Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q3 2016 Earnings Presentation
22 slides from Chimera Investment's earnings presentation, Nov 10, 2016
Slide 1: Investor Presentation 3rd Quarter 2016
INVESTOR PRESENTATION NYSE: CIM 3rd Quarter 2016
Slide 2: Disclaimer
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 UnitedStates Private Securities Litigation Reform Act of 1995. Actual results may differ from expectations, estimates
Slide 3: Chimera Investment Corporation
Information is unaudited, estimated and subject to change. 2 CHIMERA INVESTMENT CORPORATION We develop and manage a portfolio of leveraged mortgage investments to produce an attractive quarterly dividend for shareholders Business Description: Hybrid Mortgage REIT Inception: 2007 Total Capital: $3.0
Slide 4: Total Return
Information is unaudited, estimated and subject to change. 3 Total Return Chimera has outperformed it's peers since internalization of management in August 2015 CIM US Equity SPX Index REM US Equity (Mortgage REIT ETF) Cumulative Total Return * 50% 40% 30% 20% 10% 0% -10% -20% -30% 8/5/2015 9/17/201
Slide 5: Portfolio Composition
Information is unaudited, estimated and subject to change. 4 PORTFOLIO COMPOSITION Residential Mortgage Credit Portfolio Agency MBS Portfolio Total Portfolio Gross Asset Yield: 7.6% 3.2% 6.5% Financing Cost(2): 3.5% 1.4% 2.9% Net Interest Spread: 4.1% 1.8% 3.6% Net Interest Margin: 4.6% 1.9% 3.9% Po
Slide 6: Agency MBS Portfolio and Funding
Information is unaudited, estimated and subject to change. 5 Agency Portfolio Composition All data as of September 30, 2016 (1) Reflects third quarter 2016 average assets, yields, and spreads (2) Includes the interest incurred on interest rate swaps AGENCY MBS PORTFOLIO AND FUNDING Highly liquid US
Slide 7: Residential Mortgage Credit Portfolio
Information is unaudited, estimated and subject to change. 6 Non-Agency RMBS Consolidated RMBS Securitizations Securitized Loan Portfolio 12% 15% 72% RESIDENTIAL MORTGAGE CREDIT PORTFOLIO Chimera's residential credit portfolio provides a high net interest spread Gross Asset Yield: 7.6% Financing Cos
Slide 8: Unique Mortgage Credit Portfolio
Information is unaudited, estimated and subject to change. 7 2016 Chimera Acquires $5.0 Billion Seasoned Loan Portfolio • Performing loans with 10 years of payment history • 3 securitizations with all senior securities placed • $ 763 million subordinate bonds retained for investment portfolio 2014 C
Slide 9: Re-Remic Subordinate Bond Portfolio
Information is unaudited, estimated and subject to change. 8 RE-REMIC SUBORDINATE BOND PORTFOLIO Chimera created long, term-funding through securitization The Securitization Process $100mm Non-Agency Mortgage Bond $100mm Trust (Non-Agency RMBS Collateral) Deposit $60mm Senior A Note Sold to 3rd Part
Slide 10: Consolidated RMBS Securitizations
Information is unaudited, estimated and subject to change. 9 ($ in thousands) At Issuance / Acquisition September 30, 2016 Vintage Deal Total OriginalFace Total of Tranches Sold Total of Tranches Retained Total Remaining Face Remaining Face of Tranches Sold Remaining Face of Tranches Retained 2014 C
Slide 11: Springleaf Seasoned Loan Portfolio
Information is unaudited, estimated and subject to change. 10 SPRINGLEAF SEASONED LOAN PORTFOLIO Chimera acquired $4.8 Billion Seasoned Loan Portfolio previously securitized by Springleaf Financial Chimera consolidated the loans on its balance sheet and worked to re-securitize the portfolio in order
Slide 12: Risk Retention Loan Portfolio
Information is unaudited, estimated and subject to change. 11 RISK RETENTION LOAN PORTFOLIO Risk Retention Rule creates an opportunity for Mortgage REITs who have permanent capital Risk Retention Rule ▪ All new mortgage securitizations must have an equity sponsor ▪ Deal Sponsor to have meaningful “s
Slide 13: Risk Retention Portfolio
Information is unaudited, estimated and subject to change. 12 ▪ $5.0 Billion loan portfolio and securitization is consolidated on balance sheet ▪ Chimera retained $763 Million subordinate bonds for investment ▪ Chimera funded purchased interests through combination of available cash, sale of approxi
Slide 14: Small Balance Residential Loan Portfolio
Information is unaudited, estimated and subject to change. 13 SMALL BALANCE RESIDENTIAL LOAN PORTFOLIO Chimera has one of the largest seasoned, performing, small balance residential loan portfolios in the Mortgage REIT Industry $5.0 Billion 2016 Risk Retention Seasoned Loan Portfolio $4.8 Billion Sp
Slide 15: Small Balance Residential Loan Portfolio
Information is unaudited, estimated and subject to change. 14 SMALL BALANCE RESIDENTIAL LOAN PORTFOLIO Positive pay history Prepay experience Relatively low mortgage payment • While loans were subprime at origination, average loan age shows homeowners ability to pay • Homeowner pay history is a good
Slide 16: Median Mortgage and Rental Costs
Information is unaudited, estimated and subject to change. 15 Median Mortgage and Rental Costs Mortgage Affordability Rent Affordability Historical Average Mortgage Historical Average Rent 45% 40% 35% 30% 25% 20% 15% 10% As aS ha re of M ed ia n In co m e% 1979-03 1982-12 1986-09 1990-06 1994-03 199
Slide 17: New Foreclosures and Mortgages in Foreclosure
Information is unaudited, estimated and subject to change. 16 New Foreclosures and Mortgages in Foreclosure Consumers with New Foreclosures (thousands) % of mortgages in foreclosure 700 600 500 400 300 200 100 0 Co ns um er sw ith N ew Fo re clo su re s 6% 5% 4% 3% 2% 1% 0% % of M or tg ag es in Fo
Slide 18: Summary
Information is unaudited, estimated and subject to change. 17 SUMMARY Chimera has a unique portfolio of high yielding assets, created through securitization, which would be difficult to recreate in size and scale Upward trending macro economic conditions for energy prices and the housing market are
Slide 19: Appendix
Information is unaudited, estimated and subject to change. Appendix
Slide 20: Agency MBS Portfolio and Funding
Information is unaudited, estimated and subject to change. 19 Agency Securities – As of September 30, 2016 Repo Days to Maturity – As of September 30, 2016 Security Type Coupon (1) Current Face Weighted Average Market Price Weighted Average CPR Agency Pass- through 3.50% $1,085,704 105.6 15.0 4.00%
Slide 21: Interest Rate Sensitivity
Information is unaudited, estimated and subject to change. 20 Description ($ in thousands) - 100 Basis Points - 50 Basis Points Unchanged +50 Basis Points +100 Basis Points Agency Securities Market Value $ 4,533,091 $ 4,450,893 $ 4,362,550 $ 4,263,846 $ 4,153,731 Percentage Change 3.9 % 2.0 % - (2.3
Slide 22: chimerareit.com
chimerareit.com