Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q1 2020 Earnings Presentation
8 slides from Chimera Investment's earnings presentation, May 6, 2020
Slide 1: Financial Supplement 1st Quarter 2020
FINANCIAL SUPPLEMENT 1st 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 91% of Chimera's equity capital is allocated to mortgage credit (2) Residential Mortgage Net Investment Analysis Credit Portfolio 17 Total Assets: 15.5 billion(1) RESIDENTIAL 16 MORTGAGE AGENCY TOTAL CREDIT PORTFOLIO PORTFOLIO 15 PORTFOLIO 14 Non-Recourse 13 GROSS ASSET 6.0% 3.
Slide 4: GAAP Asset Allocation
GAAP ASSET ALLOCATION Chimera added to the loan portfolio during the quarter March 31, 2020 December 31, 2019 12% 10% 1% 15% 25% 54% 72% 11% Non-Agency MBS Agency RMBS Non-Agency MBS Agency RMBS Agency CMBS Loan Portfolio Agency CMBS Loan Portfolio Total Portfolio: $18.4 billion Total Portfolio: $26
Slide 5: GAAP Financing Sources
GAAP FINANCING SOURCES Chimera operates at 4.7:1 total leverage and 2.2:1 recourse leverage(1) March 31, 2020 December 31, 2019 24% 32% 38% 53% 1% 29% 15% 9% Non-Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Agency Repurchase Agreements, RMBS Agency Repurchase Agreements,
Slide 6: 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-R2 $492,347 $351,926 $140,421 $492,347 $351,926 $140,421 2020 CIM 2020-R1 $390,7
Slide 7: Agency Securities and Repo Summary
AGENCY SECURITIES AND REPO SUMMARY Agency Securities – As of March 31, 2020 Agency Securities – As of December 31, 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 PRICE 3.
Slide 8: chimerareit.com
chimerareit.com