Climate Change Data

Environmental Metrics

Climate Goals & Targets

Environmental Challenges

• Evaluation of accounting policy related to non-Agency residential mortgage-backed securities portfolio under GAAP. Need to restate previously issued consolidated financial statements for the years ended December 31, 2010, 2009 and 2008, and interim consolidated financial statements for the quarter ended September 30, 2008 and all subsequent quarters through the quarter ended September 30, 2011.

Mitigation Strategies

• Completed review and preparing Annual Report on Form 10-K for the year ended December 31, 2011 to include the restatement. Intending to file the restated financial statements as soon as practicable.

Supply Chain Management

Climate-Related Risks & Opportunities

Environmental Metrics

Climate Goals & Targets

Environmental Challenges

• Review of the application of GAAP guidance to certain non-Agency assets.

Mitigation Strategies

• Additional time is required to complete this review before filing the Quarterly Report on Form 10-Q.

Supply Chain Management

Climate-Related Risks & Opportunities

Environmental Metrics

ESG Focus Areas

• Environmental
• Social
• Governance

Social Achievements

• Updated committee charters and Corporate Governance Guidelines to reflect oversight of ESG practices.
• Published “An Introduction to ESG & Corporate Responsibility at Chimera” highlighting initiatives and framework for social responsibility and ESG.

Governance Achievements

• Updated committee charters and Corporate Governance Guidelines to reflect oversight of ESG practices.
• Board of Directors is responsible for reviewing and evaluating ESG-related plans and practices, reviewing current ESG trends, overseeing the development and use of ESG-specific metrics, and reviewing external ESG communications.
• Compensation committee has specific responsibilities related to human capital management.
• Nominating and corporate governance committee has specific responsibilities related to diversity, equity, and inclusion.

Climate Goals & Targets

Supply Chain Management

Climate-Related Risks & Opportunities

Reporting Standards

Frameworks Used: SASB

Environmental Metrics

Social Achievements

• 72% of our workforce was either gender or racially diverse as of December 31, 2023.

Climate Goals & Targets

Environmental Challenges

• Higher interest rate volatility, along with a continued yield curve inversion in 2023, presented many challenges throughout the year impacting our business activity and performance.
• The total market issuance of residential re-performing loans (“RPL”) was substantially reduced on a year-over-year basis.
• Our financing costs continued to increase and remained high throughout 2023.
• Persistently high and volatile interest rates through much of 2023 caused a significant decline in our earnings and a reduction in the common stock dividend brought it more in line with our earnings capability.

Mitigation Strategies

• Managing our floating rate liabilities through this period of high volatility and increasing rates, remained amongst the top priorities of management.
• Management was keenly focused, throughout the year, on strengthening our liability structure through proactive portfolio management (selling non-core assets) and securitization, which provides long-term, fixed rate, non-recourse financing.
• In the fourth quarter, we refinanced $250 million of an existing high cost, fixed-rate financing facility into a new two-year limited mark-to-market variable-rate facility.
• Over the year, we initiated and terminated a series of pay-fixed interest rate swaps and pay-fixed swaptions
• As of December 31, 2023, we maintained open positions in a $1.0 billion 3.26% pay-fixed interest rate swap maturing May 2024 and a $1.5 billion one-year option on a one-year pay-fixed interest rate swap “1 X 1” with maturities in early 2025.
• We continue to manage our portfolio consistent with our belief that interest rates will be higher on a relative basis for longer, despite the change in market sentiment at the end of the year.
• For the full year we reduced our total recourse financing exposure by $1 billion.
• To further manage our interest rate risk, we intend to use financial derivatives such as futures, interest rate swaps and swaptions to hedge against securitization executions, net interest margin compression and the protection of our book value.

Supply Chain Management

Climate-Related Risks & Opportunities

Physical Risks

• earthquakes, the effects of climate change (including flooding, drought, wildfire and severe weather)

Environmental Metrics

Climate Goals & Targets

Environmental Challenges

• Restatement of previously issued consolidated financial statements due to an evaluation of accounting policy related to non-Agency residential mortgage-backed securities portfolio.

Mitigation Strategies

• Completed evaluation and filed Annual Report on Form 10-K for the year ended December 31, 2011. Expecting to file outstanding quarterly reports as soon as practicable.

Supply Chain Management

Climate-Related Risks & Opportunities