FINANCIAL SUPPLEMENT NYSE: CIM 4th Quarter 2018
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 DISCLAIMER projections and, consequently, readers should not rely on these forward-looking statements as predictions of future events. Words such as “goal” “expect,” “target,” “assume,” “estimate,” “project,” “budget,” “forecast,” “anticipate,” “intend,” “plan,” “may,” “will,” “could,” “should,” “believe,” “predicts,” “potential,” “continue,” and similar expressions are intended to identify such forward-looking statements. These forward-looking statements involve significant risks and uncertainties that could cause actual results to differ materially from expected results, including, among other things, those described in our most recent Annual Report on Form 10-K, and any subsequent Quarterly Reports on Form 10-Q, under the caption “Risk Factors.” Factors that could cause actual results to differ include, but are not limited to: the state of credit markets and general economic conditions; changes in interest rates and the market value of our assets; the rates of default or decreased recovery on the mortgages underlying our target assets; the occurrence, extent and timing of credit losses within our portfolio; the credit risk in our underlying assets; declines in home prices; our ability to establish, adjust and maintain appropriate hedges for the risks in our portfolio; the availability and cost of our target assets; our ability to borrow to finance our assets and the associated costs; changes in the competitive landscape within our industry; our ability to manage various operational risks and costs associated with our business; interruptions in or impairments to our communications and information technology systems; our ability to acquire residential mortgage loans and successfully securitize the residential mortgage loans we acquire; our ability to oversee our third party sub-servicers; the impact of any deficiencies in the servicing or foreclosure practices of third parties and related delays in the foreclosure process; our exposure to legal and regulatory claims; legislative and regulatory actions affecting our business; the impact of new or modified government mortgage refinance or principal reduction programs; our ability to maintain our REIT qualification; and limitations imposed on our business due to our REIT status and our exempt status under the Investment Company Act of 1940. Readers are cautioned not to place undue reliance upon any forward-looking statements, which speak only as of the date made. Chimera does not undertake or accept any obligation to release publicly any updates or revisions to any forward-looking statement to reflect any change in its expectations or any change in events, conditions or circumstances on which any such statement is based. Additional information concerning these and other risk factors is contained in Chimera’s most recent filings with the Securities and Exchange Commission (SEC). All subsequent written and oral forward-looking statements concerning Chimera or matters attributable to Chimera or any person acting on its behalf are expressly qualified in their entirety by the cautionary statements above. This presentation may include industry and market data obtained through research, surveys, and studies conducted by third parties and industry publications. We have not independently verified any such market and industry data from third-party sources. This presentation is provided for discussion purposes only and may not be relied upon as legal or investment advice, nor is it intended to be inclusive of all the risks and uncertainties that should be considered. This presentation does not constitute an offer to purchase or sell any securities, nor shall it be construed to be indicative of the terms of an offer that the parties or their respective affiliates would accept. Readers are advised that the financial information in this presentation is based on company data available at the time of this presentation and, in certain circumstances, may not have been audited by the company’s independent auditors. Information is unaudited, estimated and subject to change.
PORTFOLIO COMPOSITION 76% of Chimera's equity capital is allocated to mortgage credit Net Investment Analysis(2) Residential Mortgage 17 Credit Portfolio 16 Total Assets: 15.1 billion(1) Residential Agency 15 Mortgage Credit Total Portfolio Portfolio Portfolio 14 13 Agency Portfolio Non-Recourse Total Assets: 12.2 billion(1) 12 (Securitization) Gross Asset Yield: 7.2% 3.6% 5.7% 11 $8.6 10 s n 9 o i l (3) l i 8 Financing Cost : 4.3% 2.6% 3.6% B 7 Recourse (Repo) 6 $10.2 Recourse (Repo) 5 Net Interest $3.8 Spread: 2.9% 1.0% 2.1% 4 3 2 Equity Net Interest $2.8 Margin: 3.4% 1.3% 2.5% 1 Equity $0.9 0 All data as of December 31, 2018 (1) Financing excludes unsettled trades. (2) Reflects fourth quarter 2018 average assets, yields, and spreads. (3) Includes the interest incurred on interest rate swaps. Information is unaudited, estimated and subject to change. 2
GAAP ASSET ALLOCATION(1) The increase in Agency MBS provides spread income and preserves portfolio liquidity December 31, 2018 September 30, 2018 9% 10% 46% 52% 38% 45% Non-Agency MBS Agency MBS Non-Agency MBS Agency MBS Loan Portfolio Loan Portfolio Total Portfolio: $27.2 billion Total Portfolio: $24.6 billion (1) Based on fair value. Information is unaudited, estimated and subject to change. 3
