Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q3 2022 Earnings Presentation
10 slides from Chimera Investment's earnings presentation, Nov 3, 2022
Slide 1: Financial Supplement 3rd Quarter 2022
FINANCIAL SUPPLEMENT 3rd 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 96% of Chimera's equity capital is allocated to mortgage credit Equity Recourse Non-Recourse Total Assets: Equity Recourse Non-Recourse 12.9 billion Residential Mortgage 2.6 2.4 7.4 Credit Portfolio Total Assets: 0.5 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 ALLOCATION Chimera continues to focus on its Residential Credit portfolios September 30, 2022 June 30, 2022 9% 10% 3% 3% 88% 87% Non-Agency MBS Agency CMBS and RMBS Non-Agency MBS Agency CMBS and RMBS Loan Portfolio Loan Portfolio Total Portfolio: $13.4 billion Total Portfolio: $13.7 bill
Slide 5: GAAP Financing Sources
GAAP FINANCING SOURCES Securitized debt provides optimal long-term non-recourse financing for Chimera's loan portfolio September 30, 2022 June 30, 2022 24% 26% (Rate: 5.0%) (Rate: 3.5%) 4% (Rate: 3.1%) 3% (Rate: 1.4%) 1% 70% 72% 1% (Rate: 2.7%) (Rate: 2.6%) Non-Agency and Loans Secured Financing (1)
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 September 30, 2022 June 30, 2022 Total Non-Agency Secured Financing: Total Non-Agency Secured Financing: $2.1 billion(1) $2.1 billion(1) 800 800 600 600 Millions Millions 452
Slide 7: Net Investment Analysis
NET INVESTMENT ANALYSIS Quarter ended September 30, 2022 Quarter ended June 30, 2022 RESIDENTIAL RESIDENTIAL MORTGAGE AGENCY TOTAL MORTGAGE AGENCY TOTAL CREDIT PORTFOLIO PORTFOLIO CREDIT PORTFOLIO (2) PORTFOLIO PORTFOLIO PORTFOLIO GROSS ASSET YIELD (1): 5.6% 3.6% 5.5% 5.6% 4.0% 5.5% FINANCING COSTS:
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 Total Investments Subsidiaries Trusts Trusts Non-Agency RMBS, at fair value $ 910,244 $ 281,054 $ — $
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-R3 369,891 283,891 86,000 $369,891 $283,891 86,000 September 2027 2022
Slide 10: chimerareit.com
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