losses on the extinguishment of debt, interest expense on long term debt, changes in the provision for credit losses, other gains or losses on equity investments, and transaction expenses incurred. In addition, stock compensation expense charges incurred on awards to retirement eligible employees is reflected as an expense over a vesting period (36 months) rather than reported as an immediate expense.

Earnings available for distribution is the Economic net interest income, reduced by compensation and benefits expenses (adjusted for awards to retirement eligible employees), general and administrative expenses, servicing and asset manager fees, income tax benefits or expenses incurred during the period, as well as the preferred dividend charges. Economic net interest income is a non-GAAP financial measure that equals GAAP net interest income adjusted for interest expense on long term debt, net periodic interest cost of interest rate swaps and excludes interest earned on cash. See a reconciliation of Economic net interest income to the most relevant GAAP measure below.

We view Earnings available for distribution as one measure of our investment portfolio's ability to generate income for distribution to common stockholders. Earnings available for distribution is one of the metrics, but not the exclusive metric, that our Board of Directors uses to determine the amount, if any, of dividends on our common stock. Other metrics that our Board of Directors may consider when determining the amount, if any, of dividends on our common stock include (among others) REIT taxable income, dividend yield, book value, cash generated from the portfolio, reinvestment opportunities and other cash needs. In addition, Earnings available for distribution is different than REIT taxable income and the determination of whether we have met the requirement to distribute at least 90% of our annual REIT taxable income (subject to certain adjustments) to our stockholders in order to maintain qualification as a REIT is not based on Earnings available for distribution. Therefore, Earnings available for distribution should not be considered as an indication of our REIT taxable income, a guaranty of our ability to pay dividends, or as a proxy for the amount of dividends we may pay. We believe Earnings available for distribution as described above helps us and investors evaluate our financial performance period over period without the impact of certain transactions. Therefore, Earnings available for distribution should not be viewed in isolation and is not a substitute for net income or net income per basic share computed in accordance with GAAP. In addition, our methodology for calculating Earnings available for distribution may differ from the methodologies employed by other REITs to calculate the same or similar supplemental performance measures, and accordingly, our Earnings available for distribution may not be comparable to the Earnings available for distribution reported by other REITs.

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

------

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **For the Quarters Ended** | **For the Quarters Ended** | **For the Quarters Ended** | **For the Quarters Ended** | **For the Quarters Ended** |
| | **December 31, 2022** | **September 30, 2022** | **June 30, 2022** | **March 31, 2022** | **December 31, 2021** |
| | (dollars in thousands, except per share data) | (dollars in thousands, except per share data) | (dollars in thousands, except per share data) | (dollars in thousands, except per share data) | (dollars in thousands, except per share data) |
| **GAAP Net income (loss) available to common stockholders** | $78716 | $(204583) | $(179765) | $(281202) | $(718) |
| Adjustments: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net unrealized (gains) losses on financial instruments at fair value | (112026) | 239513 | 239246 | 370167 | 108286 |
| &nbsp;&nbsp;&nbsp;Net realized (gains) losses on sales of investments | 39443 | 37031 |  |  |  |
| &nbsp;&nbsp;&nbsp;(Gains) losses on extinguishment of debt |  |  | 2897 |  | (980) |
| &nbsp;&nbsp;&nbsp;Increase (decrease) in provision for credit losses | 3834 | (1534) | 4497 | 240 | 92 |
| &nbsp;&nbsp;&nbsp;Net unrealized (gains) losses on derivatives | 10171 | (10307) | 1618 |  |  |
| &nbsp;&nbsp;&nbsp;Realized (gains) losses on terminations of interest rate swaps | 561 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Transaction expenses | 3274 | 2341 | 6727 | 3804 | 4241 |
| &nbsp;&nbsp;&nbsp;Stock Compensation expense for retirement eligible awards | (309) | (310) | (309) | 723 | (363) |
| &nbsp;&nbsp;&nbsp;Other investment (gains) losses | 2383 | 462 | (980) |  |  |
| **Earnings available for distribution** | $**26047** | $**62613** | $**73931** | $**93732** | $**110558** |
| **GAAP net income (loss) per diluted common share** | $**0.34** | $**(0.88)** | $**(0.76)** | $**(1.19)** | $**—** |
| **Earnings available for distribution per adjusted diluted common share** | $**0.11** | $**0.27** | $**0.31** | $**0.39** | $**0.46** |

---

The following tables provide a summary of the Company's MBS portfolio at December 31, 2022 and December 31, 2021.

