Chimera Investment Corporation · NYSE:CIM

Chimera Investment — Investor Presentation (September 2015)

15 slides from Chimera Investment's investor presentation, Sep 14, 2015

  1. Slide 1: Investor Presentations | Second Quarter 2015

    WWW.CHIMERAREIT.COM Investor Presentations | Second Quarter 2015 September 2015

  2. Slide 2: Disclaimer

    CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 1 This material is not intended to be exhaustive, is preliminary in nature and may be subject to change. In addition, much of the information contained herein is based on various assumptions (some of which are beyond

  3. Slide 3: Chimera Investment Corporation (NYSE: CIM)

    CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 2 Chimera Investment Corporation (NYSE: CIM) (1)Hybrid mREIT Peers include TWO, MITT, IVR, MFA, and RWT as of 6/30/2015 (2)Banks include WFC, JPM, BAML, C, GS, MS, BONY, USB, PNC and SYF (3)Yields as of 8/31/15. Sour

  4. Slide 4: Total Portfolio Composition

    CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 3 Total Portfolio Composition As of June 30 2015 (1) Financing excludes unsettled trades 82.5% of CIM’s equity capital is allocated to mortgage credit Equity $2.8Billion Equity $0.6 Billion Recourse $1.5 Billion Reco

  5. Slide 5: Agency MBS Portfolio and Funding

    CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 4 Agency MBS Portfolio and Funding As of June 30, 2015. (1) Financing cost includes the interest incurred on interest rate swaps. (2) Repo balances are not adjusted for unsettled trades Reducing Interest Rate Risk by

  6. Slide 6: Interest Rate Sensitivity

    CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 5 Interest Rate Sensitivity As of June 30, 2015. (1) Projected Percentage Change in Portfolio Value is based on instantaneous moves in interest rates. Agency, Swap and Derivative Portfolio Description ($ in thousands

  7. Slide 7: Residential Mortgage Credit Portfolio

    CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 6 Residential Mortgage Credit Portfolio Credit Portfolio Composition As of June 30, 2015 Non-Agency RMBS 43% Securitized Loan Portfolio 57% Gross Asset Yield: 8.8% Financing Cost: 3.6% Net Interest Spread: 5.3% Net I

  8. Slide 8: Non-Agency RMBS Portfolio

    CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 7 Non-Agency RMBS Portfolio 61% of CIM’s Non-Agency Portfolio is Re-REMIC Bonds The Re-Securitization Process $30mm Subordinate B Note Retained by CIM $100mm Non-Agency Mortgage Bond $100mm Trust (Non-Agency RMBS Col

  9. Slide 9: Re-Remic subordinates have had slow prepayments

    CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 8  Re-Remic subordinates have had slow prepayments considering the low interest rate environment ($ in thousands) At Issuance / Acquisition As of June 30, 2015 Vintage Type Deal Total Original Face Total of Tranches

  10. Slide 10: Loan Securitization Pipeline

    CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 9  CIM has called 2011-1A and 2012-1A and has refinanced these two deals creating CSMC 2014-CIM1 and CIM 2015-2AG.  CIM has $3.7 billion of remaining seasoned loans to refinance over the next two years as follows:

  11. Slide 11: Refinancing Springleaf

    CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 10  Springleaf securitizations are callable on the 3 year anniversary of issuance  The underlying loans are consolidated on CIM’s Balance Sheet, there is no profit or loss on the call and re-levering  The securiti

  12. Slide 12: Mortgage Credit Fundamentals

    CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 11  Home Prices Have Been Appreciating  Older Non-Agency MBS Credit Has Been Improving  Delinquency pipelines decreasing  Foreclosures getting flushed out of deals  Lower loss severities  Deals are delevering 

  13. Slide 13: Summary

    CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 12 Summary Chimera currently operates at low leverage and produces a high yield  Highly liquid 30YR current coupon portfolio  Actively hedged to manage interest rate risk  Agency exposure decreased by $2.5 billion

  14. Slide 14: Summary

    CIOnNfFoErmREaNtCioEn N iAsM uEn GaOuEdSit HeEdR, Eestimated and subject to change. 12 Summary Chimera currently operates at low leverage and produces a high yield  Highly liquid 30YR current coupon portfolio  Actively hedged to manage interest rate risk  Agency exposure decreased by $2.5 billion

  15. Slide 15: CORPORATION

    CORPORATION WWW.CHIMERAREIT.COM

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