Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q2 2017 Earnings Presentation
10 slides from Chimera Investment's earnings presentation, Aug 2, 2017
Slide 1: Financial Supplement 2nd Quarter 2017
FINANCIAL SUPPLEMENT NYSE: CIM 2nd Quarter 2017
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 UnitedStates 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 Residential Mortgage Credit Portfolio Agency Portfolio Total Portfolio Gross Asset Yield: 7.1% 2.7% 6.2% Financing Cost(2): 4.0% 1.5% 3.5% Net Interest Spread: 3.1% 1.2% 2.7% Net Interest Margin: 3.6% 1.3% 3.2% All da
Slide 4: GAAP Asset Allocation
Information is unaudited, estimated and subject to change. 3 June 30, 2017 March 31, 2017 Total Portfolio: $20.4 billion Total Portfolio: $20.0 billion Non-Agency MBS Agency MBS Loan Portfolio 15% 20% 65% Non-Agency MBS Agency MBS Loan Portfolio 16% 20% 63% GAAP ASSET ALLOCATION(1) (1) Based on fair
Slide 5: GAAP Financing Sources
Information is unaudited, estimated and subject to change. 4 June 30, 2017 March 31, 2017 Total Financing: $16.0 Billion Total Financing: $16.3 Billion Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Recourse Debt, Securitized RMBS and Loans (2) 20% 19%61% Agency Repurc
Slide 6: Consolidated RMBS Securitizations
Information is unaudited, estimated and subject to change. 5 ($ in thousands) At Issuance / Acquisition June 30, 2017 Vintage Deal Total OriginalFace Total of Tranches Sold Total of Tranches Retained Total Remaining Face Remaining Face of Tranches Sold Remaining Face of Tranches Retained 2017 CIM 20
Slide 7: Consolidated RMBS Securitizations
Information is unaudited, estimated and subject to change. 6 ($ in thousands) At Issuance / Acquisition June 30, 2017 Vintage Deal Total OriginalFace Total of Tranches Sold Total of Tranches Retained Total Remaining Face Remaining Face of Tranches Sold Remaining Face of Tranches Retained 2014 CSMC 2
Slide 8: Agency Securities and Repo Days to Maturity
Information is unaudited, estimated and subject to change. 7 Agency Securities – As of June 30, 2017 Repo Days to Maturity – As of June 30, 2017 Agency Securities – As of March 31, 2017 Repo Days to Maturity – As of March 31, 2017 Maturity PrincipalBalance Weighted Average Rate Weighted Average Days
Slide 9: Interest Rate Sensitivity
Information is unaudited, estimated and subject to change. 8 Description ($ in thousands) - 100 Basis Points - 50 Basis Points Unchanged +50 Basis Points +100 Basis Points Agency Securities Market Value $ 4,196,357 $ 4,100,301 $ 3,994,670 $ 3,881,057 $ 3,762,632 Percentage Change 5.0 % 2.6 % - (2.8)
Slide 10: chimerareit.com
chimerareit.com