Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q4 2017 Earnings Presentation
10 slides from Chimera Investment's earnings presentation, Feb 14, 2018
Slide 1: Financial Supplement 4th Quarter 2017
FINANCIAL SUPPLEMENT NYSE: CIM 4th Quarter 2017
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 Portfolio Total Portfolio Gross Asset Yield: 7.2% 3.0% 6.3% Financing Cost(3): 3.9% 2.0% 3.6% Net Interest Spread: 3.3% 1.0% 2.7% Net Interest Margin: 3.7% 1.4% 3.2% All da
Slide 4: GAAP Asset Allocation
Information is unaudited, estimated and subject to change. 3 December 31, 2017 September 30, 2017 Total Portfolio: $20.9 billion Non-Agency MBS Agency MBS Loan Portfolio 14% 21% 65% 14% 21% 65% GAAP ASSET ALLOCATION(1) (1) Based on fair value. Chimera added $704 million in Q4 and $6.5 billion in res
Slide 5: GAAP Financing Sources
Information is unaudited, estimated and subject to change. 4 December 31, 2017 September 30, 2017 Total Financing: $16.8 Billion Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Recourse Debt, Securitized RMBS and Loans (2) 19% 24% 57% 19% 22%60% GAAP FINANCING SOURCES (
Slide 6: Consolidated RMBS Securitizations
Information is unaudited, estimated and subject to change. 5 ($ in thousands) At Issuance / Acquisition December 31, 2017 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 2017 CM
Slide 7: Consolidated RMBS Securitizations (continued)
Information is unaudited, estimated and subject to change. 6 ($ in thousands) At Issuance / Acquisition December 31, 2017 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 CS
Slide 8: Agency Securities and Repo Days to Maturity
Information is unaudited, estimated and subject to change. 7 Agency Securities – As of December 31, 2017 Repo Days to Maturity – As of December 31, 2017 Agency Securities – As of September 30, 2017 Repo Days to Maturity – As of September 30, 2017 Maturity PrincipalBalance Weighted Average Rate Weigh
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 $ 4,610,532 $ 4,491,913 $ 4,364,828 $ 4,229,318 $ 4,089,486 Percentage Change 5.6 % 2.9 % - (3.1)
Slide 10: chimerareit.com
chimerareit.com