Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q3 2017 Earnings Presentation
10 slides from Chimera Investment's earnings presentation, Nov 2, 2017
Slide 1: Financial Supplement 3rd Quarter 2017
FINANCIAL SUPPLEMENT NYSE: CIM 3rd Quarter 2017
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: 7.2% 2.6% 6.3% Financing Cost(2): 4.0% 1.8% 3.6% Net Interest Spread: 3.2% 0.8% 2.7% Net Interest Margin: 3.8% 1.1% 3.2% All da
Slide 4: GAAP Asset Allocation
Information is unaudited, estimated and subject to change. 3 September 30, 2017 June 30, 2017 Total Portfolio: $20.8 billion Total Portfolio: $20.4 billion Non-Agency MBS Agency MBS Loan Portfolio 14% 21% 65% Non-Agency MBS Agency MBS Loan Portfolio 15% 20% 65% GAAP ASSET ALLOCATION(1) (1) Based on
Slide 5: GAAP Financing Sources
Information is unaudited, estimated and subject to change. 4 September 30, 2017 June 30, 2017 Total Financing: $16.6 Billion Total Financing: $16.0 Billion Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Recourse Debt, Securitized RMBS and Loans (2) 19% 22%60% Agency Re
Slide 6: Consolidated RMBS Securitizations
Information is unaudited, estimated and subject to change. 5 ($ in thousands) At Issuance / Acquisition September 30, 2017 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 2017 C
Slide 7: Consolidated RMBS Securitizations
Information is unaudited, estimated and subject to change. 6 ($ in thousands) At Issuance / Acquisition September 30, 2017 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 C
Slide 8: Agency Securities and Repo Days to Maturity
Information is unaudited, estimated and subject to change. 7 Agency Securities – As of September 30, 2017 Repo Days to Maturity – As of September 30, 2017 Agency Securities – As of June 30, 2017 Repo Days to Maturity – As of June 30, 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 $ 4,604,132 $ 4,483,164 $ 4,354,872 $ 4,219,737 $ 4,080,509 Percentage Change 5.7 % 2.9 % - (3.1)
Slide 10: chimerareit.com
chimerareit.com