Economic Environment - The economic environment and financial markets have become increasingly volatile in recent years, making it challenging for investors to manage their portfolios effectively to achieve high returns while also protecting against significant losses [1]. Author's Background - The author is a chemical engineer with a Master's degree in Food Technology and Economics, and is a member of MENSA. They have authored multiple books on investing and mathematics, including "Investing in Stocks and Bonds: The Early Retirement Project" (2024) [1]. - The author emphasizes the importance of performing calculations mentally to facilitate immediate investment decisions among various alternatives [1]. Investment Strategy - The author employs both fundamental and technical analysis in their investment approach, primarily utilizing options as a tool for investing and trading [1]. - The author achieved financial independence at the age of 45, indicating a successful application of their investment strategies [1].

Core Insights - CIM Group has successfully closed a $132.5 million loan for the Santander Tower project in Dallas, which is a 50-story office building that has been partially converted into apartments, with a hotel on the top floor and retail space on the ground floor [1] Company Summary - The loan amount of $132.5 million indicates significant financial backing for the Santander Tower project, highlighting CIM Group's active role in real estate financing [1] - The project involves a mixed-use development, combining office, residential, hospitality, and retail components, which reflects current trends in urban development and investment strategies [1] Industry Summary - The financing of mixed-use developments like the Santander Tower is indicative of a broader trend in the real estate industry, where developers are increasingly focusing on projects that integrate various types of spaces to enhance community engagement and economic viability [1] - The successful closure of this loan may signal investor confidence in the Dallas real estate market, particularly in the context of urban revitalization and adaptive reuse of existing structures [1]

Core Insights - Chimera Investment Corporation reported a decline in earnings available for distribution to $0.39 per diluted share, missing analysts' estimates by approximately 15% [1] - GAAP earnings per diluted share fell to $0.17, down from $0.41 in Q2 2024, while GAAP interest income revenue increased to $201.3 million [1] Financial Performance - Non-GAAP EPS for Q2 2025 was $0.39, below the estimate of $0.46, but up 5.4% from $0.37 in Q2 2024 [2] - GAAP EPS decreased by 58.5% year-over-year from $0.41 in Q2 2024 [2] - Economic net interest income (Non-GAAP) was $69.1 million, down 4.5% from $72.4 million in Q2 2024 [2] - The GAAP book value per share decreased to $20.91, with a modest economic return of 0.5% [7] Business Overview - Chimera specializes in investing in residential mortgage assets, focusing on generating income from a diversified asset portfolio [3] - The company invests primarily in mortgage-backed securities and residential mortgage loans, while also managing risk and regulatory compliance [3][4] Strategic Initiatives - The company is expanding its investment in Agency residential mortgage-backed securities, which increased from 3.7% of the portfolio at year-end 2024 to 18.2% by June 30, 2025, valued at approximately $2.68 billion [5] - Loans held for investment decreased from 88.0% to 74.6% of the book, while non-Agency RMBS allocations slightly dropped [6] - The company is pursuing acquisitions, including HomeXpress Mortgage Corporation, to enhance its origination capabilities [5][10] Risk Management - Cash reserves increased to $250 million, and secured financing agreements rose to $4.56 billion, indicating a focus on maintaining high liquidity [9] - GAAP leverage increased to 4.5x, reflecting larger Agency MBS positions, while serious delinquencies in the reperforming loan portfolio remained steady at 8.9% [10] Outlook - Management did not provide explicit financial guidance but indicated a focus on deploying recently unlocked capital, with 30% to 40% already invested early in Q3 2025 [14] - Key risks include rising market leverage and increasing non-QM delinquency rates, which may impact future performance [15]