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** |
| | **Principal or Notional Value<br>at Period-End<br>(dollars in thousands)** | **Weighted Average Amortized<br>Cost Basis** | **Weighted Average Fair Value** | **Weighted Average<br>Coupon** | **Weighted Average Yield at Period-End** <sup>(1)</sup> |
| Non-Agency RMBS | Non-Agency RMBS |  |  |  |  |
| Senior | $1153458 | $46.09 | 66.05 | 5.3% | 16.4% |
| Subordinated | 439591 | 68.60 | 65.27 | 4.2% | 6.8% |
| Interest-only | 3286545 | 4.95 | 3.01 | 0.6% | 5.3% |
| Agency RMBS |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest-only | 409940 | 4.58 | 3.70 | 0.9% | 5.0% |
| Agency CMBS |  |  |  |  |  |
| Project loans | 302685 | 101.85 | 95.62 | 4.3% | 4.1% |
| Interest-only | 2669396 | 5.23 | 4.73 | 0.7% | 3.4% |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1) Bond Equivalent Yield at period end.

------

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **December 31, 2021** | **December 31, 2021** | **December 31, 2021** | **December 31, 2021** | **December 31, 2021** |
| | **Principal or Notional Value at Period-End<br>(dollars in thousands)** | **Weighted Average Amortized<br>Cost Basis** | **Weighted Average Fair Value** | **Weighted Average<br>Coupon** | **Weighted Average Yield at Period-End** <sup>(1)</sup> |
| Non-Agency RMBS | Non-Agency RMBS |  |  |  |  |
| Senior | $1283788 | $48.02 | $76.78 | 4.5% | 18.0% |
| Subordinated | 845432 | 68.10 | 77.12 | 3.8% | 7.1% |
| Interest-only | 3904665 | 4.90 | 4.42 | 1.7% | 13.2% |
| Agency RMBS |  |  |  |  |  |
| Interest-only | 992978 | 10.37 | 6.09 | 1.3% | 0.3% |
| Agency CMBS |  |  |  |  |  |
| Project loans | 560565 | 101.77 | 109.61 | 4.3% | 4.1% |
| Interest-only | 2578640 | 5.70 | 5.69 | 0.7% | 4.6% |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1) Bond Equivalent Yield at period end.

At December 31, 2022 and December 31, 2021, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates.

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **December 31, 2021** | **December 31, 2021** | **December 31, 2021** |
| | (dollars in thousands) | (dollars in thousands) | (dollars in thousands) | (dollars in thousands) | (dollars in thousands) | (dollars in thousands) |
| | **Principal** <sup>(1)</sup> | **Weighted Average Borrowing Rates** | **Range of Borrowing Rates** | **Principal** <sup>(1)</sup> | **Weighted Average Borrowing Rates** | **Range of Borrowing Rates** |
| 1 to 29 days | 493918 | 4.66% | 3.63% - 6.16% | 1018670 | 0.73% | 0.11% - 1.95% |
| 30 to 59 days | 762768 | 6.14% | 4.60% - 7.34% | 379031 | 1.66% | 1.55% - 1.70% |
| 60 to 89 days | 225497 | 6.04% | 4.70% - 7.12% | 342790 | 1.86% | 0.90% - 2.35% |
| 90 to 119 days | 43180 | 6.54% | 5.50% - 6.70% | 67840 | 1.66% | 1.66% - 1.66% |
| 120 to 180 days | 401638 | 5.88% | 5.57% - 6.92% | 157944 | 1.38% | 0.95% - 1.45% |
| 180 days to 1 year | 402283 | 6.06% | 5.63% - 6.64% | 895210 | 3.70% | 1.95% - 4.38% |
| 1 to 2 years | 251286 | 13.98% | 13.98% - 13.98% | 143239 | 3.05% | 3.05% - 3.05% |
| 2 to 3 years | 480022 | 8.07% | 8.07% - 8.07% |  | NA | NA |
| Greater than 3 years | 382839 | 5.14% | 5.10% - 6.07% | 256889 | 5.56% | 5.56% - 5.56% |
| Total | $3443431 | 6.61% |  | $3261613 | 2.30% |  |

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(1) The outstanding balance for secured financing agreements in the table above is net of $1 million and $3 million of deferred financing cost as of December 31, 2022 and 2021, respectively.

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The following table summarizes certain characteristics of our portfolio at December 31, 2022 and December 31, 2021.

