Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q3 2019 Earnings Presentation
9 slides from Chimera Investment's earnings presentation, Oct 30, 2019
Slide 1: Financial Supplement 3rd Quarter 2019
FINANCIAL SUPPLEMENT 3rd 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) Residential Mortgage Net Investment Analysis Credit Portfolio 17 Total Assets: 15.8 billion(1) RESIDENTIAL 16 MORTGAGE AGENCY TOTAL CREDIT PORTFOLIO PORTFOLIO 15 PORTFOLIO 14 Non-Recourse 13 GROSS ASSET (Securi
Slide 4: GAAP Asset Allocation
GAAP ASSET ALLOCATION Chimera added to the loan portfolio during the quarter September 30, 2019 June 30, 2019 10% 10% 45% 48% 42% 45% Non-Agency MBS Agency MBS Non-Agency MBS Agency MBS Loan Portfolio Loan Portfolio Total Portfolio: $27.4 billion Total Portfolio: $27.2 billion Based on fair value. I
Slide 5: GAAP Financing Sources
GAAP FINANCING SOURCES Chimera operates at 5.7:1 total leverage and 3.8:1 recourse leverage(1) September 30, 2019 June 30, 2019 35% 36% 43% 45% 22% 19% Agency Repurchase Agreements, RMBS Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS
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 2019 CIM 2019-R1 $371,762 297,409 $74,353 $366,787 292,382 $74,405 2018 CIM 2018-NR1 $257,548
Slide 7: Agency Securities and Repo Summary
AGENCY SECURITIES AND REPO SUMMARY Agency Securities – As of September 30, 2019 Agency Securities – As of June 30, 2019 WEIGHTED WEIGHTED SECURITY TYPE COUPON(1) CURRENT AVERAGE WEIGHTED SECURITY TYPE COUPON(1) CURRENT AVERAGE WEIGHTED FACE MARKET PRICE AVERAGE CPR FACE MARKET PRICE AVERAGE CPR 3.5%
Slide 8: Interest Rate Sensitivity
INTEREST RATE SENSITIVITY Chimera rebalanced its Agency hedge portfolio during the quarter DESCRIPTION - 100 BASIS - 50 BASIS +50 BASIS +100 BASIS ($ in thousands) POINTS POINTS UNCHANGED POINTS POINTS Hedge Book Maturities Market Value $ 12,004,559 $ 11,810,986 $ 11,615,323 $ 11,391,232 $ 11,127,58
Slide 9: chimerareit.com
chimerareit.com