Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q1 2016 Earnings Presentation
9 slides from Chimera Investment's earnings presentation, May 2, 2016
Slide 1: Q1 2016 Supplemental Financial Information
Q1 2016 Supplemental Financial Information May 3, 2016
Slide 2: Disclaimer
Disclaimer This presentationincludes forward-looking statements” withinthe meaning of the safe harbor provisionsof the United States Private Securities Litigation Reform Act of 1995, Actual resultsmay differ from expectations, estimatesand projections and, consequently, readers should notrely on the
Slide 3: Portfolio Composition as of March 31, 2016
Portfolio Composition as of March 31, 2016 Residential Mortgage Credit Portfolio Agency MBS Portfolio Total Portfolio Gross Asset Yield: 8.6% 2.5% 5.9% Financing Cost(2): 3.4% 1.6% 2.5% Net Interest Spread: 5.2% 0.9% 3.4% Net Interest Margin: 5.8% 1.1% 3.6% Excludes unsettled trades.Includes the int
Slide 4: Portfolio Composition as of March 31, 2016
Portfolio Composition as of March 31, 2016 Residential Mortgage Credit Portfolio Agency MBS Portfolio Total Portfolio Gross Asset Yield: 8.6% 2.5% 5.9% Financing Cost(2): 3.4% 1.6% 2.5% Net Interest Spread: 5.2% 0.9% 3.4% Net Interest Margin: 5.8% 1.1% 3.6% Excludes unsettled trades.Includes the int
Slide 5: GAAP Asset Allocation: Quarter Over Quarter Comparison
March 31, 2016 December 31, 2015 GAAP Asset Allocation: Quarter Over Quarter Comparison(1) (1) Based on Fair Value.
Slide 6: GAAP Financing Sources: Quarter Over Quarter Comparison
(1) Consists of tranches of RMBS and loan securitizations sold to unrelated third parties. March 31, 2016 December 31, 2015 GAAP Financing Sources: Quarter Over Quarter Comparison Total Financing: $11.7 Billion Total Financing: $11.7 Billion (1) (1) 3.5% 0.9%
Slide 7: Agency & Repo Summary
Agency & Repo Summary Agency Securities – As of March 31, 2016 Repo Days to Maturity – As of March 31, 2016 Agency Securities – As of December 31, 2015 Repo Days to Maturity – As of December 31, 2015 ($ in thousands) Maturity Principal Balance(3) Weighted Average Rate Weighted Average Days Within 30
Slide 8: Consolidated RMBS & Loan Securitizations
Consolidated RMBS & Loan Securitizations ($ in thousands) At Issuance / Acquisition As of March 31, 2016 Vintage Type 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 2015 Whole Loan Se
Slide 9: Chimera Investment Corporation
CHIMERA INVESTMENT CORPORATION Q1 2016 Supplemental Financial Information WWW.CHIMERAREIT.COM