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| | | |
|:---|:---|:---|
| | **December 31, 2022** | **December 31, 2021** |
| GAAP Leverage at period-end | 4.0:1 | 3.0:1 |
| GAAP Leverage at period-end (recourse) | 1.3:1 | 0.9:1 |

---

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| | | | | |
|:---|:---|:---|:---|:---|
| | **December 31, 2022** | **December 31, 2021** | **December 31, 2022** | **December 31, 2021** |
| Portfolio Composition | Amortized Cost | Amortized Cost | Fair Value | Fair Value |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Non-Agency RMBS | 7.5% | 10.1% | 8.9% | 12.1% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Senior | 4.0% | 4.5% | 5.9% | 6.5% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Subordinated | 2.3% | 4.2% | 2.2% | 4.4% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest-only | 1.2% | 1.4% | 0.8% | 1.2% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Agency RMBS | 0.1% | 0.8% | 0.1% | 0.4% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Pass-through | —% | —% | —% | —% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest-only | 0.1% | 0.8% | 0.1% | 0.4% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Agency CMBS | 3.3% | 5.3% | 3.2% | 5.2% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Project loans | 2.3% | 4.2% | 2.2% | 4.2% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest-only | 1.0% | 1.1% | 1.0% | 1.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Loans held for investment | 89.1% | 83.8% | 87.8% | 82.3% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fixed-rate percentage of portfolio | 96.5% | 95.4% | 95.6% | 94.4% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Adjustable-rate percentage of portfolio | 3.5% | 4.6% | 4.4% | 5.6% |

---

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***Economic Net Interest Income***

Our Economic net interest income is a non-GAAP financial measure that equals GAAP net interest income adjusted for interest expense on long term debt, net periodic interest cost of interest rate swaps and excludes interest earned on cash. For the purpose of computing economic net interest income and ratios relating to cost of funds measures throughout this section, interest expense includes net payments on our interest rate swaps, which is presented as a part of Net gains (losses) on derivatives in our Consolidated Statements of Operations. Interest rate swaps 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 swaps with the interest paid on interest-bearing liabilities reflects our total contractual interest payments. We believe this presentation is useful to investors because it depicts the economic value of our investment strategy by showing 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 interest payments on long term debt and any interest earned on cash, is referred to as Economic interest expense. Where indicated, net interest income reflecting interest payments on long term debt, net periodic interest cost of interest rate swaps 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.

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| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | GAAP<br>Interest<br>Income | GAAP<br>Interest<br>Expense | Periodic Interest Cost of Interest Rate Swaps | Interest Expense on Long Term Debt | Economic Interest<br>Expense | GAAP Net Interest<br>Income | Net Realized<br>Gains (Losses) on Interest Rate Swaps | Other <sup>(1)</sup> | Economic<br>Net<br>Interest<br>Income |
| For the Year Ended December 31, 2022 | $773121 | $333293 | $1752 | $— | $335045 | $439828 | $(1752) | $(2505) | $435571 |
| For the Year Ended December 31, 2021 | $937546 | $326628 | $— | $(2274) | $324354 | $610918 | $— | $2208 | $613126 |
| For the Year Ended December 31, 2020 | $1030250 | $516181 | $6385 | $(7082) | $515484 | $514069 | $(6385) | $5755 | $513439 |
| For the Quarter Ended December 31, 2022 | $187286 | $106891 | $1629 | $— | $108520 | $80395 | $(1629) | $(1867) | $76899 |
| For the Quarter Ended September 30, 2022 | $188303 | $83464 | $122 | $— | $83586 | $104839 | $(122) | $(540) | $104177 |
| For the Quarter Ended June 30, 2022 | $195357 | $78467 | $— | $— | $78467 | $116890 | $— | $(81) | $116809 |
| For the Quarter Ended March 31, 2022 | $202175 | $64473 | $— | $— | $64473 | $137702 | $— | $(18) | $137684 |

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(1) Primarily interest expense on Long term debt, periodic net interest cost on swaps and interest income on cash and cash equivalents.

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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.

