FINANCIAL SUPPLEMENT 2nd Quarter 2019
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 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 73% of Chimera's equity capital is allocated to mortgage credit (2) Net Investment Analysis Residential Mortgage 17 Credit Portfolio (1) RESIDENTIAL 16 Total Assets: 15.0 billion MORTGAGE AGENCY TOTAL CREDIT PORTFOLIO PORTFOLIO 15 PORTFOLIO 14 13 Agency Portfolio Non-Recourse (1) GROSS ASSET 7.1% 3.4% 5.4% Total Assets: 12.2 billion YIELD: 12 (Securitization) 11 $8.0 FINANCING (3) 10 COSTS 4.2% 2.6% 3.4% s n 9 o i l l i NET INTEREST B 8 SPREAD: 2.9% 0.8% 2.0% 7 Recourse (Repo) 6 $10.2 NET INTEREST Recourse (Repo) MARGIN: 3.4% 1.0% 2.3% 5 $4.3 4 All data as of June 30, 2019 3 (1) Financing excludes unsettled trades. (2) Reflects second quarter 2019 average assets, yields, and spreads. 2 Equity (3) Includes the interest incurred on interest rate swaps. $2.9 1 Equity $1.1 0 Information is unaudited, estimated and subject to change. 2
GAAP ASSET ALLOCATION Chimera maintained a consistent asset allocation during the quarter June 30, 2019 March 31, 2019 10% 9% 45% 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 Based on fair value. Information is unaudited, estimated and subject to change. 3
GAAP FINANCING SOURCES Chimera operates at 5.7:1 total leverage and 3.7:1 recourse leverage(1) June 30, 2019 March 31, 2019 36% 35% 45% 48% 19% 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 Portfolio: $22.5 billion Total Portfolio: $23.6 billion (1) Leverage ratios as of June 30, 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 TOTAL OF VINTAGE DEAL TOTAL ORIGINAL TOTAL OF TRANCHES TOTAL REMAINING REMAINING FACE OF REMAINING FACE OF FACE TRANCHES SOLD RETAINED FACE TRANCHES SOLD TRANCHES RETAINED 2018 CIM 2018-NR1 $257,548 — $257,548 $210,608 — $210,608 2018 CIM 2018-R6 478,251 334,775 143,476 436,780 293,517 143,263 2018 CIM 2018-R5 380,194 266,136 114,058 335,325 221,558 113,767 2018 CIM 2018-R4 387,222 271,056 116,166 346,615 230,916 115,699 2018 CIM 2018-R3 181,073 146,669 34,404 151,456 117,167 34,289 2018 CIM 2018-R2 380,292 266,204 114,088 321,052 206,767 114,285 2018 CIM 2018-R1 169,032 140,297 28,735 145,070 116,112 28,958 2017 CMLTI 2017-RP2 421,329 341,276 80,053 353,302 273,657 79,645 2017 CIM 2017-8 1,148,050 688,829 459,221 943,151 488,240 454,911 2017 CIM 2017-7 512,446 341,062 171,384 418,092 250,404 167,688 2017 CIM 2017-6 782,725 626,179 156,546 616,416 461,353 155,063 2017 CIM 2017-5 377,034 75,407 301,627 306,647 81,681 224,966 2017 CIM 2017-4 830,510 710,003 120,507 522,808 414,621 108,187 2017 CIM 2017-3 2,434,640 2,113,267 321,373 1,686,888 1,376,900 309,988 2017 CIM 2017-2 331,440 248,580 82,860 252,978 171,318 81,660 2017 CIM 2017-1 526,267 368,387 157,880 379,764 226,100 153,664 2016 CIM 2016-FRE1 185,811 115,165 70,646 132,555 66,497 66,058 2016 CIM 2016-4 601,733 493,420 108,313 397,801 292,541 105,260 2016 CIM 2016-3 1,746,084 1,478,933 267,151 1,090,927 844,116 246,811 2016 CIM 2016-2 1,762,177 1,492,563 