[PART I. FINANCIAL INFORMATION](index=4&type=section&id=PART%20I.%20FINANCIAL%20INFORMATION) This section provides the company's consolidated financial statements, management's discussion and analysis, market risk disclosures, and internal controls [Item 1. Consolidated Financial Statements](index=4&type=section&id=Item%201.%20Consolidated%20Financial%20Statements) This section details Chimera Investment Corporation's financial position, operational results, and cash flows, highlighting asset growth and net income changes [Consolidated Statements of Financial Condition](index=4&type=section&id=Consolidated%20Statements%20of%20Financial%20Condition) This statement presents the company's assets, liabilities, and equity at specific points in time Consolidated Financial Condition Highlights (in thousands) | Metric | June 30, 2025 | December 31, 2024 | | :--- | :--- | :--- | | **Total Assets** | **$14,863,229** | **$13,116,490** | | Agency MBS, at fair value | $2,675,280 | $519,218 | | Loans held for investment, at fair value | $10,640,298 | $11,196,678 | | **Total Liabilities** | **$12,238,698** | **$10,590,301** | | Secured financing agreements | $4,563,063 | $2,824,371 | | Securitized debt at fair value | $6,970,800 | $6,984,495 | | **Total Stockholders' Equity** | **$2,624,531** | **$2,526,189** | - The company's consolidated statements include assets of consolidated variable interest entities (VIEs) totaling **$9.9 billion** as of June 30, 2025, which can only be used to settle obligations of the VIEs[17](index=17&type=chunk) [Consolidated Statements of Operations](index=5&type=section&id=Consolidated%20Statements%20of%20Operations) This statement outlines the company's revenues, expenses, and net income over specific periods Quarterly and Six-Month Operational Highlights (in thousands, except per share data) | Metric | Q2 2025 | Q2 2024 | Six Months 2025 | Six Months 2024 | | :--- | :--- | :--- | :--- | :--- | | Net Interest Income | $66,010 | $67,295 | $135,230 | $132,402 | | Total Other Income (Losses) | $1,378 | $13,841 | $138,660 | $102,207 | | **Net Income** | **$35,450** | **$56,664** | **$202,747** | **$186,118** | | Net Income Available to Common Shareholders | $14,024 | $33,913 | $159,964 | $144,930 | | **Basic EPS** | **$0.17** | **$0.42** | **$1.97** | **$1.78** | | **Diluted EPS** | **$0.17** | **$0.41** | **$1.94** | **$1.76** | - **Net income for Q2 2025 decreased to $35.5 million** from $56.7 million in Q2 2024, primarily due to lower other income, including a net loss on derivatives compared to a gain in the prior-year quarter, however, for the six-month period, **net income increased year-over-year**, driven by significant unrealized gains on financial instruments[20](index=20&type=chunk) [Consolidated Statements of Cash Flows](index=9&type=section&id=Consolidated%20Statements%20of%20Cash%20Flows) This statement details the sources and uses of cash from operating, investing, and financing activities Cash Flow Summary for the Six Months Ended June 30 (in thousands) | Cash Flow Activity | 2025 | 2024 | | :--- | :--- | :--- | | Net cash provided by operating activities | $41,370 | $126,306 | | Net cash provided by (used in) investing activities | $(1,378,159) | $134,792 | | Net cash provided by (used in) financing activities | $1,503,014 | $(320,478) | | **Net increase (decrease) in cash** | **$166,225** | **$(59,380)** | | Cash and cash equivalents at end of period | $250,223 | $162,304 | - The significant use of cash in investing activities in the first six months of 2025 (**$1.4 billion outflow**) was driven by **$1.9 billion in Agency MBS purchases**, which was funded by a **$1.5 billion net inflow** from financing activities, primarily from increased secured financing agreements[36](index=36&type=chunk)[37](index=37&type=chunk) [Notes to Consolidated Financial Statements](index=11&type=section&id=Notes%20to%20Consolidated%20Financial%20Statements) These notes provide detailed explanations and additional information supporting the consolidated financial statements - The company is an **internally managed REIT** investing in mortgage assets, recently **acquired The Palisades Group, LLC** in December 2024, adding investment management and advisory services, and also entered an agreement to **acquire