Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q1 2018 Earnings Presentation
10 slides from Chimera Investment's earnings presentation, May 3, 2018
Slide 1: Financial Supplement 1st Quarter 2018
FINANCIAL SUPPLEMENT NYSE: CIM 1st Quarter 2018
Slide 2: Disclaimer
Information is unaudited, estimated and subject to change. DISCLAIMER This presentation includes “forward-looking statements” within the meaning of the safe harbor provisions of the UnitedStates Private Securities Litigation Reform Act of 1995. Actual results may differ from expectations, estimates
Slide 3: Portfolio Composition
Information is unaudited, estimated and subject to change. 2 PORTFOLIO COMPOSITION Residential Mortgage Credit Portfolio Agency Portfolio Total Portfolio Gross Asset Yield: 6.9% 3.4% 6.2% Financing Cost(3): 4.1% 2.0% 3.7% Net Interest Spread: 2.8% 1.4% 2.5% Net Interest Margin: 3.3% 1.8% 3.0% All da
Slide 4: GAAP Asset Allocation
Information is unaudited, estimated and subject to change. 3 March 31, 2018 Total Portfolio: $20.9 billion Non-Agency MBS Agency MBS Loan Portfolio 13% 22% 65% GAAP ASSET ALLOCATION(1) (1) Based on fair value. Chimera securitized $549 million of residential mortgage loans in the first quarter of 201
Slide 5: GAAP Financing Sources
Information is unaudited, estimated and subject to change. 4 March 31, 2018 Total Financing: $16.7 Billion Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Recourse Debt, Securitized RMBS and Loans (2) 20% 23% 57% GAAP FINANCING SOURCES Total Leverage(1): 4.6:1 Recourse
Slide 6: Consolidated RMBS Securitizations
Information is unaudited, estimated and subject to change. 5 ($ in thousands) At Issuance / Acquisition March 31, 2018 Vintage Deal Total OriginalFace Total of Tranches Sold Total of Tranches Retained Total Remaining Face Remaining Face of Tranches Sold Remaining Face of Tranches Retained 2018 CIM 2
Slide 7: Consolidated RMBS Securitizations
Information is unaudited, estimated and subject to change. 6 ($ in thousands) At Issuance / Acquisition March 31, 2018 Vintage Deal Total OriginalFace Total of Tranches Sold Total of Tranches Retained Total Remaining Face Remaining Face of Tranches Sold Remaining Face of Tranches Retained 2014 CSMC
Slide 8: Agency Securities and Repo Days to Maturity
Information is unaudited, estimated and subject to change. 7 Agency Securities – As of March 31, 2018 Repo Days to Maturity – As of March 31, 2018 Agency Securities – As of December 31, 2017 Repo Days to Maturity – As of December 31, 2017 Maturity PrincipalBalance Weighted Average Rate Weighted Aver
Slide 9: Interest Rate Sensitivity
Information is unaudited, estimated and subject to change. 8 Description ($ in thousands) - 100 Basis Points - 50 Basis Points Unchanged +50 Basis Points +100 Basis Points Agency Securities Market Value $ 4,842,053 $ 4,703,683 $ 4,557,799 $ 4,407,918 $ 4,256,875 Percentage Change 6.2 % 3.2 % - (3.3)
Slide 10: chimerareit.com
chimerareit.com