Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q2 2016 Earnings Presentation
10 slides from Chimera Investment's earnings presentation, Aug 3, 2016
Slide 1: Financial Supplement 2nd Quarter 2016
FINANCIAL SUPPLEMENT NYSE: CIM 2nd Quarter 2016
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 MBS Portfolio Total Portfolio Gross Asset Yield: 8.1% 2.4% 6.2% Financing Cost(2): 3.6% 1.4% 2.8% Net Interest Spread: 4.5% 1.0% 3.4% Net Interest Margin: 4.9% 1.1% 3.6% Al
Slide 4: GAAP Asset Allocation
Information is unaudited, estimated and subject to change. 3 June 30, 2016 March 31, 2016 Total Portfolio: $17.2 billion Total Portfolio: $14.9 billion Agency MBS Non-Agency MBS Securitized Loan Portfolio 20% 26% 54% Agency MBS Non-Agency MBS Securitized Loan Portfolio 45% 24% 31% GAAP ASSET ALLOCAT
Slide 5: GAAP Financing Sources
Information is unaudited, estimated and subject to change. 4 June 30, 2016 March 31, 2016 Total Financing: $13.8 Billion Total Financing: $11.7 Billion Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Recourse Debt, Securitized RMBS and Loans (2) 25% 18% 58% Agency Repur
Slide 6: Consolidated RMBS Securitizations
Information is unaudited, estimated and subject to change. 5 ($ in thousands) At Issuance / Acquisition June 30, 2016 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 2016 CIM 20
Slide 7: Consolidated RMBS Securitizations
Information is unaudited, estimated and subject to change. 6 ($ in thousands) At Issuance / Acquisition June 30, 2016 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, 2016 Repo Days to Maturity – As of June 30, 2016 Agency Securities – As of March 31, 2016 Repo Days to Maturity – As of March 31, 2016 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 $ 4,688,441 $ 4,596,520 $ 4,481,503 $ 4,360,999 $ 4,233,588 Percentage Change 4.6 % 2.6 % - (2.7)
Slide 10: chimerareit.com
chimerareit.com