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| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **For the Quarter Ended** | **For the Quarter Ended** | **For the Quarter Ended** | **For the Quarter Ended** | **For the Quarter Ended** | **For the Quarter Ended** | **For the Quarter Ended** | **For the Quarter Ended** | **For the Quarter Ended** |
| | **December 31, 2022** | **December 31, 2022** | **December 31, 2022** | **September 30, 2022** | **September 30, 2022** | **September 30, 2022** | **December 31, 2021** | **December 31, 2021** | **December 31, 2021** |
| | (dollars in thousands) | (dollars in thousands) | (dollars in thousands) | (dollars in thousands) | (dollars in thousands) | (dollars in thousands) | (dollars in thousands) | (dollars in thousands) | (dollars in thousands) |
| | **Average<br>Balance** | **Interest** | **Average<br>Yield/Cost** | **Average<br>Balance** | **Interest** | **Average<br>Yield/Cost** | **Average<br>Balance** | **Interest** | **Average<br>Yield/Cost** |
| Assets: |  |  |  |  |  |  |  |  |  |
| ***Interest-earning assets*** <sup>(1)</sup>***:*** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Agency RMBS | $31542 | $346 | 4.4% | $110260 | $274 | 1.0% | $104684 | $71 | 0.3% |
| &nbsp;&nbsp;&nbsp;Agency CMBS | 441421 | 4291 | 3.9% | 445191 | 4784 | 4.3% | 851886 | 27711 | 13.0% |
| &nbsp;&nbsp;&nbsp;Non-Agency RMBS | 1013693 | 29304 | 11.6% | 1061412 | 33565 | 12.6% | 1406876 | 51644 | 14.7% |
| &nbsp;&nbsp;&nbsp;Loans held for investment | 12075239 | 151478 | 5.0% | 12022445 | 149140 | 5.0% | 11498173 | 141724 | 4.9% |
| Total | $13561895 | $185419 | 5.5% | $13639308 | $187763 | 5.5% | $13861619 | $221150 | 6.4% |
| Liabilities and stockholders' equity: |  |  |  |  |  |  |  |  |  |
| ***Interest-bearing liabilities*** <sup>(2)</sup>***:***  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Secured financing agreements collateralized by: |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Agency RMBS | $4547 | $46 | 4.0% | $6560 | $45 | 2.7% | $23824 | $40 | 0.7% |
| &nbsp;&nbsp;&nbsp;&nbsp;Agency CMBS | 358914 | 3464 | 3.9% | 350883 | 2009 | 2.3% | 731577 | 346 | 0.2% |
| &nbsp;&nbsp;&nbsp;&nbsp;Non-Agency RMBS | 788795 | 13275 | 6.7% | 853768 | 7368 | 3.5% | 839898 | 5837 | 2.8% |
| &nbsp;&nbsp;&nbsp;&nbsp;Loans held for investment | 1971144 | 33776 | 6.9% | 1845075 | 21181 | 4.6% | 1872915 | 13281 | 2.8% |
| &nbsp;&nbsp;&nbsp;Securitized debt | 8056913 | 57959 | 2.9% | 8176766 | 52983 | 2.6% | 8009117 | 47094 | 2.4% |
| Total | $11180313 | $108520 | 3.9% | $11233052 | $83586 | 3.0% | $11477331 | $66598 | 2.3% |
| **Economic net interest income/net interest rate spread** |  | $76899 | 1.6% |  | $104177 | 2.5% |  | $154552 | 4.1% |
| **Net interest-earning assets/net interest margin** | $2381582 |  | 2.3% | $2406256 |  | 3.1% | $2384288 |  | 4.5% |
| **Ratio of interest-earning assets to interest bearing liabilities** | 1.21 |  |  | 1.21 |  |  | 1.21 |  |  |
| (1) Interest-earning assets at amortized cost |  |  |  |  |  |  |  |  |  |
| (2) Interest includes periodic net interest cost on swaps |  |  |  |  |  |  |  |  |  |

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

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| | | | |
|:---|:---|:---|:---|
| | Return on Average Equity | Economic Net Interest Income/Average Equity \* | Earnings available for distribution/Average Common Equity |
| | (Ratios have been annualized) | (Ratios have been annualized) | (Ratios have been annualized) |
| For the Year Ended December 31, 2022 | (16.69)% | 14.17% | 11.96% |
| For the Year Ended December 31, 2021 | 18.05% | 16.52% | 15.42% |
| For the Year Ended December 31, 2020 | 2.46% | 14.21% | 12.43% |
| For the Quarter Ended December 31, 2022 | 14.61% | 11.56% | 6.02% |
| For the Quarter Ended September 30, 2022 | (26.47)% | 14.81% | 13.30% |
| For the Quarter Ended June 30, 2022 | (20.45)% | 14.81% | 13.29% |
| For the Quarter Ended March 31, 2022 | (29.72)% | 15.57% | 14.38% |

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\* Excludes long term debt expense.

