Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q4 2018 Earnings Presentation
9 slides from Chimera Investment's earnings presentation, Feb 13, 2019
Slide 1: Financial Supplement 4th Quarter 2018
FINANCIAL SUPPLEMENT NYSE: CIM 4th Quarter 2018
Slide 2: 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 DISCLAIMER projections and, consequently, readers should not rely
Slide 3: Portfolio Composition
PORTFOLIO COMPOSITION 76% of Chimera's equity capital is allocated to mortgage credit Net Investment Analysis(2) Residential Mortgage 17 Credit Portfolio 16 Total Assets: 15.1 billion(1) Residential Agency 15 Mortgage Credit Total Portfolio Portfolio Portfolio 14 13 Agency Portfolio Non-Recourse Tot
Slide 4: GAAP Asset Allocation
GAAP ASSET ALLOCATION(1) The increase in Agency MBS provides spread income and preserves portfolio liquidity December 31, 2018 September 30, 2018 9% 10% 46% 52% 38% 45% Non-Agency MBS Agency MBS Non-Agency MBS Agency MBS Loan Portfolio Loan Portfolio Total Portfolio: $27.2 billion Total Portfolio: $
Slide 5: GAAP Financing Sources
GAAP FINANCING SOURCES Total Leverage(1): 6.1:1 Recourse Leverage(1): 3.8:1 December 31, 2018 September 30, 2018 38% 38% 45% 45% 17% 17% Agency Repurchase Agreements, RMBS Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Recourse De
Slide 6: Consolidated Loan Securitizations
CONSOLIDATED LOAN SECURITIZATIONS ($ in thousands) December 31, 2018 Total of Remaining Vintage Deal Total Original Total of Tranches Total Remaining Face of Remaining Face of Face Tranches Sold Retained Face Tranches Sold Tranches Retained 2018 CIM 2018-NR1 $257,548 — $257,548 $242,229 — $242,229 2
Slide 7: Agency Securities and Repo Summary
AGENCY SECURITIES AND REPO SUMMARY Agency Securities – As of December 31, 2018 Agency Securities – As of September 30, 2018 Weighted Weighted Security Coupon(1) Current Average Weighted Security Coupon(1) Current Average Weighted Type Face Market Price Average CPR Type Face Market Price Average CPR
Slide 8: Interest Rate Sensitivity
INTEREST RATE SENSITIVITY Chimera added to its Agency and hedge portfolios during the quarter Description - 100 Basis - 50 Basis +50 Basis +100 Basis ($ in thousands) Points Points Unchanged Points Points Hedge Book Maturities Market Value $12,652,784 $12,448,492 $ 12,188,950 $11,876,524 $11,525,690
Slide 9: chimerareit.com
chimerareit.com