Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q2 2020 Earnings Presentation
8 slides from Chimera Investment's earnings presentation, Aug 5, 2020
Slide 1: Financial Supplement 2nd Quarter 2020
FINANCIAL SUPPLEMENT 2nd Quarter 2020
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 90% of Chimera's equity capital is allocated to mortgage credit (2) Net Investment Analysis Residential Mortgage 17 Credit Portfolio (1) RESIDENTIAL 16 Total Assets: 15.2 billion MORTGAGE AGENCY TOTAL CREDIT PORTFOLIO PORTFOLIO 15 PORTFOLIO 14 13 Non-Recourse GROSS ASSET 6.0% 3
Slide 4: GAAP Asset Allocation
GAAP ASSET ALLOCATION Chimera added to the loan portfolio during the quarter June 30, 2020 March 31, 2020 12% 12% 1% 1% 15% 15% 73% 72% Non-Agency MBS Agency RMBS Non-Agency MBS Agency RMBS Agency CMBS Loan Portfolio Agency CMBS Loan Portfolio Total Portfolio: $17.9 billion Total Portfolio: $18.4 bi
Slide 5: GAAP Financing Sources
GAAP FINANCING SOURCES Chimera operates at 4.3:1 total leverage and 1.8:1 recourse leverage(1) June 30, 2020 March 31, 2020 26% 32% 1% 53% 59% 1% 14% 15% Non-Agency Secured Financing, RMBS Non-Agency Secured Financing, RMBS Agency Secured Financing, RMBS Agency Secured Financing, RMBS Agency Secured
Slide 6: Non-Agency Financing
NON-AGENCY FINANCING Chimera’s focus in the 2nd quarter was extending maturities and securing non-mark-to-market financing Maturity Facility Type 9% 1% 42% 46% 43% 48% 11% 0 - 3 Months 3 - 6 Months Non Mark-to-Market Limited Mark-to-Market 6 - 12 Months Greater Than 12 Months Mark-to-Market Data bas
Slide 7: Consolidated Loan Securitizations
CONSOLIDATED LOAN SECURITIZATIONS TOTAL ORIGINAL TOTAL OF TOTAL OF TOTAL REMAINING REMAINING FACE OF REMAINING FACE OF VINTAGE DEAL FACE TRANCHES SOLD TRANCHES FACE TRANCHES SOLD TRANCHES RETAINED RETAINED 2020 CIM 2020-R4 $276,316 $207,237 $69,079 $276,316 $207,237 $69,079 2020 CIM 2020-R3 438,228
Slide 8: chimerareit.com
chimerareit.com