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

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **For the Quarters Ended** | **For the Quarters Ended** | **For the Quarters Ended** | **For the Quarters Ended** | **For the Quarters Ended** |
| | (dollars in thousands) | (dollars in thousands) | (dollars in thousands) | (dollars in thousands) | (dollars in thousands) |
| **Accretable Discount (Net of Premiums)** | **December 31, 2022** | **September 30, 2022** | **June 30, 2022** | **March 31, 2022** | **December 31, 2021** |
| Balance, beginning of period | $207812 | $241391 | $258494 | $333546 | $352545 |
| Accretion of discount | (11128) | (12989) | (17408) | (19470) | (22172) |
| Purchases |  |  |  |  |  |
| Sales | (17935) |  |  |  |  |
| Elimination in consolidation |  |  |  | (60361) |  |
| Transfers from/(to) credit reserve, net | (2114) | (20590) | 305 | 4779 | 3173 |
| Balance, end of period | $176635 | $207812 | $241391 | $258494 | $333546 |

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**Disclaimer**

This press release includes "forward-looking statements" within the meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act of 1995. Actual results may differ from expectations, estimates and projections and, consequently, readers should not rely on these forward-looking statements as predictions of future events. Words such as "expect," "target," "assume," "estimate," "project," "budget," "forecast," "anticipate," "intend," "plan," "may," "will," "could," "should," "believe," "predicts," "potential," "continue," and similar expressions are intended to identify such forward-looking statements. These forward-looking statements involve significant risks and uncertainties that could cause actual results to differ materially from expected results, including, among other things, those described in our most recent Annual Report on Form 10-K, and any subsequent Quarterly Reports on Form 10-Q and Current Reports on Form 8-K, under the caption "Risk Factors." Factors that could cause actual results to differ include, but are not limited to: our business and investment strategy; our ability to accurately forecast the payment of future dividends on our common and preferred stock, and the amount of such dividends; our ability to determine accurately the fair market value of our assets; availability of investment opportunities in real estate-related and other securities, including our valuation of potential opportunities that may arise as a result of current and future market dislocations; effect of a pandemic or other national or international crisis on real estate market, financial markets and our Company, including the impact on the value, availability, financing and liquidity of mortgage assets; changes in the value of our investments, including negative changes resulting in margin calls related to the financing of our assets; changes in interest rates and mortgage prepayment rates; prepayments of the mortgage and other loans underlying our mortgage-backed securities, or RMBS, or other asset-backed securities, or ABS; rates of default, delinquencies or decreased recovery rates on our investments; general volatility of the securities markets in which we invest; our ability to maintain existing financing arrangements and our ability to obtain future financing arrangements; our ability to effect our strategy to securitize residential mortgage loans; our ability to consummate proposed transactions; interest rate mismatches between our investments and our borrowings used to finance such purchases; effects of interest rate caps on our adjustable-rate investments; the degree to which our hedging

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strategies may or may not protect us from interest rate volatility; the impact of and changes to various government programs; impact of and changes in governmental regulations, tax law and rates, accounting guidance, and similar matters; market trends in our industry, interest rates, the debt securities markets or the general economy; estimates relating to our ability to make distributions to our stockholders in the future; our understanding of our competition; availability of qualified personnel; our ability to maintain our classification as a real estate investment trust, or, REIT, for U.S. federal income tax purposes; our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended, or 1940 Act; our expectations regarding materiality or significance; and the effectiveness of our disclosure controls and procedures.

Readers are cautioned not to place undue reliance upon any forward-looking statements, which speak only as of the date made. Chimera does not undertake or accept any obligation to release publicly any updates or revisions to any forward-looking statement to reflect any change in its expectations or any change in events, conditions or circumstances on which any such statement is based. Additional information concerning these and other risk factors is contained in Chimera's most recent filings with the Securities and Exchange Commission (SEC). All subsequent written and oral forward-looking statements concerning Chimera or matters attributable to Chimera or any person acting on its behalf are expressly qualified in their entirety by the cautionary statements above.

