Chimera Investment Corporation · NYSE:CIM

Chimera Investment — Q3 2018 Earnings Presentation

10 slides from Chimera Investment's earnings presentation, Oct 31, 2018

  1. Slide 1: Financial Supplement 3rd Quarter 2018

    FINANCIAL SUPPLEMENT NYSE: CIM 3rd Quarter 2018

  2. Slide 2: 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 DISCLAIMER projections and, consequently, readers should not rely

  3. Slide 3: Portfolio Composition

    PORTFOLIO COMPOSITION 76% of Chimera's equity capital is allocated to mortgage credit Net Investment Analysis(2) Residential Mortgage 17 Credit Portfolio (1) 16 Total Assets: 15.2 billion Residential Agency 15 Mortgage Credit Total Portfolio Portfolio Portfolio 14 13 Non-Recourse 12 (Securitization)

  4. Slide 4: GAAP Asset Allocation

    GAAP ASSET ALLOCATION(1) The increase in Agency MBS provides spread income and preserves portfolio liquidity September 30, 2018 June 30, 2018 10% 11% 52% 31% 38% 58% Non-Agency MBS Agency MBS Non-Agency MBS Agency MBS Loan Portfolio Loan Portfolio Total Portfolio: $24.6 billion Total Portfolio: $22.

  5. Slide 5: GAAP Financing Sources

    GAAP FINANCING SOURCES Total Leverage(1): 5.1:1 Recourse Leverage(1): 2.8:1 September 30, 2018 June 30, 2018 30% 38% 45% 51% 19% 17% Agency Repurchase Agreements, RMBS Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Recourse Debt,

  6. Slide 6: Consolidated Loan Securitizations

    CONSOLIDATED LOAN SECURITIZATIONS ($ in thousands) September 30, 2018 Total of Remaining Vintage Deal Total Original Total of Tranches Total Remaining Face of Remaining Face of Face Tranches Sold Retained Face Tranches Sold Tranches Retained 2018 CIM 2018-R5(1) $380,194 $266,136 $114,058 $371,348 $2

  7. Slide 7: Consolidated RMBS Securitizations

    CONSOLIDATED RMBS SECURITIZATIONS ▪ Re-securitized subordinate bonds have had slow prepayments considering the low interest rate environment ▪ Chimera expects the re-securitized subordinate bond portfolio to have meaningful impact on earnings for the foreseeable future ($ in thousands) September 30,

  8. Slide 8: Agency Securities and Repo Summary

    AGENCY SECURITIES AND REPO SUMMARY Agency Securities – As of September 30, 2018 Agency Securities – As of June 30, 2018 Weighted Weighted Security Coupon(1) Current Average Weighted Security Coupon(1) Current Average Weighted Type Face Market Price Average CPR Type Face Market Price Average CPR 3.50

  9. Slide 9: Interest Rate Sensitivity

    INTEREST RATE SENSITIVITY Chimera added to its Agency and hedge portfolios during the quarter Description - 100 Basis - 50 Basis +50 Basis +100 Basis ($ in thousands) Points Points Unchanged Points Points Hedge Book Maturities Market Value $ 9,857,910 $ 9,650,351 $ 9,406,092 $ 9,133,202 $ 8,840,558

  10. Slide 10: chimerareit.com

    chimerareit.com

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