Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q3 2020 Earnings Presentation
8 slides from Chimera Investment's earnings presentation, Nov 4, 2020
Slide 1: Financial Supplement 3rd Quarter 2020
FINANCIAL SUPPLEMENT 3rd Quarter 2020
Slide 2: Disclaimer
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 projections and, consequently, readers should not rely
Slide 3: Portfolio Composition
PORTFOLIO COMPOSITION 92% of Chimera's equity capital is allocated to mortgage credit Net Investment Analysis(2) Residential Mortgage 17 Credit Portfolio Total Assets: 15.8 billion(1) RESIDENTIAL 16 MORTGAGE AGENCY TOTAL 15 CREDIT PORTFOLIO PORTFOLIO PORTFOLIO 14 13 Non-Recourse GROSS ASSET 12 (Secu
Slide 4: GAAP Asset Allocation
GAAP ASSET ALLOCATION Chimera added to the loan portfolio during the quarter September 30, 2020 December 31, 2019 13% 10% 1% 10% 25% 54% 77% 11% Non-Agency MBS Agency RMBS Non-Agency MBS Agency RMBS Agency CMBS Loan Portfolio Agency CMBS Loan Portfolio Total Portfolio: $17.6 billion Total Portfolio:
Slide 5: GAAP Financing Sources
GAAP FINANCING SOURCES 3.7:1 total leverage and 1.3:1 recourse leverage(1) in Q3 compared to 5.5:1 total leverage and 3.4:1 recourse leverage(1) in Q4 2019 September 30, 2020 December 31, 2019 24% 24% 38% 1% 10% 65% 29% 9% Non-Agency Secured Financing, RMBS Non-Agency Secured Financing, RMBS Agency
Slide 6: Non-Agency Financing
NON-AGENCY FINANCING Chimera continues to focus on longer term and non-mark- to-market financing for its non-agency portfolio Maturity Facility Type 9% 21% 44% 45% 44% 26% 11% 0 - 3 Months Non Mark-to-Market 3 - 6 Months Limited Mark-to-Market 6 - 12 Months Mark-to-Market Greater Than 12 Months Data
Slide 7: Consolidated Loan Securitizations
CONSOLIDATED LOAN SECURITIZATIONS TOTAL ORIGINAL TOTAL OF TOTAL OF TOTAL REMAINING REMAINING FACE OF REMAINING FACE OF VINTAGE DEAL FACE TRANCHES SOLD TRANCHES FACE TRANCHES SOLD TRANCHES RETAINED RETAINED 2020 CIM 2020-R5 $338,416 $257,027 $81,389 $321,538 $239,933 $81,605 2020 CIM 2020-R4 276,316
Slide 8: chimerareit.com
chimerareit.com