Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q4 2021 Earnings Presentation
10 slides from Chimera Investment's earnings presentation, Feb 17, 2022
Slide 1: Financial Supplement 4th Quarter 2021
FINANCIAL SUPPLEMENT 4th Quarter 2021
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 95% of Chimera's equity capital is allocated to mortgage credit Residential Mortgage Total Assets: 3.5 2.6 7.8 Credit Portfolio Equity Recourse Non-Recourse 14.1 billion Total Assets: Agency MBS Portfolio 0.6 0.8 billion 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 Billions Equi
Slide 4: GAAP Asset Allocation
GAAP ASSET ALLOCATION Chimera continues to focus on its Residential Credit portfolios December 31, 2021 September 30, 2021 12% 12% 6% 7% 82% 81% Non-Agency MBS Agency CMBS and RMBS Non-Agency MBS Agency CMBS and RMBS Loan Portfolio Loan Portfolio Total Portfolio: $14.9 billion Total Portfolio: $15.6
Slide 5: GAAP Financing Sources
GAAP FINANCING SOURCES Securitized debt provides optimal long-term non-recourse financing for Chimera's loan portfolio December 31, 2021 September 30, 2021 24% 25% (Rate: 2.8%) (Rate: 2.8%) 6% (Rate: 0.2%) 67% 7% 70% (Rate: 0.2%) (Rate: 2.4%) 1% (Rate: 2.4%) 1% Non-Agency and Loans Secured Financing
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 December 31, 2021 September 30, 2021 Total Non-Agency Secured Financing: Total Non-Agency Secured Financing: $2.0 billion(1) $2.0 billion(1) 1,000 1,000 — — 117 800 782 750 6
Slide 7: Net Investment Analysis
NET INVESTMENT ANALYSIS Strong net interest spread resulting from a reduction in financing cost RESIDENTIAL MORTGAGE AGENCY PORTFOLIO(1) TOTAL PORTFOLIO CREDIT PORTFOLIO GROSS ASSET YIELD: 6.0% 11.6% 6.4% FINANCING COSTS 2.5% 0.2% 2.3% NET INTEREST 3.5% 11.4% 4.1% SPREAD: NET INTEREST 3.9% 11.5% 4.5
Slide 8: Net Asset Breakdown
NET ASSET BREAKDOWN Chimera invests in RMBS securities and securities created through the CIM Sponsored securitizations. Loans are financed through Financing Trusts. Chimera Securitization Financing (1) (2) Total (2) Investments Subsidiaries Trusts Trusts Non-Agency RMBS, at fair value $ 1,411,158 $
Slide 9: Consolidated Loan Securitizations
CONSOLIDATED LOAN SECURITIZATIONS TOTAL ORIGINAL TOTAL OF TOTAL OF TRANCHES TOTAL REMAINING REMAINING FACE OF REMAINING FACE OF VINTAGE DEAL Call Date FACE TRANCHES SOLD RETAINED FACE TRANCHES SOLD TRANCHES RETAINED 2021 CIM 2021-NR4 $167,596 $125,747 $41,849 $163,195 $122,167 $41,028 November 2022
Slide 10: chimerareit.com
chimerareit.com