Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q2 2019 Earnings Presentation
9 slides from Chimera Investment's earnings presentation, Jul 31, 2019
Slide 1: Financial Supplement 2nd Quarter 2019
FINANCIAL SUPPLEMENT 2nd Quarter 2019
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 73% of Chimera's equity capital is allocated to mortgage credit (2) Net Investment Analysis Residential Mortgage 17 Credit Portfolio (1) RESIDENTIAL 16 Total Assets: 15.0 billion MORTGAGE AGENCY TOTAL CREDIT PORTFOLIO PORTFOLIO 15 PORTFOLIO 14 13 Agency Portfolio Non-Recourse (
Slide 4: GAAP Asset Allocation
GAAP ASSET ALLOCATION Chimera maintained a consistent asset allocation during the quarter June 30, 2019 March 31, 2019 10% 9% 45% 46% 45% 45% Non-Agency MBS Agency MBS Non-Agency MBS Agency MBS Loan Portfolio Loan Portfolio Total Portfolio: $27.2 billion Total Portfolio: $27.2 billion Based on fair
Slide 5: GAAP Financing Sources
GAAP FINANCING SOURCES Chimera operates at 5.7:1 total leverage and 3.7:1 recourse leverage(1) June 30, 2019 March 31, 2019 36% 35% 45% 48% 19% 17% Agency Repurchase Agreements, RMBS Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-
Slide 6: Consolidated Loan Securitizations
CONSOLIDATED LOAN SECURITIZATIONS TOTAL OF VINTAGE DEAL TOTAL ORIGINAL TOTAL OF TRANCHES TOTAL REMAINING REMAINING FACE OF REMAINING FACE OF FACE TRANCHES SOLD RETAINED FACE TRANCHES SOLD TRANCHES RETAINED 2018 CIM 2018-NR1 $257,548 — $257,548 $210,608 — $210,608 2018 CIM 2018-R6 478,251 334,775 143
Slide 7: Agency Securities and Repo Summary
AGENCY SECURITIES AND REPO SUMMARY Agency Securities – As of June 30, 2019 Agency Securities – As of March 31, 2019 WEIGHTED WEIGHTED SECURITY TYPE COUPON(1) CURRENT AVERAGE WEIGHTED SECURITY TYPE COUPON(1) CURRENT AVERAGE WEIGHTED FACE MARKET PRICE AVERAGE CPR FACE MARKET PRICE AVERAGE CPR 3.5% $62
Slide 8: Interest Rate Sensitivity
INTEREST RATE SENSITIVITY Chimera rebalanced its Agency hedge portfolio during the quarter DESCRIPTION - 100 BASIS - 50 BASIS +50 BASIS +100 BASIS ($ in thousands) POINTS POINTS UNCHANGED POINTS POINTS Hedge Book Maturities Market Value $ 12,414,897 $ 12,310,754 $ 12,154,575 $ 11,922,436 $ 11,638,67
Slide 9: chimerareit.com
chimerareit.com