HomeXpress Mortgage Corp** in June 2025, an originator of non-QM and other mortgage products[40](index=40&type=chunk)[42](index=42&type=chunk)[43](index=43&type=chunk) - The company classifies its Non-Agency RMBS as available-for-sale and recorded an **allowance for credit losses of $36.2 million** as of June 30, 2025, an **increase from $28.4 million** at year-end 2024, primarily due to deterioration in cash flows on certain investments[67](index=67&type=chunk)[74](index=74&type=chunk)[75](index=75&type=chunk) - All Loans held for investment, with a fair value of **$10.6 billion** as of June 30, 2025, are carried at fair value, and the total unpaid principal balance was **$10.9 billion**[91](index=91&type=chunk) - The company uses a **three-level hierarchy** for fair value measurements, with Non-Agency RMBS and most Loans held for investment classified as **Level 3**, indicating reliance on unobservable inputs, while Agency MBS are classified as **Level 2**[97](index=97&type=chunk)[106](index=106&type=chunk)[113](index=113&type=chunk) [Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations](index=56&type=section&id=Item%202.%20Management%27s%20Discussion%20and%20Analysis%20of%20Financial%20Condition%20and%20Results%20of%20Operations) Management analyzes the company's financial performance, strategic actions, and portfolio shifts in a volatile market environment [Executive Summary and Business Highlights](index=57&type=section&id=Executive%20Summary%20and%20Business%20Highlights) This section provides an overview of key business developments and strategic initiatives during the period - As of June 30, 2025, the investment portfolio composition **shifted significantly towards Agency RMBS**, which comprised **19%** of the portfolio by fair value, **up from 4%** at year-end 2024, while **Residential mortgage loans decreased to 74% from 88%**[257](index=257&type=chunk) - Key strategic actions during Q2 2025 include entering a definitive agreement to **acquire HomeXpress Mortgage Corp**, investing **$2.3 billion in Agency RMBS** Pass-throughs, adding **$1.9 billion in interest rate swaps** to hedge the Agency RMBS portfolio, generating **$9 million in revenue** from investment management and advisory services, and subsequent to quarter end, **acquired $6.5 billion of Fannie Mae mortgage servicing rights (MSRs)**[261](index=261&type=chunk) [Results of Operations](index=61&type=section&id=Results%20of%20Operations) This section analyzes the company's financial performance, including net interest income and other gains or losses Quarterly Income Statement Summary (in thousands, except per share data) | Metric | Q2 2025 | Q1 2025 | QoQ Change | | :--- | :--- | :--- | :--- | | Net Interest Income | $66,010 | $69,219 | $(3,209) | | Net Unrealized Gains on Financial Instruments | $6,971 | $128,895 | $(121,924) | | Net Gains (Losses) on Derivatives | $(15,441) | $(2,252) | $(13,189) | | **Net Income** | **$35,450** | **$167,297** | **$(131,847)** | | Net Income Available to Common Shareholders | $14,024 | $145,940 | $(131,916) | | **Basic EPS** | **$0.17** | **$1.79** | **$(1.62)** | - The **significant decrease in net income** from Q1 to Q2 2025 was primarily driven by a **$122 million reduction** in unrealized gains on financial instruments and a **$13 million increase in net losses** on derivatives[295](index=295&type=chunk) Earnings Available for Distribution (Non-GAAP) | Metric | Q2 2025 | Q1 2025 | | :--- | :--- | :--- | | Earnings available for distribution (in thousands) | $32,111 | $33,526 | | Earnings available for distribution per adjusted diluted common share | $0.39 | $0.41 | [Financial Condition, Liquidity and Capital Resources](index=78&type=section&id=Financial%20Condition%2C%20Liquidity%20and%20Capital%20Resources) This section discusses the company's financial position, cash availability, and capital management strategies Leverage Ratios | Metric | June 30, 2025 | December 31, 2024 | | :--- | :--- | :--- | | GAAP Leverage at period-end | 4.5:1 | 4.0:1 | | GAAP Leverage at period-end (recourse) | 1.8:1 | 1.2:1 | - **Recourse leverage increased to 1.8:1 from 1.2:1** at year-end, primarily due to higher borrowings under secured financing agreements to fund Agency RMBS purchases[379](index=379&type=chunk) - As of June 30, 2025, the company had **$250 million in cash and cash equivalents** and **$311 million in unencumbered assets** available for liquidity needs[375](index=375&type=chunk)[381](index=381&type=chunk) - To mitigate margin call risk, the company utilizes **non-mark-to-market (non-MTM) and limited-MTM financing facilities**, with **$924 million in non-MTM facilities** and **$498 million in limited-MTM facilities** as of June 30, 2025[385](index=385&type=chunk)[386](index=386&type=chunk) [Item 3. Quantitative and Qualitative Disclosures about Market Risk](index=90&type=section&id=Item%203.