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

## Exhibit 99.2

![](supplement-q42022001.jpg)

FINANCIAL SUPPLEMENT 4th Quarter 2022

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![](supplement-q42022002.jpg)

Information is unaudited, estimated and subject to change. DISCLAIMER This presentation includes "forward-looking statements" within the meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act of 1995. Actual results may differ from expectations, estimates and projections and, consequently, readers should not rely on these forward-looking statements as predictions of future events. Words such as "goal" "expect," "target," "assume," "estimate," "project," "budget," "forecast," "anticipate," "intend," "plan," "may," "will," "could," "should," "believe," "predicts," "potential," "continue," and similar expressions are intended to identify such forward-looking statements. These forward-looking statements involve significant risks and uncertainties that could cause actual results to differ materially from expected results, including, among other things, those described in our most recent Annual Report on Form 10-K, and any subsequent Quarterly Reports on Form 10-Q and Current Report on Form 8-K, under the caption "Risk Factors." Factors that could cause actual results to differ include, but are not limited to:our business and investment strategy; our ability to accurately forecast the payment of future dividends on our common and preferred stock, and the amount of such dividends; our ability to determine accurately the fair market value of our assets; availability of investment opportunities in real estate-related and other securities, including our valuation of potential opportunities that may arise as a result of current and future market dislocations; effect of the novel coronavirus (or COVID-19) pandemic on real estate market, financial markets and our Company, including the impact on the value, availability, financing and liquidity of mortgage assets; how COVID-19 may affect us, our operations and our personnel; our expected investments; changes in the value of our investments, including negative changes resulting in margin calls related to the financing of our assets; changes in interest rates and mortgage prepayment rates; prepayments of the mortgage and other loans underlying our mortgage-backed securities, or RMBS, or other asset-backed securities, or ABS; rates of default, delinquencies or decreased recovery rates on our investments; general volatility of the securities markets in which we invest; our ability to maintain existing financing arrangements and our ability to obtain future financing arrangements; our ability to effect our strategy to securitize residential mortgage loans; interest rate mismatches between our investments and our borrowings used to finance such purchases; effects of interest rate caps on our adjustable-rate investments; the degree to which our hedging strategies may or may not protect us from interest rate volatility; the impact of and changes to various government programs, including in response to COVID-19; impact of and changes in governmental regulations, tax law and rates, accounting guidance, and similar matters; market trends in our industry, interest rates, the debt securities markets or the general economy; estimates relating to our ability to make distributions to our stockholders in the future; our understanding of our competition; availability of qualified personnel; our ability to maintain our classification as a real estate investment trust, or, REIT, for U.S. federal income tax purposes; our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended, or 1940 Act; our expectations regarding materiality or significance; and the effectiveness of our disclosure controls and procedures. Readers are cautioned not to place undue reliance upon any forward-looking statements, which speak only as of the date made. Chimera does not undertake or accept any obligation to release publicly any updates or revisions to any forward-looking statement to reflect any change in its expectations or any change in events, conditions or circumstances on which any such statement is based. Additional information concerning these and other risk factors is contained in Chimera's most recent filings with the Securities and Exchange Commission (SEC). All subsequent written and oral forward-looking statements concerning Chimera or matters attributable to Chimera or any person acting on its behalf are expressly qualified in their entirety by the cautionary statements above. 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. 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.

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![](supplement-q42022003.jpg)

Information is unaudited, estimated and subject to change. 2 PORTFOLIO COMPOSITION 98% of Chimera's equity capital is allocated to mortgage credit Billions 2.2 3.1 0.4 7.2 Equity Recourse Non-Recourse Residential Mortgage Credit Portfolio Agency MBS Portfolio 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 Total Assets: 12.5 billion Total Assets: 0.4 billion All data is shown at carrying value as of December 31, 2022 Equity Recourse Non-Recourse

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![](supplement-q42022004.jpg)

Information is unaudited, estimated and subject to change. 3 9% 3% 88% Non-Agency MBS Agency CMBS and RMBS Loan Portfolio GAAP ASSET ALLOCATION Based on fair value. December 31, 2022 June 30, 2022 Chimera continues to focus on its Residential Credit portfolios Total Portfolio: $12.9 billion 9% 3% 88% Non-Agency MBS Agency CMBS and RMBS Loan Portfolio September 30, 022 Total Portfolio: $13.4 billion

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![](supplement-q42022005.jpg)

