Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q3 2016 Earnings Presentation
10 slides from Chimera Investment's earnings presentation, Nov 1, 2016
Slide 1: Financial Supplement 3rd Quarter 2016
FINANCIAL SUPPLEMENT NYSE: CIM 3rd Quarter 2016
Slide 2: Disclaimer
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 UnitedStates Private Securities Litigation Reform Act of 1995. Actual results may differ from expectations, estimates
Slide 3: Portfolio Composition
Information is unaudited, estimated and subject to change. 2 PORTFOLIO COMPOSITION Residential Mortgage Credit Portfolio Agency MBS Portfolio Total Portfolio Gross Asset Yield: 7.6% 3.2% 6.5% Financing Cost(2): 3.5% 1.4% 2.9% Net Interest Spread: 4.1% 1.8% 3.6% Net Interest Margin: 4.6% 1.9% 3.9% Al
Slide 4: GAAP Asset Allocation
Information is unaudited, estimated and subject to change. 3 September 30, 2016 June 30, 2016 Total Portfolio: $16.7 billion Total Portfolio: $17.2 billion Agency MBS Non-Agency MBS Securitized Loan Portfolio 21% 26% 53% Agency MBS Non-Agency MBS Securitized Loan Portfolio 20% 26% 54% GAAP ASSET ALL
Slide 5: GAAP Financing Sources
Information is unaudited, estimated and subject to change. 4 September 30, 2016 June 30, 2016 Total Financing: $13.4 Billion Total Financing: $13.8 Billion Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Recourse Debt, Securitized RMBS and Loans (2) 25% 18% 57% Agency R
Slide 6: Consolidated RMBS Securitizations
Information is unaudited, estimated and subject to change. 5 ($ in thousands) At Issuance / Acquisition September 30, 2016 Vintage Deal Total OriginalFace Total of Tranches Sold Total of Tranches Retained Total Remaining Face Remaining Face of Tranches Sold Remaining Face of Tranches Retained 2016 C
Slide 7: Consolidated RMBS Securitizations (continued)
Information is unaudited, estimated and subject to change. 6 ($ in thousands) At Issuance / Acquisition September 30, 2016 Vintage Deal Total OriginalFace Total of Tranches Sold Total of Tranches Retained Total Remaining Face Remaining Face of Tranches Sold Remaining Face of Tranches Retained 2014 C
Slide 8: Agency Securities and Repo Days to Maturity
Information is unaudited, estimated and subject to change. 7 Agency Securities – As of September 30, 2016 Repo Days to Maturity – As of September 30, 2016 Agency Securities – As of June 30, 2016 Repo Days to Maturity – As of June 30, 2016 Maturity PrincipalBalance Weighted Average Rate Weighted Aver
Slide 9: Interest Rate Sensitivity
Information is unaudited, estimated and subject to change. 8 Description ($ in thousands) - 100 Basis Points - 50 Basis Points Unchanged +50 Basis Points +100 Basis Points Agency Securities Market Value $ 4,533,091 $ 4,450,893 $ 4,362,550 $ 4,263,846 $ 4,153,731 Percentage Change 3.9 % 2.0 % - (2.3)
Slide 10: chimerareit.com
chimerareit.com