Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q1 2019 Earnings Presentation
9 slides from Chimera Investment's earnings presentation, May 1, 2019
Slide 1: Financial Supplement 1st Quarter 2019
FINANCIAL SUPPLEMENT NYSE: CIM 1st Quarter 2019
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
Slide 3: Portfolio Composition
PORTFOLIO COMPOSITION 68% of Chimera's equity capital is allocated to mortgage credit Net Investment Analysis(2) Residential Mortgage 17 Credit Portfolio 16 Total Assets: 14.9 billion(1) Residential Agency 15 Mortgage Credit Total Portfolio Agency Portfolio Portfolio Portfolio 14 Total Assets: 12.2
Slide 4: GAAP Asset Allocation
GAAP ASSET ALLOCATION(1) Chimera maintained a consistent asset allocation during the quarter March 31, 2019 December 31, 2018 9% 9% 46% 46% 45% 45% Non-Agency MBS Agency MBS Non-Agency MBS Agency MBS Loan Portfolio Loan Portfolio Total Portfolio: $27.2 billion Total Portfolio: $27.2 billion (1) Base
Slide 5: GAAP Financing Sources
GAAP FINANCING SOURCES Total Leverage(1): 6.0:1 Recourse Leverage(1): 3.9:1 March 31, 2019 December 31, 2018 35% 38% 45% 48% 17% 17% Agency Repurchase Agreements, RMBS Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Recourse Debt,
Slide 6: Consolidated Loan Securitizations
CONSOLIDATED LOAN SECURITIZATIONS ($ in thousands) March 31, 2019 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-NR1 $257,548 — $257,548 $226,762 — $226,762 2018
Slide 7: Agency Securities and Repo Summary
AGENCY SECURITIES AND REPO SUMMARY Agency Securities – As of March 31, 2019 Agency Securities – As of December 31, 2018 Weighted Weighted Security Coupon(1) Current Average Weighted Security Coupon(1) Current Average Weighted Type Face Market Price Average CPR Type Face Market Price Average CPR 3.50
Slide 8: Interest Rate Sensitivity
INTEREST RATE SENSITIVITY Chimera rebalanced its Agency hedge portfolio during the quarter Description - 100 Basis - 50 Basis +50 Basis +100 Basis ($ in thousands) Points Points Unchanged Points Points Hedge Book Maturities Market Value $12,589,670 $12,439,689 $ 12,238,044 $11,948,585 $11,619,453 Ag
Slide 9: We, CHIMERA ESE
We, CHIMERA ESE chimerareit.com