Chimera Investment(CIM) - 2023 Q3 - Earnings Call Presentation

Financing Interest Rate Hedging $1.9 billion of floating rate financing $1.0 billion of interest rate swaps Interest rate swaps hedge 53% of the floating rate liabilities $1.5 billion of interest rate swaptions Weighted average pay-fixed rate of 3.56% Liquidity $139 million in cash Q3 2023 Post Q3 2023 (1) Investment Portfolio Book value per share lower by approximately 2% to 3% post Q3 2023. Refinanced $250 million of high-cost fixed rate Non-MtM financing into new 2-year capped floating rate Limited MtM f ...