EXHIBIT 99.2
Published on May 1, 2019
FINANCIAL SUPPLEMENT NYSE: CIM 1st Quarter 2019
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 68% of Chimera's equity capital is allocated to mortgage credit Net Investment Analysis(2) Residential Mortgage 17 Credit Portfolio 16 Total Assets: 14.9 billion(1) Residential Agency 15 Mortgage Credit Total Portfolio Agency Portfolio Portfolio Portfolio 14 Total Assets: 12.2 billion(1) 13 Non-Recourse 12 (Securitization) Gross Asset Yield: 7.1% 3.6% 5.5% 11 $8.3 10 s n 9 o i l (3) l i Financing Cost : 4.2% 2.6% 3.4% 8 Recourse (Repo) B 7 $11.3 6 Recourse (Repo) 5 Net Interest $4.0 Spread: 2.9% 1.0% 2.1% 4 3 Equity 2 Net Interest 3.4% 1.2% 2.4% $2.7 Equity Margin: 1 $1.3 0 All data as of March 31, 2019 (1) Financing excludes unsettled trades. (2) Reflects first quarter 2019 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) Chimera maintained a consistent asset allocation during the quarter March 31, 2019 December 31, 2018 9% 9% 46% 46% 45% 45% Non-Agency MBS Agency MBS Non-Agency MBS Agency MBS Loan Portfolio Loan Portfolio Total Portfolio: $27.2 billion Total Portfolio: $27.2 billion (1) Based on fair value. Information is unaudited, estimated and subject to change. 3
GAAP FINANCING SOURCES Total Leverage(1): 6.0:1 Recourse Leverage(1): 3.9:1 March 31, 2019 December 31, 2018 35% 38% 45% 48% 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: $23.6 Billion Total Financing: $22.6 Billion (1) Leverage ratios as of March 31, 2019 (2) Consists of tranches of RMBS and loan securitizations sold to third parties. Information is unaudited, estimated and subject to change. 4
CONSOLIDATED LOAN SECURITIZATIONS ($ in thousands) March 31, 2019 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 $226,762 — $226,762 2018 CIM 2018-R6 478,251 334,775 143,476 451,713 308,360 143,353 2018 CIM 2018-R5 380,194 266,136 114,058 346,984 233,058 113,926 2018 CIM 2018-R4 387,222 271,056 116,166 357,833 242,078 115,755 2018 CIM 2018-R3 181,073 146,669 34,404 158,431 124,136 34,295 2018 CIM 2018-R2 380,292 266,204 114,088 331,030 216,648 114,382 2018 CIM 2018-R1 169,032 140,297 28,735 149,311 120,408 28,903 2017 CMLTI 2017-RP2 421,329 341,276 80,053 366,218 286,490 79,728 2017 CIM 2017-8 1,148,050 688,829 459,221 974,503 518,201 456,302 2017 CIM 2017-7 512,446 341,062 171,384 432,607 264,362 168,245 2017 CIM 2017-6 782,725 626,179 156,546 635,199 479,720 155,479 2017 CIM 2017-5 377,034 75,407 301,627 313,735 13,261 300,474 2017 CIM 2017-4 830,510 710,003 120,507 547,364 438,045 109,319 2017 CIM 2017-3 2,434,640 2,113,267 321,373 1,758,385 1,445,915 312,470 2017 CIM 2017-2 331,440 248,580 82,860 259,633 177,551 82,082 2017 CIM 2017-1 526,267 368,387 157,880 393,114 238,362 154,752 2016 CIM 2016-FRE1 185,811 115,165 70,646 138,810 71,587 67,223 2016 CIM 2016-4 601,733 493,420 108,313 414,116 307,944 106,172 2016 CIM 2016-3 1,746,084 1,478,933 267,151 1,133,487 882,131 251,356 2016 CIM 2016-2 1,762,177 1,492,563 269,614 1,142,013 887,730 254,283 2016 CIM 2016-1 1,499,341 1,266,898 232,443 964,110 750,778 213,332 2012 CSMC 2012-CIM1 741,939 707,810 34,129 45,307 19,288 26,019 2012 CSMC 2012-CIM2 425,091 404,261 20,830 37,272 20,567 16,705 2012 CSMC 2012-CIM3 329,886 305,804 24,082 104,062 86,413 17,649 2008 PHHMC 2008-CIM1 619,710 549,142 70,568 30,062 22,036 8,026 TOTAL $17,509,825 $13,752,123 $3,757,702 $11,712,061 $8,155,069 $3,556,992 All data as of March 31, 2019 Information is unaudited, estimated and subject to change. 5
AGENCY SECURITIES AND REPO SUMMARY Agency Securities – As of March 31, 2019 Agency Securities – As of December 31, 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% $615,631 101.7 7.3 3.50% $761,364 100.4 4.6 Agency 4.00% 7,360,542 103.0 4.7 Agency 4.00% 7,467,725 102.1 4.6 Pass- Pass- through 4.50% 409,267 104.7 12.5 through 4.50% 425,405 103.9 5.0 5.0% 301,504 105.7 28.9 5.0% 329,756 104.8 1.4 Commercial 3.6% 3,080,065 101.9 — Commercial 3.6% 2,895,680 99.5 — Agency IO 1% N/M(2) 5.6 6.2 Agency IO 0.8% N/M(2) 4.4 2.1 Total $11,767,009 Total $11,879,930 Repo Days to Maturity – As of March 31, 2019 Repo Days to Maturity – As of December 31, 2018 Principal Weighted Weighted Principal Weighted Weighted Maturity Balance Average Rate Average Days Maturity Balance Average Rate Average Days Within 30 days $5,445,447 2.73% Within 30 days $5,327,490 2.49% 30 to 59 days 4,155,446 2.69% 30 to 59 days 3,811,792 2.60% 60 to 89 days 1,125,058 2.70% 60 to 89 days 1,053,990 2.68% 90 to 360 days 578,532 2.71% 90 to 360 days — —% Total $11,304,483 2.71% 34 Days Total $10,193,272 2.55% 30 Days (1) Coupon is a weighted average for Commercial and Agency IO (2) Notional Agency IO was $2.6 billion and $3.0 billion as of March 31, 2019 and December 31, 2018 respectively. Information is unaudited, estimated and subject to change. 6
INTEREST RATE SENSITIVITY Chimera rebalanced its Agency hedge portfolio during the quarter Description - 100 Basis - 50 Basis +50 Basis +100 Basis ($ in thousands) Points Points Unchanged Points Points Hedge Book Maturities Market Value $12,589,670 $12,439,689 $ 12,238,044 $11,948,585 $11,619,453 Agency Securities Percentage Change 2.9 % 1.6 % - (2.4)% (5.1)% 18% Market Value (439,092) (214,812) - 205,797 402,882 Swaps Percentage Change (3.6)% (1.8)% - 1.7 % 3.3 % 48% 12% Market Value (34,155) (16,849) - 16,431 32,477 Futures Percentage Change (0.3)% (0.1)% - 0.1 % 0.3 % Net Gain/(Loss) $ (121,621) $ (30,016) - $ (67,231) $ (183,232) 22% Percentage Change (1) )% )% )% )% in Portfolio Value (1.0 (0.2 - (0.5 (1.5 Near Term 0-3 Total Notional Balance - Derivative Instruments Short Term 3-5 March 31, 2019 December 31, 2018 Medium Term 5-10 Agency Interest Rate Swaps 6,733,200 8,131,700 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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