%20Quantitative%20and%20Qualitative%20Disclosures%20about%20Market%20Risk) This section details the company's exposure to market risks, including interest rate and credit risks, and its mitigation strategies Interest Rate Sensitivity Analysis (as of June 30, 2025) | Change in Interest Rate | Projected Percentage Change in Net Interest Income | Projected Percentage Change in Market Value | | :--- | :--- | :--- | | -100 Basis Points | 8.75 % | 4.11 % | | -50 Basis Points | 4.59 % | 2.08 % | | **Base Interest Rate** | **—** | **—** | | +50 Basis Points | (4.62)% | (2.07)% | | +100 Basis Points | (9.34)% | (4.03)% | - The company is subject to **credit risk** on its **Non-Agency RMBS and residential mortgage loans**, managing this risk through independent reviews of mortgage files, obtaining representations and warranties from sellers, and closely monitoring credit loss expectations[431](index=431&type=chunk)[432](index=432&type=chunk) - The company's **interest rate risk management strategy** includes monitoring the reset indices of assets and financings, structuring financing with varied maturities, and using **derivatives** to adjust interest rate sensitivity[458](index=458&type=chunk) [Item 4. Controls and Procedures](index=100&type=section&id=Item%204.%20Controls%20and%20Procedures) Management concluded that the company's disclosure controls and procedures were effective, with no material changes to internal controls during the quarter - The CEO and CFO concluded that the company's disclosure controls and procedures were **effective** as of the end of the period covered by the report[466](index=466&type=chunk) - There were **no changes in internal control over financial reporting** during the second quarter of 2025 that materially affected, or are reasonably likely to materially affect, these controls[467](index=467&type=chunk) [PART II. OTHER INFORMATION](index=100&type=section&id=PART%20II.%20OTHER%20INFORMATION) This section provides additional disclosures on legal proceedings, risk factors, equity sales, and other relevant information [Item 1. Legal Proceedings](index=100&type=section&id=Item%201.%20Legal%20Proceedings) The company reported no material legal proceedings during the period - There are **no legal proceedings** to report for the period[469](index=469&type=chunk) [Item 1A. Risk Factors](index=100&type=section&id=Item%201A.%20Risk%20Factors) New risk factors related to the pending HomeXpress acquisition are disclosed, including integration challenges and closing conditions - **New risk factors** have been added related to the **acquisition of HomeXpress**, highlighting that the completion is **subject to closing conditions** and there is no assurance they will be satisfied[471](index=471&type=chunk) - The company may face **challenges** and devote significant resources to **integrating HomeXpress's operations**, and failure to do so effectively could limit the anticipated benefits and **adversely affect results**[472](index=472&type=chunk) [Item 2. Unregistered Sales of Equity Securities and Use of Proceeds](index=100&type=section&id=Item%202.%20Unregistered%20Sales%20of%20Equity%20Securities%20and%20Use%20of%20Proceeds) The company reported no common stock repurchases during the quarter, with $250 million remaining under its repurchase program - The company **did not repurchase any of its common stock** during the quarters and six months ended June 30, 2025[477](index=477&type=chunk) - The authorized amount remaining under the Share Repurchase Program is **$250 million** as of June 30, 2025[398](index=398&type=chunk) [Item 5. Other Information](index=102&type=section&id=Item%205.