GAAP FINANCING SOURCES Total Leverage(1): 6.1:1 Recourse Leverage(1): 3.8:1 December 31, 2018 September 30, 2018 38% 38% 45% 45% 17% 17% Agency Repurchase Agreements, RMBS Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Recourse Debt, Securitized RMBS and Loans (2) Non-Recourse Debt, Securitized RMBS and Loans (2) Total Financing: $22.6 Billion Total Financing: $20.1 Billion (1) Leverage ratios as of December 31, 2018 (2) Consists of tranches of RMBS and loan securitizations sold to third parties. Information is unaudited, estimated and subject to change. 4
CONSOLIDATED LOAN SECURITIZATIONS ($ in thousands) December 31, 2018 Total of Remaining Vintage Deal Total Original Total of Tranches Total Remaining Face of Remaining Face of Face Tranches Sold Retained Face Tranches Sold Tranches Retained 2018 CIM 2018-NR1 $257,548 — $257,548 $242,229 — $242,229 2018 CIM 2018-R6 478,251 334,775 143,476 465,622 322,195 143,427 2018 CIM 2018-R5 380,194 266,136 114,058 359,096 245,107 113,989 2018 CIM 2018-R4 387,222 271,056 116,166 365,326 249,546 115,780 2018 CIM 2018-R3 181,073 146,669 34,404 165,137 130,811 34,326 2018 CIM 2018-R2 380,292 266,204 114,088 339,845 225,391 114,454 2018 CIM 2018-R1 169,032 140,297 28,735 153,284 124,230 29,054 2017 CMLTI 2017-RP2 421,329 341,276 80,053 373,912 294,091 79,821 2017 CIM 2017-8 1,148,050 688,829 459,221 1,002,557 545,054 457,503 2017 CIM 2017-7 512,446 341,062 171,384 442,992 274,152 168,840 2017 CIM 2017-6 782,725 626,179 156,546 653,228 496,961 156,267 2017 CIM 2017-5 377,034 75,407 301,627 320,441 19,403 301,038 2017 CIM 2017-4 830,510 710,003 120,507 568,272 457,623 110,649 2017 CIM 2017-3 2,434,640 2,113,267 321,373 1,821,071 1,506,143 314,928 2017 CIM 2017-2 331,440 248,580 82,860 265,817 183,339 82,478 2017 CIM 2017-1 526,267 368,387 157,880 406,577 251,186 155,391 2016 CIM 2016-FRE1 185,811 115,165 70,646 143,579 75,584 67,995 2016 CIM 2016-4 601,733 493,420 108,313 431,404 324,966 106,438 2016 CIM 2016-3 1,746,084 1,478,933 267,151 1,176,397 921,284 255,113 2016 CIM 2016-2 1,762,177 1,492,563 269,614 1,186,526 928,008 258,518 2016 CIM 2016-1 1,499,341 1,266,898 232,443 999,168 782,019 217,149 2012 CSMC 2012-CIM1 741,939 707,810 34,129 47,642 21,003 26,639 2012 CSMC 2012-CIM2 425,091 404,261 20,830 38,226 21,353 16,873 2012 CSMC 2012-CIM3 329,886 305,804 24,082 105,357 87,543 17,814 2008 PHHMC 2008-CIM1 619,710 549,142 70,568 30,647 22,442 8,205 TOTAL $17,509,825 $13,752,123 $3,757,702 $12,104,352 $8,509,434 $3,594,918 All data as of December 31, 2018 Information is unaudited, estimated and subject to change. 5
AGENCY SECURITIES AND REPO SUMMARY Agency Securities – As of December 31, 2018 Agency Securities – As of September 30, 2018 Weighted Weighted Security Coupon(1) Current Average Weighted Security Coupon(1) Current Average Weighted Type Face Market Price Average CPR Type Face Market Price Average CPR 3.50% $761,364 100.4 4.6 3.50% $780,640 98.7 9.7 Agency 4.00% 7,467,725 102.1 4.6 Agency 4.00% 5,170,450 101.1 5.6 Pass- Pass- through 4.50% 425,405 103.9 5.0 through 4.50% 438,444 103.5 9.9 5.0% 329,756 104.8 1.4 5.0% 341,141 105.1 N/A(3) Commercial 3.6% 2,895,680 99.5 — Commercial 3.6% 2,532,460 97.8 — Agency IO 0.8% N/M(2) 4.4 2.1 Agency IO 0.7% N/M(2) 4.2 3.7 Total $11,879,930 Total $9,263,135 Repo Days to Maturity – As of December 31, 2018 Repo Days to Maturity – As of September 30, 2018 Principal Weighted Weighted Principal Weighted Weighted Maturity Balance Average Rate Average Days Maturity Balance Average Rate Average Days Within 30 days $5,327,490 2.49% Within 30 days $3,245,322 2.22% 30 to 59 days 3,811,792 2.60% 30 to 59 days 3,730,841 2.25% 60 to 89 days 1,053,990 2.68% 60 to 89 days 717,324 2.34% Total $10,193,272 2.55% 30 Days Total $7,693,487 2.25% 31 Days (1) Coupon is a weighted average for Commercial and Agency IO (2) Notional Agency IO was $3.0 billion and $2.9 billion as of December 31, 2018 and September 30, 2018 respectively. (3) New origination Information is unaudited, estimated and subject to change. 6
INTEREST RATE SENSITIVITY Chimera added to its Agency and hedge portfolios during the quarter Description - 100 Basis - 50 Basis +50 Basis +100 Basis ($ in thousands) Points Points Unchanged Points Points Hedge Book Maturities Market Value $12,652,784 $12,448,492 $ 12,188,950 $11,876,524 $11,525,690 Agency Securities Percentage Change 3.8 % 2.1 % - (2.6)% (5.4)% 19% 15% Market Value (571,586) (279,281) - 266,862 521,825 Swaps Percentage Change (4.7)% (2.3)% - 2.2 % 4.3 % 10% Market Value (33,513) (16,533) - 16,127 31,871 Futures Percentage Change (0.3)% (0.1)% - 0.1 % 0.3 % Net Gain/(Loss) $ (141,265) $ (36,272) - $ (29,437) $ (109,564) 56% Percentage Change (1) )% )% )% )% in Portfolio Value (1.2 (0.3 - (0.2 (0.9 Near Term 0-3 Total Notional Balance - Derivative Instruments Short Term 3-5 December 31, 2018 September 30, 2018 Medium Term 5-10 Agency Interest Rate Swaps 8,131,700 6,432,650 Swaptions 53,000 53,000 Long Term 10-30 Futures 619,700 619,700 (1) Based on instantaneous moves in interest rates. Information is unaudited, estimated and subject to change. 7
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