Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q1 2021 Earnings Presentation
11 slides from Chimera Investment's earnings presentation, May 5, 2021
Slide 1: Financial Supplement 1st Quarter 2021
FINANCIAL SUPPLEMENT 1st Quarter 2021
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 Residential Mortgage Total Assets: 3.3 2.9 8.8 14.8 billion Credit Portfolio Equity Recourse Non-Recourse Total Assets: Agency MBS Portfolio 1.1 1.4 billion 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 Billions Equi
Slide 4: GAAP Asset Allocation
GAAP ASSET ALLOCATION Chimera continues to focus on its Residential Credit portfolios March 31, 2021 December 31, 2020 12% 13% 9% 11% 79% 77% Non-Agency MBS Agency CMBS and RMBS Non-Agency MBS Agency CMBS and RMBS Loan Portfolio Loan Portfolio Total Portfolio: $16.3 billion Total Portfolio: $17.1 bi
Slide 5: GAAP Financing Sources
GAAP FINANCING SOURCES Chimera optimized its Non-Agency funding by reducing borrowing rates and increasing non-recourse debt March 31, 2021 December 31, 2020 23% (Rate: 3.7%) 24% (Rate: 4.8%) 9% (Rate: 0.2%) 10% 68% 65% (Rate: 0.3%) (Rate: 2.6%) (Rate: 3.4%) 1% 1% Non-Agency and Loans Secured Financ
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 March 31, 2021 December 31, 2020 Total Non-Agency Secured Financing: Total Non-Agency Secured Financing: $2.4 billion(1) $2.8 billion(1) 1,250 1,250 1,110 347 1,000 1,000 121
Slide 7: Net Investment Analysis
NET INVESTMENT ANALYSIS Strong net interest spread resulting from a reduction in financing cost RESIDENTIAL MORTGAGE AGENCY PORTFOLIO(1) TOTAL PORTFOLIO CREDIT PORTFOLIO GROSS ASSET YIELD: 6.3% 7.3% 6.4% FINANCING COSTS 3.6% 0.2% 3.3% NET INTEREST 2.7% 7.1% 3.1% SPREAD: NET INTEREST 3.2% 7.1% 3.6% M
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 Investments Subsidiaries Trusts Trusts Non-Agency RMBS, at fair value $ 1,534,936 $ 478,542
Slide 9: Securitization Activity
SECURITIZATION ACTIVITY Chimera achieved higher advance rates on new securitizations while reducing securitized debt expense $2.3 Billion Loan Securitization with a Weighted Average Coupon of 6.3% Deal Name Securitized Debt (UPB) Average Yield Legacy Deal CIM 2016-1,2,3 $1,694,026 5.2% 2021 Securiti
Slide 10: Consolidated Loan Securitizations
CONSOLIDATED LOAN SECURITIZATIONS TOTAL ORIGINAL TOTAL OF TOTAL OF TRANCHES TOTAL REMAINING REMAINING FACE OF REMAINING FACE OF VINTAGE DEAL FACE TRANCHES SOLD RETAINED FACE TRANCHES SOLD TRANCHES RETAINED 2021 CIM 2021-R2 $1,497,213 $1,272,631 $224,582 $1,497,213 $1,272,631 $224,582 2021 CIM 2021-N
Slide 11: chimerareit.com
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