%20Other%20Information) The company amended the HomeXpress acquisition agreement, shifting stock issuance to a private placement with a new Registration Rights Agreement - On August 5, 2025, the company **amended its stock purchase agreement** for the **HomeXpress acquisition**, where the shares to be issued as part of the consideration will now be issued in a **private placement** rather than through a registered offering on Form S-4[481](index=481&type=chunk) - In connection with the amendment, the company entered into a **Registration Rights Agreement**, obligating it to file a **resale shelf registration statement** for the shares issued to the sellers shortly after the closing of the acquisition[482](index=482&type=chunk)[483](index=483&type=chunk)

Financial Data and Key Metrics Changes - GAAP net income for Q2 2025 was $14 million or $0.17 per share, with a GAAP book value of $20.91 per share at the end of the quarter [12] - Economic return on GAAP book value for Q2 was 0.5%, while year-to-date return was 9.8% [12] - Economic net interest income for Q2 was $69 million, with a yield on average interest-earning assets of 6% and a net interest spread of 1.5% [13] - Total leverage for Q2 was 4.5:1, with recourse leverage at 1.8:1 [13] Business Line Data and Key Metrics Changes - The company has focused on residential mortgage credit, enhancing expertise through acquisitions like the Palisades Group and Home Express [7][10] - The acquisition of Home Express is expected to be accretive, contributing to earnings growth in 2026 and 2027 [11] - The company has started selling some assets and acquiring Agency RMBS to support REIT compliance and liquidity [8] Market Data and Key Metrics Changes - Economic data showed resilience despite trade concerns, with employment statistics meeting or exceeding expectations [18] - Existing home sales were at their weakest year-to-date activity in nearly 27 years, with home price forecasts moderating [20] - The non-QM market continues to grow, with originations expected to reach the highest post-crisis levels [20] Company Strategy and Development Direction - The company aims to diversify its portfolio and income streams while focusing on residential mortgage credit as its core competency [10] - Future growth will involve both organic growth and strategic acquisitions, maintaining a focus on complementary capabilities [10] - The company is committed to disciplined risk management and evaluating liquidity-generating opportunities within its portfolio [26] Management's Comments on Operating Environment and Future Outlook - Management noted that the trajectory of growth may not be linear, with potential short-term earnings decreases due to capital redeployment for acquisitions [11] - The company is optimistic about the future, expecting strong earnings contributions from the Home Express acquisition and ongoing portfolio repositioning [11][28] - Management emphasized the importance of balancing dividend growth with reinvestment in the business for long-term returns [46] Other Important Information - The company ended Q2 with $561 million in total cash and unencumbered assets [14] - The company has a stable funding structure, with 61% of portfolio liabilities comprised of non-recourse term financing [21] - The company is actively analyzing callable securitization deals to enhance earnings power while considering book value impacts [26] Q&A Session Summary Question: Future acquisition opportunities - Management indicated openness to further acquisitions that align with their core competency in residential credit [30] Question: Potential for double-digit ROE post Home Express acquisition - Management expressed confidence in achieving double-digit ROE, citing Home Express as a critical component for earnings power [32] Question: Long-term capital allocation mix - Management discussed the need for a diversified portfolio across sectors, with MSRs expected to represent 15% to 25% of capital allocation in the future [40] Question: Dividend strategy post Home Express acquisition - Management highlighted the importance of balancing immediate dividend payouts with reinvestment for future growth [45] Question: Changes in book value and market conditions - Management noted a slight decline in book value due to flat loan portfolio performance and tightening spreads on securitized debt [49] Question: Impact of potential Fed rate cuts - Management acknowledged that rate cuts could improve net interest margins and make some callable securitizations more actionable [52]

