Chimera Investment : Presentation

INVESTOR PRESENTATION

Q2 2023

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; our expected investments; changes in the value of our investments, including negative changes resulting in margin calls related to the financing of our assets; changes in inflation, interest rates and mortgage prepayment rates; prepayments of the mortgage and other loans underlying our mortgage- backed securities, or MBS, or other asset-backed securities, or ABS; rates of default, delinquencies, forbearance, deferred payments, or decreased recovery rates on our investments; general volatility of the securities markets in which we invest; our ability to maintain existing financing arrangements and our ability to obtain future financing arrangements; our ability to effect our strategy to securitize residential mortgage loans; interest rate mismatches between our investments and our borrowings used to finance such purchases; effects of interest rate caps on our adjustable-rate investments; the degree to which our hedging strategies may or may not protect us from interest rate volatility; the impact of and changes to various government programs; the impact of and changes in governmental regulations, tax law and rates, accounting guidance, and similar matters; market trends in our industry, interest rates, the debt securities markets or the general economy; estimates relating to our ability to make distributions to our stockholders in the future; our understanding of our competition; 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.

All information in this presentation is as of March 31, 2023, 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.

2

CHIMERA IS A RESIDENTIAL CREDIT HYBRID MORTGAGE REIT

Our Mission Is To Deliver Attractive, Risk-Adjusted Returns.

• Established in 2007
• Internally managed since August 2015
• Total equity capital of $2.6 billion, including $1.7 billion common stock and $930 million preferred stock (1)
• Chimera (CIM) has distributed more than $6 billion to common and preferred stockholders since inception
• Total leverage ratio 4.2:1 / Recourse leverage ratio 1.0:1
• Residential Mortgage Loans represent a significant part of our business and growth strategy. Our Residential Mortgage Loan portfolio is comprised of Re-Performing Loans (RPLs), Non-QM & Investor Loans, Business Purpose Loans (BPLs), and Prime Jumbo Loans.

Information is unaudited, estimated and subject to change.
(1) As of July 3, 2023, the LIBOR rate payable on the preferred shares has been replaced by operation
of law with the corresponding tenor of Term SOFR plus the applicable statutory spread adjustment	3

2023 ACTIVITY OVERVIEW

• Continued focus on acquiring and securitizing residential mortgage loans.
• • Purchased $1.2 billion of diversified residential mortgage loans.
  • 57% were Seasoned RPLs, 38% were Non-QM (DSCR) Investor Loans, and the remainder were Business Purpose Loans (BPLs).
  • Issued $841 million in Seasoned RPL securitizations and a Non-QM (DSCR) Investor Loans securitization totaling $475 million.
• Further implemented our call optimization strategy on CIM securitizations.
• • We exercised the call rights and terminated six existing Seasoned RPL securitizations and issued 4 new Seasoned RPL securitizations totaling $1.24 billion.
  • Resulted in re-capturing approximately $130 million.
  • 2 securitizations have a 1-year call option, and 2 securitizations have a 2-year call option providing the ability to take advantage of future rate declines.
• Total securitizations of $2.6 billion.
• Repurchased $33 million of common shares at a weighted average price of $5.66 per share.
• Reduced our total recourse financing exposure by approximately $774 million.
• • Eliminated RPL warehouse loan exposure.
  • Decrease in recourse leverage from 1.3x as of Q4 2022 to 1.0x
• Our interest rate hedging allows us optionality to benefit from lower interest rates in the future.
• • Interest rate swaps protect approximately 52% of our floating rate liabilities.
  • $1.5 billion of interest rate swaptions provide flexibility in an environment where rates are higher for longer.

Information is as of July 31,2023 and is unaudited, estimated and subject to change.

4

CURRENT BUSINESS HIGHLIGHTS

Investment Portfolio		Financing
Q2 2023		Post Q2 2023 (1)		Q2 2023		Post Q2 2023 (1)
 Book value of $7.29 per share compared		 Book value relatively unchanged from Q2		 Reduced our total recourse financing		 Recourse leverage of 1.0x unchanged
to $7.41 per share in Q1 2023			exposure by approximately $509MM
2023
 Repurchased $33MM of common shares		with securitizations and asset sales
at a weighted average price of $5.66 per				 56% Non-Mark-to-Market(Non-MTM)
share				and Limited Mark-to-Market (Limited
 Exercised call rights on 2 existing RPL				MTM) on recourse financing
securitizations and issued 2 new RPL				 Recourse leverage of 1.0x down from
securitizations totaling $518MM.				1.32 in Q1 2022

• • Resulted in cash-take out of $40MM
• Sponsored 1 RPL securitization totaling $394MM and 2 Non-QM DSCR Investor securitizations totaling $475MM

Interest Rate Hedging			Liquidity
Q2 2023		Post Q2 2023 (1)		Q2 2023			Post Q2 2023 (1)
 $1.96B of floating rate financing		 Interest rate hedges unchanged		 $201MM in cash			 $165 MM in cash
 $1.0B of interest rate swaps				 $470MM in unencumbered assets			 $467MM in unencumbered assets
 Weighted average pay-fixed rate of
3.26%
 $1.5B of interest rate swaptions
 Weighted average pay-fixed rate of
3.56%

Information is unaudited, estimated and subject to change. Post Q2 2023 information is as of July 31,2023.	5