Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q4 2019 Earnings Presentation
9 slides from Chimera Investment's earnings presentation, Feb 12, 2020
Slide 1: Financial Supplement 4th Quarter 2019
FINANCIAL SUPPLEMENT 4th Quarter 2019
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 73% of Chimera's equity capital is allocated to mortgage credit Residential Mortgage Net Investment Analysis(2) Credit Portfolio (1) 17 Total Assets: 16.9 billion RESIDENTIAL 16 MORTGAGE AGENCY TOTAL CREDIT PORTFOLIO PORTFOLIO 15 PORTFOLIO 14 Non-Recourse 13 (Securitization) GR
Slide 4: GAAP Asset Allocation
GAAP ASSET ALLOCATION Chimera added to the loan portfolio during the quarter December 31, 2019 September 30, 2019 10% 10% 25% 48% 30% 54% 11% 12% Non-Agency MBS Agency RMBS Non-Agency MBS Agency RMBS Agency CMBS Loan Portfolio Agency CMBS Loan Portfolio Total Portfolio: $26.2 billion Total Portfolio
Slide 5: GAAP Financing Sources
GAAP FINANCING SOURCES Chimera operates at 5.5:1 total leverage and 3.4:1 recourse leverage(1) December 31, 2019 September 30, 2019 24% 22% 35% 38% 29% 33% 10% 9% Non-Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Agency Repurchase Agreements, RMBS Agency Repurchase Agreem
Slide 6: Consolidated Loan Securitizations
CONSOLIDATED LOAN SECURITIZATIONS TOTAL OF VINTAGE DEAL TOTAL ORIGINAL TOTAL OF TRANCHES TOTAL REMAINING REMAINING FACE OF REMAINING FACE OF FACE TRANCHES SOLD RETAINED FACE TRANCHES SOLD TRANCHES RETAINED 2019 CIM 2019-R5 $315,039 $252,224 $62,815 $312,370 $249,570 $62,800 2019 CIM 2019-R4 320,802
Slide 7: Agency Securities and Repo Summary
AGENCY SECURITIES AND REPO SUMMARY Agency Securities – As of December 31, 2019 Agency Securities – As of September 30, 2019 WEIGHTED WEIGHTED (1) CURRENT WEIGHTED (1) CURRENT WEIGHTED SECURITY TYPE COUPON AVERAGE SECURITY TYPE COUPON FACE AVERAGE AVERAGE CPR FACE MARKET PRICE AVERAGE CPR MARKET PRIC
Slide 8: Interest Rate Sensitivity
INTEREST RATE SENSITIVITY Chimera rebalanced its Agency hedge portfolio during the quarter DESCRIPTION - 100 BASIS - 50 BASIS +50 BASIS +100 BASIS ($ in thousands) POINTS POINTS UNCHANGED POINTS POINTS Hedge Book Maturities Market Value $ 9,661,207 $ 9,508,139 $ 9,341,011 $ 9,145,034 $ 8,917,815 Age
Slide 9: chimerareit.com
chimerareit.com