Company Strategy & Performance - Chimera Investment Corp is a hybrid mortgage REIT focused on diversified investment solutions across the mortgage credit product spectrum[10, 13] - The company reported earnings available for distribution of $039 per share[19] - Book value per share was $2091, a 12% decrease from the previous quarter[22] - Economic return for the quarter was 05%[19, 22] HomeXpress Acquisition - Chimera entered into a definitive agreement to acquire HomeXpress Mortgage Corp, expected to close in Q4 2025[11, 21, 22] - The acquisition consideration includes cash equal to HomeXpress's book value plus a $120 million premium and 2,077,151 shares of CIM common stock[22] - HomeXpress has originated over $107 billion in loans since 2016[25, 27] - HomeXpress generated $47 million in pre-tax earnings in 2024[27] Portfolio Composition & Activity - The company purchased $19 billion in notional Agency pass-throughs, with an additional $402 million settling in Q3[22] - Recourse leverage increased to 18x from 12x in Q1 due to growth in Agency RMBS allocation[22] - Loans under third-party asset management grew 43% year-over-year to $254 billion[57, 58]

[Financial Highlights & Management Commentary](index=1&type=section&id=Financial%20Highlights%20%26%20Management%20Commentary) Chimera Investment Corporation reported a GAAP Net Income of **$0.17** per diluted common share and Earnings Available for Distribution (EAD) of **$0.39** per share for Q2 2025, while announcing the acquisition of HomeXpress Mortgage Corporation to become a diversified hybrid residential mortgage REIT Q2 2025 Key Financial Metrics | Metric | Value | | :--- | :--- | | GAAP Net Income per Diluted Common Share | $0.17 | | Earnings Available for Distribution per Adjusted Diluted Common Share | $0.39 | | GAAP Book Value per Common Share (as of June 30, 2025) | $20.91 | | Economic Return for the Quarter | 0.5% | | Economic Return for Six Months Ended June 30, 2025 | 9.8% | - Announced a definitive agreement to acquire **HomeXpress Mortgage Corporation**, a leading non-QM mortgage originator[1](index=1&type=chunk)[3](index=3&type=chunk) - Management is executing a strategy to become a diversified and resilient hybrid residential mortgage REIT through acquisitions (**Palisades**, **HomeXpress**) and portfolio diversification into **Agency RMBS** and **MSRs**[3](index=3&type=chunk) [Financial Statements](index=4&type=section&id=Financial%20Statements) Total assets increased to **$14.86 billion** from **$13.12 billion** at year-end 2024, driven by Agency MBS, while Q2 2025 net income decreased to **$35.5 million** from **$56.7 million** year-over-year [Consolidated Statements of Financial Condition (Balance Sheet)](index=4&type=section&id=Consolidated%20Statements%20of%20Financial%20Condition%20%28Balance%20Sheet%29) Total assets reached **$14.86 billion** as of June 30, 2025, up from **$13.12 billion** at year-end 2024, primarily due to a significant increase in Agency MBS holdings Balance Sheet Summary (in thousands) | Account | June 30, 2025 (in thousands) | December 31, 2024 (in thousands) | | :--- | :--- | :--- | | **Total Assets** | **$14,863,229** | **$13,116,490** | | Agency MBS, at fair value | $2,675,280 | $519,218 | | Loans held for investment, at fair value | $10,640,298 | $11,196,678 | | **Total Liabilities** | **$12,238,698** | **$10,590,301** | | Secured financing agreements | $4,563,063 | $2,824,371 | | **Total Stockholders' Equity** | **$2,624,531** | **$2,526,189** | [Consolidated Statements of Operations (Income Statement)](index=5&type=section&id=Consolidated%20Statements%20of%20Operations%20%28Income%20Statement%29) Net income available to common shareholders for Q2 2025 decreased to **$14.0 million** (**$0.17**/share) from **$33.9 million** (**$0.41**/share) in Q2 2024, primarily due to lower other income and higher expenses Q2 2025 vs Q2 2024 Income Statement (in thousands, except per share data) | Account | Q2 2025 (in thousands) | Q2 2024 (in thousands) | | :--- | :--- | :--- | | Net Interest Income | $66,010 | $67,295 | | Total Other Income (Losses) | $1,378 | $13,841 | | Total Other Expenses | $27,120 | $20,757 | | **Net Income** | **$35,450** | **$56,664** | | Net