Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q4 2020 Earnings Presentation
8 slides from Chimera Investment's earnings presentation, Feb 10, 2021
Slide 1: Financial Supplement 4th Quarter 2020
FINANCIAL SUPPLEMENT 4th 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 91% of Chimera's equity capital is allocated COMPOSITION to mortgage credit Net Investment Analysis(2) Residential Mortgage Credit Portfolio 17 Total Assets: 15.3 billion(1) RESIDENTIAL 16 MORTGAGE AGENCY TOTAL 15 CREDIT PORTFOLIO PORTFOLIO PORTFOLIO 14 13 Non-Recourse GROSS ASSET 6.1% 4.0
Slide 4: GAAP Asset Allocation
GAAP ASSET ALLOCATION Chimera’s focus in 2020 was loan acquisition and securitization December 31, 2020 December 31, 2019 13% 10% 1% 10% 25% 54% 77% 11% Non-Agency MBS Agency RMBS Non-Agency MBS Agency RMBS Agency CMBS Loan Portfolio Agency CMBS Loan Portfolio Total Portfolio: $17.1 billion Total Po
Slide 5: GAAP Financing Sources
GAAP FINANCING SOURCES 3.6:1 total leverage and 1.2:1 recourse leverage(1) in Q4 2020 compared to 5.5:1 total leverage and 3.4:1 recourse leverage(1) in Q4 2019 December 31, 2020 December 31, 2019 24% 24% 38% 1% 10% 66% 29% 9% Non-Agency Secured Financing, RMBS Non-Agency Secured Financing, RMBS Age
Slide 6: Non-Agency Financing
NON-AGENCY FINANCING Chimera continues to focus on longer term and non-mark- to-market financing for its non-agency portfolio Maturity Facility Type 28% 41% 40% 43% 16% 32% Non Mark-to-Market 0 - 3 Months Limited Mark-to-Market 3 - 6 Months Mark-to-Market Greater Than 12 Months Data based on secured
Slide 7: Consolidated Loan Securitizations
CONSOLIDATED LOAN SECURITIZATIONS TOTAL ORIGINAL TOTAL OF TOTAL OF TRANCHES TOTAL REMAINING REMAINING FACE OF REMAINING FACE OF VINTAGE DEAL FACE TRANCHES SOLD RETAINED FACE TRANCHES SOLD TRANCHES RETAINED 2020 CIM 2020-NR1 $131,860 $84,165 $47,695 $130,664 $83,097 $47,567 2020 CIM 2020-R7 653,192 5
Slide 8: chimerareit.com
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