Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q2 2021 Earnings Presentation
11 slides from Chimera Investment's earnings presentation, Aug 4, 2021
Slide 1: Financial Supplement 2nd Quarter 2021
FINANCIAL SUPPLEMENT 2nd Quarter 2021
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 United States 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 93% of Chimera's equity capital is allocated to mortgage credit Billions 3.4 2.6 1.0 8.5 Equity Recourse Non-Recourse Residential Mortgage Credit Portfolio Agency MBS Portfolio 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16
Slide 4: GAAP Asset Allocation
Information is unaudited, estimated and subject to change. 3 12% 9% 79% Non-Agency MBS Agency CMBS and RMBS Loan Portfolio GAAP ASSET ALLOCATION Based on fair value. 12% 9% 79% Non-Agency MBS Agency CMBS and RMBS Loan Portfolio June 30, 2021 March 31, 2021 Chimera continues to focus on its Residenti
Slide 5: GAAP Financing Sources
Information is unaudited, estimated and subject to change. 4 21% 8% 1%70% Non-Agency and Loans Secured Financing (1) Agency Secured Financing Non-Recourse Debt, Securitized RMBS Non-Recourse Debt, Securitized Loans GAAP FINANCING SOURCES 23% 9% 1%68% Non-Agency and Loans Secured Financing (1) Agency
Slide 6: Non-Agency Financing
Information is unaudited, estimated and subject to change. 5 NON-AGENCY FINANCING Chimera continues to focus on longer term and non-mark- to-market financing for its non-agency portfolio M ill io ns 1,153 — 121 591 175 Mark-to-Market Limited Mark-to-Market Non Mark-to-Market 0 - 3 Months 3 - 6 Month
Slide 7: Net Investment Analysis
Information is unaudited, estimated and subject to change. 6 RESIDENTIAL MORTGAGE CREDIT PORTFOLIO AGENCY PORTFOLIO(1) TOTAL PORTFOLIO GROSS ASSET YIELD: 6.7% 10.0% 7.0% FINANCING COSTS 2.8% 0.2% 2.6% NET INTEREST SPREAD: 3.9% 9.8% 4.4% NET INTEREST MARGIN: 4.3% 9.8% 4.8% All data based on the quart
Slide 8: Chimera Subsidiaries, Securitization Trusts and Financing Trusts
Information is unaudited, estimated and subject to change. 7 Chimera Subsidiaries Securitization Trusts (1) Financing Trusts Total Investments Non-Agency RMBS, at fair value $ 1,466,778 $ 452,889 $ — $ 1,919,667 Agency RMBS, at fair value 76,820 — — 76,820 Agency CMBS, at fair value 1,236,507 — — 1,
Slide 9: Re-Securitization Activity
Information is unaudited, estimated and subject to change. 8 $977 Million Loan Securitization with a Weighted Average Coupon of 6.2% Deal Name Securitized Debt (UPB) Average Yield Legacy Deal CIM 2017-1, 5, 6 $681,798 4.1% 2021 Securitization CIM 2021-R3, NR3 $812,936 2.1% Net Impact $131,138 (2.0)%
Slide 10: Securitization Deals by Vintage
Information is unaudited, estimated and subject to change. 9 VINTAGE DEAL TOTAL ORIGINAL FACE TOTAL OF TRANCHES SOLD TOTAL OF TRANCHES RETAINED TOTAL REMAINING FACE REMAINING FACE OF TRANCHES SOLD REMAINING FACE OF TRANCHES RETAINED 2021 CIM 2021-R4 $545,684 $463,831 $81,853 $545,684 $463,831 $81,85
Slide 11: chimerareit.com
chimerareit.com