Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q1 2022 Earnings Presentation
10 slides from Chimera Investment's earnings presentation, May 5, 2022
Slide 1: Financial Supplement 1st Quarter 2022
FINANCIAL SUPPLEMENT 1st Quarter 2022
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 94% of Chimera's equity capital is allocated to mortgage credit Equity Recourse Non-Recourse Total Assets: Equity Recourse Non-Recourse 14.4 billion Residential Mortgage 8.1 3.1 3.1 Credit Portfolio Total Assets: 0.6 billion Agency MBS Portfolio 0.4 0 1 2 3 4 5 6 7 8 9 10 11 12
Slide 4: GAAP Asset Allocation
GAAP ASSET ALLOVATION Vhimera continues to focus on its Residential Vredit portfolios March 31, 2022 December 31, 2021 10% 12% 4% 6% 86% 82% Non-Agency MBS Agency CMBS and RMBS Non-Agency MBS Agency CMBS and RMBS Loan PortfoIio Loan PortfoIio Total Portfolio: $14.9 billion Total Portfolio: $14.9 bil
Slide 5: GAAP Financing Sources
GAAP FINANVING SOURVES Securitized debt provides optimal long-term non-recourse financing for Vhimera's loan portfolio March 31, 2022 December 31, 2021 27% 24% (Rate: 2.8%) (Rate: 2.8%) 3% 6% (Rate: 0.2%) (Rate: 0.4%) 70% 70% (Rate: 2.4%) 1% (Rate: 2.5%) 1% Non-Agency and Loans Secured Financing (1)
Slide 6: Non-Agency Financing
NON-AGENVY FINANVING Vhimera continues to focus on longer term and non-mark- to-market financing for its non-agency portfolio March 31, 2022 December 31, 2021 Total Non-Agency Secured Financing: Total Non-Agency Secured Financing: $1.9 billion(1) $2.0 billion(1) 1,000 1,000 279 800 750 600 MiIIions
Slide 7: Net Investment Analysis
NET INVESTMENT ANALYSIS Continued strong net interest spread RESIDENTIAL MORTGAGE AGENCY PORTFOLIO(1) TOTAL PORTFOLIO CREDIT PORTFOLIO GROSS ASSET YIELD: 5.5% 13.7% 6.0% FINANCING COSTS 2.4% 0.3% 2.3% NET INTEREST 3.1% 13.4% 3.7% SPREAD: NET INTEREST 3.6% 13.6% 4.1% MARGIN: All data based on the qua
Slide 8: Net Asset Breakdown
NET ASSET BREAKDOWN Chimera invests in RMBS securities and securities created through the CIM Sponsored securitizations. Loans are financed through Financing Trusts. Chimera Securitization Financing (1) Total (1) Investments Subsidiaries Trusts Trusts Non-Agency RMBS, at fair value $ 1,122,329 $ 336
Slide 9: Consolidated Loan Securitizations
CONSOLIDATED LOAN SECURITIZATIONS TOTAL ORIGINAL TOTAL OF TOTAL OF TRANCHES TOTAL REMAINING REMAINING FACE OF REMAINING FACE OF VINTAGE DEAL Call Date FACE TRANCHES SOLD RETAINED FACE TRANCHES SOLD TRANCHES RETAINED 2022 CIM 2022-R1 $328,226 $263,729 $64,497 $322,785 $258,309 $64,476 February 2027 2
Slide 10: chimerareit.com
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