Income Available to Common Shareholders | $14,024 | $33,913 | | **Diluted EPS** | **$0.17** | **$0.41** | [Consolidated Statements of Comprehensive Income](index=6&type=section&id=Consolidated%20Statements%20of%20Comprehensive%20Income) Comprehensive income available to common shareholders for Q2 2025 was **$8.7 million**, a decrease from **$22.6 million** in Q2 2024, impacted by unrealized losses on available-for-sale securities Q2 Comprehensive Income (in thousands) | Account | Q2 2025 (in thousands) | Q2 2024 (in thousands) | | :--- | :--- | :--- | | Net Income | $35,450 | $56,664 | | Other Comprehensive Loss | $(5,335) | $(11,345) | | Comprehensive Income Available to Common Shareholders | $8,689 | $22,568 | [Non-GAAP Financial Measures](index=8&type=section&id=Non-GAAP%20Financial%20Measures) The company reported Earnings Available for Distribution (EAD) of **$0.39** per share and Economic Net Interest Income of **$69.1 million** for Q2 2025, providing alternative performance insights [Earnings Available for Distribution (EAD)](index=8&type=section&id=Earnings%20Available%20for%20Distribution%20%28EAD%29) EAD for Q2 2025 was **$32.1 million**, or **$0.39** per adjusted diluted common share, reflecting adjustments to GAAP net income for non-cash items and transaction expenses - EAD is a non-GAAP measure defined as GAAP net income excluding items such as **unrealized gains/losses**, **realized gains/losses on sales**, **transaction expenses**, and **amortization of intangibles**[18](index=18&type=chunk) Reconciliation of GAAP Net Income to EAD (Q2 2025, in thousands) | Description | Amount (in thousands) | | :--- | :--- | | GAAP Net income available to common stockholders | $14,024 | | Adjustments: | | | Net unrealized (gains) losses on financial instruments | $(6,971) | | Realized (gains) losses on derivatives | $17,954 | | Transaction expenses | $390 | | Increase in provision for credit losses | $4,409 | | Other Adjustments | $2,305 | | **Earnings available for distribution** | **$32,111** | EAD per Share vs. GAAP EPS (Q2 2025) | Metric | Per Share | | :--- | :--- | | GAAP net income per diluted common share | $0.17 | | Earnings available for distribution per adjusted diluted common share | $0.39 | [Economic Net Interest Income](index=12&type=section&id=Economic%20Net%20Interest%20Income) Economic Net Interest Income, adjusted for derivative costs, was **$69.1 million** in Q2 2025, exceeding GAAP Net Interest Income of **$66.0 million** for the same period - Economic Net Interest Income is a non-GAAP measure that equals GAAP net interest income adjusted for the **net periodic interest cost of derivatives** and excludes **interest earned on cash**[34](index=34&type=chunk) Reconciliation of GAAP NII to Economic NII (Q2 2025, in thousands) | Account | Amount (in thousands) | | :--- | :--- | | GAAP Net Interest Income | $66,010 | | Periodic Interest on derivatives, net | $5,067 | | Other (Interest income on cash) | $(2,002) | | **Economic Net Interest Income** | **$69,075** | [Portfolio Analysis](index=9&type=section&id=Portfolio%20Analysis) The portfolio shifted towards Agency RMBS, now **18.3%** of fair value, with GAAP leverage increasing to **4.5:1** and a net interest rate spread of **1.5%** for the quarter [MBS Portfolio Summary](index=9&type=section&id=MBS%20Portfolio%20Summary) The MBS portfolio at Q2 2025 included **$1.01 billion** in Non-Agency RMBS and **$2.68 billion** in Agency RMBS, with significant growth in Agency pass-through securities MBS Portfolio Details (June 30, 2025) | Security Type | Principal/Notional (in thousands) | Weighted Average Fair Value | | :--- | :--- | :--- | | **Non-Agency RMBS** | | | | Senior | $968,383 | $59.30 | | Subordinated | $613,051 | $57.79 | | **Agency RMBS** | | | | Pass-through | $2,334,802 | $96.65 | | CMO | $362,333 | $99.69 | [Secured Financing Agreements](index=10&type=section&id=Secured%20Financing%20Agreements) Secured financing agreements totaled **$4.57 billion** as of June 30, 2025, with a weighted average borrowing rate of **5.60%**, a notable increase from **$2.84 billion** at year-end 2024 Secured Financing Maturities (June 30, 2025) | Remaining Maturity | Principal (in thousands) | Weighted Average Borrowing Rate | | :--- | :--- | :--- | | 1 to 29 days | $2,334,912 | 