Chimera Investment(US:CIM)2022-02-28 14:01Portfolio Composition & Asset Allocation - Chimera allocated 95% of its equity capital to mortgage credit[5] - The total assets were $14.1 billion for the residential mortgage credit portfolio and $0.8 billion for the agency MBS portfolio[5] - As of December 31, 2021, the GAAP asset allocation included 82% in Loan Portfolio, 6% in Non-Agency MBS, and 12% in Agency CMBS and RMBS, totaling $14.9 billion[6] - As of September 30, 2021, the GAAP asset allocation included 81% in Loan Portfolio, 7% in Non-Agency MBS, and 12% in Agency CMBS and RMBS, totaling $15.6 billion[7] Financing Sources - As of December 31, 2021, financing sources included 67% Non-Recourse Debt, Securitized Loans, 25% Non-Agency and Loans Secured Financing, 7% Agency Secured Financing, and 1% Non-Recourse Debt, Securitized RMBS, totaling $11.1 billion[9] - As of September 30, 2021, financing sources included 70% Non-Recourse Debt, Securitized Loans, 24% Non-Agency and Loans Secured Financing, 6% Agency Secured Financing, and 1% Non-Recourse Debt, Securitized RMBS, totaling $11.8 billion[10] - Total Non-Agency Secured Financing was $2.0 billion as of both December 31, 2021, and September 30, 2021[10] Net Investment Analysis - The residential mortgage credit portfolio had a gross asset yield of 6.0%, financing costs of 2.5%, and a net interest spread of 3.5%[12] - The agency portfolio had a gross asset yield of 11.6%, financing costs of 0.2%, and a net interest spread of 11.4%[12] - The total portfolio had a gross asset yield of 6.4%, financing costs of 2.3%, and a net interest spread of 4.1%[12] Net Asset Breakdown - Total invested assets were $14.44 billion, including $1.81 billion in Non-Agency RMBS, $60.49 million in Agency RMBS, $761.21 million in Agency CMBS, and $11.81 billion in Residential Mortgage Loans[16] - Total securitized debt (non-recourse) was $7.81 billion, collateralized by Non-Agency RMBS and Residential Mortgage Loans[14]