FINANCIAL SUPPLEMENT 3rd Quarter 2022
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 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 and Current Report on Form 8-K, under the caption “Risk Factors.” Factors that could cause actual results to differ include, but are not limited to:our business and investment strategy; our ability to accurately forecast the payment of future dividends on our common and preferred stock, and the amount of such dividends; our ability to determine accurately the fair market value of our assets; availability of investment opportunities in real estate-related and other securities, including our valuation of potential opportunities that may arise as a result of current and future market dislocations; effect of the novel coronavirus (or COVID-19) pandemic on real estate market, financial markets and our Company, including the impact on the value, availability, financing and liquidity of mortgage assets; how COVID-19 may affect us, our operations and our personnel; our expected investments; changes in the value of our investments, including negative changes resulting in margin calls related to the financing of our assets; changes in interest rates and mortgage prepayment rates; prepayments of the mortgage and other loans underlying our mortgage-backed securities, or RMBS, or other asset-backed securities, or ABS; rates of default, delinquencies or decreased recovery rates on our investments; general volatility of the securities markets in which we invest; our ability to maintain existing financing arrangements and our ability to obtain future financing arrangements; our ability to effect our strategy to securitize residential mortgage loans; interest rate mismatches between our investments and our borrowings used to finance such purchases; effects of interest rate caps on our adjustable-rate investments; the degree to which our hedging strategies may or may not protect us from interest rate volatility; the impact of and changes to various government programs, including in response to COVID-19; impact of and changes in governmental regulations, tax law and rates, accounting guidance, and similar matters; market trends in our industry, interest rates, the debt securities markets or the general economy; estimates relating to our ability to make distributions to our stockholders in the future; our understanding of our competition; availability of qualified personnel; our ability to maintain our classification as a real estate investment trust, or, REIT, for U.S. federal income tax purposes; our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended, or 1940 Act; our expectations regarding materiality or significance; and the effectiveness of our disclosure controls and procedures. 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. 2 PORTFOLIO COMPOSITION 96% of Chimera's equity capital is allocated to mortgage credit Billions 2.6 2.4 0.4 7.4 Equity Recourse Non-Recourse Residential Mortgage Credit Portfolio Agency MBS Portfolio 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 Total Assets: 12.9 billion Total Assets: 0.5 billion All data is shown at carrying value as of September 30, 2022 Equity Recourse Non-Recourse
Information is unaudited, estimated and subject to change. 3 9% 3% 88% Non-Agency MBS Agency CMBS and RMBS Loan Portfolio GAAP ASSET ALLOCATION Based on fair value. 10% 3% 87% Non-Agency MBS Agency CMBS and RMBS Loan Portfolio September 30, 2022 June 30, 2022 Chimera continues to focus on its Residential Credit portfolios Total Portfolio: $13.4 billion Total Portfolio: $13.7 billion
Information is unaudited, estimated and subject to change. 4 24% 4% 1%72% Non-Agency and Loans Secured Financing (1) Agency Secured Financing Non-Recourse Debt, Securitized RMBS Non-Recourse Debt, Securitized Loans GAAP FINANCING SOURCES 26% 3% 1% 70% Non-Agency and Loans Secured Financing (1) Agency Secured Financing Non-Recourse Debt, Securitized RMBS Non-Recourse Debt, Securitized Loans (1) Includes secured financing of retained tranches from loan securitizations that are eliminated in consolidation. Securitized debt provides optimal long-term non-recourse financing for Chimera's loan portfolio September 30, 2022 June 30, 2022 Total Portfolio: $10.3 billion Total Portfolio: $10.9 billion (Rate: 2.7%) (Rate: 2.6%) (Rate: 3.1%) (Rate: 5.0%) (Rate: 1.4%) (Rate: 3.5%)
Information is unaudited, estimated and subject to change. 5 NON-AGENCY FINANCING Chimera continues to focus on longer term and non-mark- to-market financing for its non-agency portfolio M ill io ns 110 137 489 105 370 452 421 Mark-to-Market Limited Mark-to-Market Non Mark-to-Market 0 - 3 Months 3 - 6 Months 6 - 12 Months Greater Than 12 Months — 200 400 600 800 M ill io ns 115 112 139 511 108 373 355 403 Mark-to-Market Limited Mark-to-Market Non Mark-to-Market 0 - 3 Months 3 - 6 Months 6 - 12 Months Greater Than 12 Months 0 200 400 600 800 September 30, 2022 June 30, 2022 Total Non-Agency Secured Financing: $2.1 billion(1) Total Non-Agency Secured Financing: $2.1 billion(1) (1) Excludes secured financing on residential mortgage loans.
