FINANCIAL SUPPLEMENT 3rd 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) Residential Mortgage Net Investment Analysis Credit Portfolio 17 Total Assets: 15.8 billion(1) RESIDENTIAL 16 MORTGAGE AGENCY TOTAL CREDIT PORTFOLIO PORTFOLIO 15 PORTFOLIO 14 Non-Recourse 13 GROSS ASSET (Securitization) Agency Portfolio 6.8% 3.3% 5.3% (1) YIELD: 12 $7.9 Total Assets: 11.6 billion 11 FINANCING (3) 10 COSTS 4.1% 2.6% 3.4% s n 9 o i l l i NET INTEREST B 8 SPREAD: 2.7% 0.7% 1.9% 7 Recourse (Repo) 6 Recourse (Repo) $10.0 NET INTEREST $5.0 MARGIN: 3.3% 0.9% 2.2% 5 4 All data as of September 30, 2019 3 (1) Financing excludes unsettled trades. (2) Reflects third 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 added to the loan portfolio during the quarter September 30, 2019 June 30, 2019 10% 10% 45% 48% 42% 45% Non-Agency MBS Agency MBS Non-Agency MBS Agency MBS Loan Portfolio Loan Portfolio Total Portfolio: $27.4 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 3.8:1 recourse leverage(1) September 30, 2019 June 30, 2019 35% 36% 43% 45% 22% 19% 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: $22.9 billion Total Portfolio: $22.5 billion (1) Leverage ratios as of September 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 2019 CIM 2019-R1 $371,762 297,409 $74,353 $366,787 292,382 $74,405 2018 CIM 2018-NR1 $257,548 — $257,548 $198,597 — $198,597 2018 CIM 2018-R6 478,251 334,775 143,476 421,405 278,462 142,943 2018 CIM 2018-R5 380,194 266,136 114,058 324,148 210,697 113,451 2018 CIM 2018-R4 387,222 271,056 116,166 338,125 222,486 115,639 2018 CIM 2018-R3 181,073 146,669 34,404 145,903 111,746 34,157 2018 CIM 2018-R2 380,292 266,204 114,088 310,206 196,021 114,185 2018 CIM 2018-R1 169,032 140,297 28,735 140,640 111,699 28,941 2017 CMLTI 2017-RP2 421,329 341,276 80,053 343,240 263,941 79,299 2017 CIM 2017-8 1,148,050 688,829 459,221 911,477 457,942 453,535 2017 CIM 2017-7 512,446 341,062 171,384 406,106 238,797 167,309 2017 CIM 2017-6 782,725 626,179 156,546 594,585 440,311 154,274 2017 CIM 2017-5 377,034 75,407 301,627 298,215 74,013 224,202 2017 CIM 2017-4 830,510 710,003 120,507 497,136 390,251 106,885 2017 CIM 2017-3 2,434,640 2,113,267 321,373 1,622,913 1,315,568 307,345 2017 CIM 2017-2 331,440 248,580 82,860 243,345 162,479 80,866 2017 CIM 2017-1 526,267 368,387 157,880 363,170 210,640 152,530 2016 CIM 2016-FRE1 185,811 115,165 70,646 126,143 61,138 65,005 2016 CIM 2016-4 601,733 493,420 108,313 380,720 276,174 104,546 2016 CIM 2016-3 1,746,084 1,478,933 267,151 1,048,538 806,486 242,052 2016 CIM 2016-2 1,762,177 1,492,563 269,614 1,051,505 805,759 245,746 2016 CIM 2016-1 1,499,341 1,266,898 232,443 884,864 680,856 204,008 2012 CSMC 2012-CIM1 741,939 707,810 34,129 43,724 18,560 25,164 2012 CSMC 2012-CIM2 425,091 404,261 20,830 36,162 19,719 16,443 2012 CSMC 2012-CIM3 329,886 305,804 24,082 96,324 79,412 16,912 2008 PHHMC 2008-CIM1 619,710 549,142 70,568 25,514 18,656 6,858 TOTAL $17,881,587 $14,049,532 $3,832,055 $11,219,492 $7,744,195 $3,475,297 All data as of September 30, 2019 $ in thousands Information is unaudited, estimated and subject to change. 5
AGENCY SECURITIES AND REPO SUMMARY Agency Securities – As of September 30, 2019 Agency Securities – As of June 30, 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% $588,780 103.6 14.9 3.5% $620,190 103.0 10.0 Agency Pass- 4.0% 6,603,563 104.3 26.2 Agency Pass- 4.0% 7,181,831 103.8 13.9 through through 4.5% 358,064 106.6 23.8 4.5% 386,226 105.5 18.7 5.0% 239,977 107.2 37.1 5.0% 270,623 105.7 34.2 Commercial 3.7% 3,031,644 108.8 — Commercial 3.6% 3,036,622 105.9 0.1 Agency IO 1.1% N/M(2) 5.6 6.9 Agency IO 1.1% N/M(2) 5.4 5.2 Total $10,822,028 Total $11,495,492 Repo Days to Maturity – As of September 30, 2019 Repo Days to Maturity – As of June 30, 2019 PRINCIPAL WEIGHTED AVERAGE WEIGHTED AVERAGE PRINCIPAL WEIGHTED AVERAGE WEIGHTED AVERAGE MATURITY BALANCE RATE DAYS MATURITY BALANCE RATE DAYS Within 30 days $9,121,803 2.28% Within 30 days $4,337,493 2.66% 30 to 59 days 843,045 2.24% 30 to 59 days 5,873,771 2.61% 60 to 89 days — —% 60 to 89 days 5,196 2.68% 90 to 360 days — —% 90 to 360 days — —% Total $9,964,848 2.28% 16 Days Total $10,216,460 2.63% 31 Days (1) Coupon is a weighted average for Commercial and Agency IO (2) Notional Agency IO was $3.2 billion and $2.8 billion as of September 30, 2019 and June 30, 2019 respectively. Information is unaudited, estimated and subject to change. 6
INTEREST RATE SENSITIVITY Chimera rebalanced its Agency hedge portfolio during the quarter DESCRIPTION - 100 BASIS - 50 BASIS +50 BASIS +100 BASIS ($ in thousands) POINTS POINTS UNCHANGED POINTS POINTS Hedge Book Maturities Market Value $ 12,004,559 $ 11,810,986 $ 11,615,323 $ 11,391,232 $ 11,127,588 Agency Securities 0% Percentage Change 3.4 % 1.7 % - (1.9)% (4.2)% 15% Market Value (281,120) (137,912) - 133,016 261,335 Swaps Percentage Change (2.4)% (1.2)% - 1.1 % 2.2 % Market Value (35,790) (17,649) - 17,212 33,979 Futures Percentage Change (0.3)% (0.2)% - 0.1 % 0.3 % Market Value 72,326 40,102 - (73,863) (192,421) 85% Net Gain/(Loss) Percentage Change in Portfolio Value(1) 0.6 % 0.3 % - (0.6)% (1.7)% Total Notional Balance - Derivative Instruments Short Term 3-5 September 30, 2019 June 30, 2019 Medium Term 5-10 Interest Rate Swaps 4,390,700 7,706,700 Long Term 10-30 Swaptions 25,000 25,000 Futures 619,700 619,700 (1) Based on instantaneous moves in interest rates. Information is unaudited, estimated and subject to change. 7
chimerareit.com