4.68% | | 30 to 59 days | $376,179 | 6.21% | | 1 to 2 years | $601,662 | 8.28% | | **Total** | **$4,571,393** | **5.60%** | [Portfolio Characteristics & Leverage](index=11&type=section&id=Portfolio%20Characteristics%20%26%20Leverage) Portfolio composition shifted with Agency RMBS increasing to **18.3%** and Loans held for investment decreasing to **74.3%**, while GAAP leverage rose to **4.5:1** at June 30, 2025 Leverage Ratios | Metric | June 30, 2025 | December 31, 2024 | | :--- | :--- | :--- | | GAAP Leverage at period-end | 4.5:1 | 4.0:1 | | GAAP Leverage at period-end (recourse) | 1.8:1 | 1.2:1 | Portfolio Composition by Fair Value | Asset Class | June 30, 2025 | December 31, 2024 | | :--- | :--- | :--- | | Non-Agency RMBS | 7.1% | 8.3% | | Agency RMBS | 18.3% | 3.7% | | Agency CMBS | 0.3% | 0.4% | | Loans held for investment | 74.3% | 87.6% | [Portfolio Performance Metrics](index=13&type=section&id=Portfolio%20Performance%20Metrics) For Q2 2025, the average yield on interest-earning assets was **6.0%**, with a net interest rate spread of **1.5%**, and an annualized EAD return on average common equity of **7.54%** Q2 2025 Average Yields and Costs | Metric | Value | | :--- | :--- | | Average Yield on Interest-Earning Assets | 6.0% | | Economic Average Cost of Funds | 4.5% | | Net Interest Rate Spread | 1.5% | | Net Interest Margin | 2.1% | Q2 2025 Annualized Returns on Equity | Metric | Value | | :--- | :--- | | Return on Average Equity (GAAP Net Income) | 5.38% | | Economic Net Interest Income / Average Equity | 10.49% | | Earnings available for distribution / Average Common Equity | 7.54% | [Other Information](index=3&type=section&id=Other%20Information) This section provides details for the upcoming Q2 2025 earnings conference call and includes a standard disclaimer regarding forward-looking statements and associated risks [Conference Call Information](index=3&type=section&id=Conference%20Call%20Information) Chimera Investment Corporation will host a conference call and live audio webcast to discuss Q2 2025 results on Wednesday, August 6, 2025, at 8:30 a.m. EDT - The earnings conference call is scheduled for **Wednesday, August 6, 2025**, at **8:30 a.m. EDT**[6](index=6&type=chunk) [Disclaimer and Forward-Looking Statements](index=15&type=section&id=Disclaimer%20and%20Forward-Looking%20Statements) The press release contains forward-looking statements subject to significant risks and uncertainties, advising readers to consult SEC filings for detailed risk factors - The report includes forward-looking statements subject to **risks and uncertainties**, and actual results may differ materially; readers should refer to **SEC filings** like Form 10-K for a full list of risk factors[44](index=44&type=chunk)[45](index=45&type=chunk)

Group 1 - The focus is on income-producing asset classes such as REITs, ETFs, Preferreds, and 'Dividend Champions' that target premium dividend yields up to 10% [1] - iREIT®+HOYA Capital is highlighted as a premier income-focused investing service that emphasizes sustainable portfolio income, diversification, and inflation hedging [2] - The review of preferred stocks issued by Chimera Investment Corporation (CIM) indicates a continued Hold rating, reflecting the company's long-term investment strategy [3]

Group 1 - David A. Johnson is the founder and principal of Endurance Capital Management, a New Jersey Limited Liability Company, with over 30 years of investment experience [1] - Johnson's investment strategy includes a diverse range of assets such as stocks, bonds, options, ETFs, REITs, real estate, closed-end funds, hedge funds, and private credit [1] - He holds a Master of Science (MS) Degree in Finance with a concentration in Investment Analysis from Boston University, a Certificate in Financial Planning, and an MBA from Fordham University [1]

Group 1 - The preferred stock of Chimera (NYSE: CIM.PR.A) was recommended for purchase due to its 10.2% dividend yield and a wide margin of safety for the dividend [1] - Since the recommendation, the stock has provided significant returns [1] Group 2 - The author has a background in chemical engineering and economics, and has written multiple books on investing and mathematics [1] - The author emphasizes the importance of fundamental and technical analysis in investment decisions [1]