Information is unaudited, estimated and subject to change. 4 29% 3% 1% 67% Non-Agency and Loans Secured Financing (1) Agency Secured Financing Non-Recourse Debt, Securitized RMBS Non-Recourse Debt, Securitized Loans GAAP FINANCING SOURCES (1) Includes secured financing of retained tranches from loan securitizations that are eliminated in consolidation. Securitized debt provides optimal long-term low rate non- recourse financing for Chimera's loan portfolio December 31, 2022 Total Portfolio: $10.6 billion (Rate: 2.8%) (Rate: 2.6%) (Rate: 4.5%) (Rate: 6.9%) (Rate: 1.4%) (Rate: 3.5%) September 30, 2022 24% 4% 1%72% Non-Agency and Loans Secured Financing (1) Agency Secured Financing Non-Recourse Debt, Securitized RMBS Non-Recourse Debt, Securitized Loans Total Portfolio: $10.3 billion (Rate: 5.0%) (Rate: 3.1%) (Rate: 2.7%)

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![](supplement-q42022006.jpg)

Information is unaudited, estimated and subject to change. 5 NON-AGENCY FINANCING Chimera continues to focus on longer term and non-mark- to-market financing for its non-agency portfolio M ill io ns 136 731 140 226 764 305 11 Mark-to-Market Limited Mark-to-Market Non Mark-to-Market 0 - 3 Months 3 - 6 Months 6 - 12 Months Greater Than 12 Months — 250 500 750 1,000 December 31, 2022 September 30, 2022 Total Non-Agency Secured Financing: $2.3 billion(1) Total Non-Agency Secured Financing: $2.1 billion(1) (1) Excludes secured financing on residential mortgage loans. M ill io ns 110 137 489 105 370 452 421 Mark-to-Market Limited Mark-to-Market Non Mark-to-Market 0 - 3 Months 3 - 6 Months 6 - 12 Months Greater Than 12 Months — 200 400 600 800

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![](supplement-q42022007.jpg)

Information is unaudited, estimated and subject to change. 6 Quarter ended December 31, 2022 Quarter ended September 30, 2022 RESIDENTIAL MORTGAGE CREDIT PORTFOLIO AGENCY PORTFOLIO TOTAL PORTFOLIO RESIDENTIAL MORTGAGE CREDIT PORTFOLIO AGENCY PORTFOLIO TOTAL PORTFOLIO GROSS ASSET YIELD (1): 5.5% 3.9% 5.5% 5.6% 3.6% 5.5% FINANCING COSTS: 3.9% 3.9% 3.9% 3.0% 2.3% 3.0% NET INTEREST SPREAD: 1.6% —% 1.6% 2.6% 1.3% 2.5% NET INTEREST MARGIN: 2.3% 1.0% 2.3% 3.1% 2.2% 3.1% 1) Interest-earning assets at amortized cost For further details please refer to "Net Interest Rate Spread" section in our Yearly Form 10-K Item 7 - Management Discussion and Analysis. NET INVESTMENT ANALYSIS

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![](supplement-q42022008.jpg)

Information is unaudited, estimated and subject to change. 7 Chimera Subsidiaries Securitization Trusts Financing Trusts Total Investments Non-Agency RMBS, at fair value $871,451 $276,029 $— $1,147,480 Agency RMBS, at fair value 15,148 — — 15,148 Agency CMBS, at fair value 415,796 — — 415,796 Residential Mortgage Loans (1) — 10,466,950 892,285 11,359,235 Total Invested Assets $1,302,395 $10,742,979 $892,285 $12,937,659 Securitized Debt (Non-Recourse), collateralized by: Non-Agency RMBS $— $78,542 $— $78,542 Residential Mortgage Loans — 7,100,742 — 7,100,742 Total Securitized Debt (Non-recourse) $— $7,179,284 $— $7,179,284 Invested Assets less Securitized Debt $1,302,395 $3,563,695 $892,285 $5,758,375 Secured Financing Agreements (Recourse): Non-Agency RMBS $685,436 $70,765 $— $756,201 Agency RMBS 3,946 — — 3,946 Agency CMBS 355,934 — — 355,934 Residential Mortgage Loans — 1,555,996 762,687 2,318,683 Total Secured Financing Agreements $1,045,316 $1,626,761 $762,687 $3,434,764 Net Assets $257,079 $1,936,934 $129,598 $2,323,611 All data as of December 31, 2022 $ in thousands NET ASSET BREAKDOWN Chimera invests in RMBS securities and securities created through the CIM Sponsored securitizations. Loans are financed through Financing Trusts.