Information is unaudited, estimated and subject to change. 6 Quarter ended September 30, 2022 Quarter ended June 30, 2022 RESIDENTIAL MORTGAGE CREDIT PORTFOLIO AGENCY PORTFOLIO TOTAL PORTFOLIO RESIDENTIAL MORTGAGE CREDIT PORTFOLIO AGENCY PORTFOLIO (2) TOTAL PORTFOLIO GROSS ASSET YIELD (1): 5.6% 3.6% 5.5% 5.6% 4.0% 5.5% FINANCING COSTS: 3.0% 2.3% 3.0% 2.7% 0.9% 2.7% NET INTEREST SPREAD: 2.6% 1.3% 2.5% 2.9% 3.1% 2.8% NET INTEREST MARGIN: 3.1% 2.2% 3.1% 3.3% 3.5% 3.3% 1) Interest-earning assets at amortized cost 2) Gross asset yields excludes Agency CMBS prepayment penalties for the quarter ended June 30, 2022 For further details please refer to "Net Interest Rate Spread" section in our Quarterly Form 10-Q Item 2 - Management Discussion and Analysis. NET INVESTMENT ANALYSIS
Information is unaudited, estimated and subject to change. 7 Chimera Subsidiaries Securitization Trusts Financing Trusts Total Investments Non-Agency RMBS, at fair value $ 910,244 $ 281,054 $ — $ 1,191,298 Agency RMBS, at fair value 38,470 — — 38,470 Agency CMBS, at fair value 427,984 — — 427,984 Residential Mortgage Loans (1) — 10,641,774 432,876 11,074,650 Total Invested Assets $ 1,376,698 $ 10,922,828 $ 432,876 $ 12,732,402 Securitized Debt (Non-Recourse), collateralized by: Non-Agency RMBS $ — $ 79,967 $ — $ 79,967 Residential Mortgage Loans — 7,354,311 — 7,354,311 Total Securitized Debt (Non-recourse) $ — $ 7,434,278 $ — $ 7,434,278 Invested Assets less Securitized Debt $ 1,376,698 $ 3,488,550 $ 432,876 $ 5,298,124 Secured Financing Agreements (Recourse): Non-Agency RMBS $ 750,240 $ 84,313 $ — $ 834,553 Agency RMBS 6,141 — — 6,141 Agency CMBS 368,554 — — 368,554 Residential Mortgage Loans — 1,250,638 361,046 1,611,684 Total Secured Financing Agreements $ 1,124,935 $ 1,334,951 $ 361,046 $ 2,820,932 Net Assets $ 251,763 $ 2,153,599 $ 71,830 $ 2,477,192 All data as of September 30, 2022 $ in thousands (1) Excludes approximately $634 million of Loans held for investment for September 30, 2022, which were purchased prior to that reporting date and settled subsequent to that reporting period. NET ASSET BREAKDOWN Chimera invests in RMBS securities and securities created through the CIM Sponsored securitizations. Loans are financed through Financing Trusts.