269,614 1,095,218 845,531 249,687 2016 CIM 2016-1 1,499,341 1,266,898 232,443 923,769 714,597 209,172 2012 CSMC 2012-CIM1 741,939 707,810 34,129 44,551 18,928 25,623 2012 CSMC 2012-CIM2 425,091 404,261 20,830 36,436 19,922 16,514 2012 CSMC 2012-CIM3 329,886 305,804 24,082 99,945 82,681 17,264 2008 PHHMC 2008-CIM1 619,710 549,142 70,568 28,408 20,759 7,649 TOTAL $17,509,825 $13,752,123 $3,757,702 $11,276,562 $7,835,883 $3,440,679 All data as of June 30, 2019 $ in thousands Information is unaudited, estimated and subject to change. 5
AGENCY SECURITIES AND REPO SUMMARY Agency Securities – As of June 30, 2019 Agency Securities – As of March 31, 2019 WEIGHTED WEIGHTED SECURITY TYPE COUPON(1) CURRENT AVERAGE WEIGHTED SECURITY TYPE COUPON(1) CURRENT AVERAGE WEIGHTED FACE MARKET PRICE AVERAGE CPR FACE MARKET PRICE AVERAGE CPR 3.5% $620,190 103.0 10.0 3.5% $615,631 101.7 7.3 Agency Pass- 4.0% 7,181,831 103.8 13.9 Agency Pass- 4.0% 7,360,542 103.0 4.7 through through 4.5% 386,226 105.5 18.7 4.5% 409,267 104.7 12.5 5.0% 270,623 105.7 34.2 5.0% 301,504 105.7 28.9 Commercial 3.6% 3,036,622 105.9 0.1 Commercial 3.6% 3,080,065 101.9 — Agency IO 1.1% N/M(2) 5.4 5.2 Agency IO 1.0% N/M(2) 5.6 6.2 Total $11,495,492 Total $11,767,009 Repo Days to Maturity – As of June 30, 2019 Repo Days to Maturity – As of March 31, 2019 PRINCIPAL WEIGHTED AVERAGE WEIGHTED AVERAGE PRINCIPAL WEIGHTED AVERAGE WEIGHTED AVERAGE MATURITY BALANCE RATE DAYS MATURITY BALANCE RATE DAYS Within 30 days $4,337,493 2.66% Within 30 days $5,445,447 2.73% 30 to 59 days 5,873,771 2.61% 30 to 59 days 4,155,446 2.69% 60 to 89 days 5,196 2.68% 60 to 89 days 1,125,058 2.70% 90 to 360 days — —% 90 to 360 days 578,532 2.71% Total $10,216,460 2.63% 31 Days Total $11,304,483 2.71% 34 Days (1) Coupon is a weighted average for Commercial and Agency IO (2) Notional Agency IO was $2.8 billion and $2.6 billion as of June 30, 2019 and March 31, 2019 respectively. Information is unaudited, estimated and subject to change. 6
INTEREST RATE SENSITIVITY Chimera rebalanced its Agency hedge portfolio during the quarter DESCRIPTION - 100 BASIS - 50 BASIS +50 BASIS +100 BASIS ($ in thousands) POINTS POINTS UNCHANGED POINTS POINTS Hedge Book Maturities Market Value $ 12,414,897 $ 12,310,754 $ 12,154,575 $ 11,922,436 $ 11,638,675 Agency 0% Securities 16% Percentage Change 2.1 % 1.3 % - (1.9)% (4.2)% Market Value (324,172) (158,685) - 152,265 298,372 Swaps Percentage Change (2.7)% (1.3)% - 1.3 % 2.5 % 17% Market Value (35,186) (17,351) - 16,886 33,327 Futures Percentage Change (0.3)% (0.1)% - 0.1 % 0.3 % 67% Market Value (99,036) (19,857) - (62,988) (184,201) Net Gain/(Loss) Percentage Change in Portfolio Value(1) (0.8)% (0.2)% - (0.5)% (1.5)% Near Term 0-3 Total Notional Balance - Derivative Instruments Short Term 3-5 June 30, 2019 March 31, 2019 Medium Term 5-10 Agency Interest Rate Swaps 4,931,700 6,733,200 Long Term 10-30 Swaptions 25,000 53,000 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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