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Information is unaudited, estimated and subject to change. 8 VINTAGE DEAL TOTAL ORIGINAL FACE TOTAL OF TRANCHES SOLD TOTAL OF TRANCHES RETAINED TOTAL REMAINING FACE REMAINING FACE OF TRANCHES SOLD REMAINING FACE OF TRANCHES RETAINED Call Date 2022 CIM 2022-NR1 $144,912 $105,061 $39,851 $141,410 $101,843 $39,567 October 2025 2022 CIM 2022-R3 369,891 283,891 86,000 355,613 269,613 86,000 September 2027 2022 CIM 2022-I1 219,442 122,997 96,445 212,738 116,293 96,445 June 2024 2022 CIM 2022-R2 508,202 380,389 127,813 471,030 343,363 127,667 May 2027 2022 CIM 2022-R1 328,226 263,729 64,497 290,201 225,724 64,476 February 2027 2019 CMLTI 2019-E 231,205 178,490 52,716 184,260 132,122 52,716 Currently Callable 2019 SLST 2019-1 1,217,441 941,719 275,722 840,749 588,714 247,049 May 2023 2021 CIM 2021-NR4 167,596 125,747 41,849 137,761 96,857 40,904 Currently Callable 2021 CIM 2021-R6 353,797 336,284 17,513 256,006 238,492 17,513 September 2026 2021 CIM 2021-R5 450,396 382,836 67,560 377,831 310,453 67,360 August 2024 2021 CIM 2021-R4 545,684 463,831 81,853 409,427 327,340 81,853 June 2024 2021 CIM 2021-R3 859,735 730,775 128,960 601,083 471,206 128,960 April 2024 2021 CIM 2021-NR3 117,373 82,161 35,212 82,476 46,275 36,202 Currently Callable 2021 CIM 2021-R2 1,497,213 1,272,631 224,582 992,297 765,119 224,582 March 2025 2021 CIM 2021-NR2 240,425 180,318 60,107 170,462 106,009 64,453 Currently Callable 2021 CIM 2021-R1 2,098,584 1,783,797 314,787 1,397,306 1,077,776 314,787 February 2025 2021 CIM 2021-NR1 232,682 162,877 69,805 153,855 80,607 73,248 Currently Callable 2020 CIM 2020-NR1 131,860 79,115 52,745 101,393 47,991 53,180 Currently Callable 2020 CIM 2020-R7 653,192 562,023 91,169 438,550 347,318 91,168 November 2023 2020 CIM 2020-R6 418,390 334,151 84,239 297,640 213,573 84,041 October 2023 2020 CIM 2020-R5 338,416 257,027 81,389 190,851 109,361 81,389 Clean-up Call 2020 CIM 2020-R4 276,316 207,237 69,079 202,646 133,292 69,079 Currently Callable 2020 CIM 2020-R3 438,228 328,670 109,558 288,468 179,303 109,165 Currently Callable 2020 CIM 2020-R2 492,347 416,761 75,586 324,044 250,373 73,671 Clean-up Call 2020 CIM 2020-R1 390,761 317,608 73,153 277,986 204,660 72,753 February 2023 2019 CIM 2019-R5 315,039 252,224 62,815 182,040 119,275 61,981 Clean-up Call 2019 CIM 2019-R4 320,802 256,641 64,161 193,712 130,681 63,030 Currently Callable 2019 CIM 2019-R3 342,633 291,237 51,396 187,215 135,912 51,303 Currently Callable 2019 CIM 2019-R2 464,327 358,172 106,155 316,045 211,045 104,693 Clean-up Call 2019 CIM 2019-R1 371,762 297,409 74,353 243,194 169,694 73,501 Currently Callable 2018 CIM 2018-R6 478,251 334,775 143,476 235,209 95,043 140,149 Currently Callable 2018 CIM 2018-R5 380,194 266,136 114,058 170,575 60,790 109,786 Currently Callable 2018 CIM 2018-R3 181,073 146,669 34,404 72,681 40,021 32,377 April 2023 2017 CIM 2017-7 512,446 348,719 163,727 239,634 84,332 155,302 Currently Callable 2016 CIM 2016-FRE1 185,811 115,165 70,646 75,775 19,228 56,548 Currently Callable 2008 PHHMC 2008-CIM1 619,710 549,142 70,568 8,703 6,442 2,239 Clean-up Call TOTAL $16,894,366 $13,516,414 $3,377,952 $11,120,865 $7,856,140 $3,249,135 All data as of December 31, 2022 $ in thousands CONSOLIDATED LOAN SECURITIZATIONS

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