Information is unaudited, estimated and subject to change. 8 VINTAGE DEAL TOTAL ORIGINAL FACE TOTAL OF TRANCHES SOLD TOTAL OF TRANCHES RETAINED TOTAL REMAINING FACE REMAINING FACE OF TRANCHES SOLD REMAINING FACE OF TRANCHES RETAINED Call Date 2022 CIM 2022-R3 369,891 283,891 86,000 $369,891 $283,891 86,000 September 2027 2022 CIM 2022-I1 219,442 122,997 96,445 216,821 120,376 96,445 June 2024 2022 CIM 2022-R2 508,202 380,389 127,813 483,686 355,848 127,813 May 2027 2022 CIM 2022-R1 328,226 263,729 64,497 296,127 231,651 64,476 February 2027 2019 CMLTI 2019-E 231,205 178,490 52,716 186,819 133,982 52,716 Currently Callable 2019 SLST 2019-1 1,217,441 941,719 275,722 854,615 598,481 251,302 May 2023 2021 CIM 2021-NR4 167,596 125,747 41,849 143,804 102,682 41,123 November 2022 2021 CIM 2021-R6 353,797 336,284 17,513 264,282 246,769 17,513 September 2026 2021 CIM 2021-R5 450,396 382,836 67,560 387,220 319,848 67,360 August 2024 2021 CIM 2021-R4 545,684 463,831 81,853 422,245 340,165 81,853 June 2024 2021 CIM 2021-R3 859,735 730,775 128,960 624,126 494,141 128,960 April 2024 2021 CIM 2021-NR3 117,373 82,161 35,212 84,754 48,446 36,308 Currently Callable 2021 CIM 2021-R2 1,497,213 1,272,631 224,582 1,036,513 809,255 224,582 March 2025 2021 CIM 2021-NR2 240,425 180,318 60,107 177,822 114,201 63,621 Currently Callable 2021 CIM 2021-R1 2,098,584 1,783,797 314,787 1,450,421 1,130,663 314,787 February 2025 2021 CIM 2021-NR1 232,682 162,877 69,805 162,043 88,751 73,292 Currently Callable 2020 CIM 2020-NR1 131,860 79,115 52,745 105,957 52,939 52,794 Currently Callable 2020 CIM 2020-R7 653,192 562,023 91,169 453,691 362,462 91,168 November 2023 2020 CIM 2020-R6 418,390 334,151 84,239 304,945 220,905 84,041 October 2023 2020 CIM 2020-R5 338,416 257,027 81,389 197,199 115,693 81,389 Clean-up Call 2020 CIM 2020-R4 276,316 207,237 69,079 207,668 138,405 69,079 Currently Callable 2020 CIM 2020-R3 438,228 328,670 109,558 299,105 189,878 109,227 Currently Callable 2020 CIM 2020-R2 492,347 416,761 75,586 330,483 256,263 74,220 Clean-up Call 2020 CIM 2020-R1 390,761 317,608 73,153 284,973 211,603 72,753 February 2023 2019 CIM 2019-R5 315,039 252,224 62,815 188,678 125,913 61,981 Clean-up Call 2019 CIM 2019-R4 320,802 256,641 64,161 199,784 136,696 63,088 November 2022 2019 CIM 2019-R3 342,633 291,237 51,396 194,217 142,716 51,316 October 2022 2019 CIM 2019-R2 464,327 358,172 106,155 322,754 217,706 104,693 Clean-up Call 2019 CIM 2019-R1 371,762 297,409 74,353 247,341 173,834 73,507 Currently Callable 2018 CIM 2018-R6 478,251 334,775 143,476 244,056 103,673 140,383 Currently Callable 2018 CIM 2018-R5 380,194 266,136 114,058 177,123 67,153 109,970 Currently Callable 2018 CIM 2018-R3 181,073 146,669 34,404 75,528 42,881 32,381 April 2023 2017 CIM 2017-7 512,446 348,719 163,727 246,802 91,243 155,559 Currently Callable 2016 CIM 2016-FRE1 185,811 115,165 70,646 77,107 20,408 56,698 Currently Callable 2008 PHHMC 2008-CIM1 619,710 549,142 70,568 9,508 7,016 2,469 Clean-up Call TOTAL $16,749,453 $13,411,353 $3,338,101 $11,328,110 $8,096,536 $3,214,870 All data as of September 30, 2022 $ in thousands CONSOLIDATED LOAN SECURITIZATIONS
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