Chimera Investment Corporation · NYSE:CIM

Chimera Investment — Investor Presentation (November 2015)

19 slides from Chimera Investment's investor presentation, November 2015

  1. Slide 1: Investor Presentation Third Quarter 2015

    InvestorClick to edit Master Presentation title | Third style 2015 Quarter Click to edit2015 November Master subtitle style WWW.CHIMERAREIT.COM

  2. Slide 2: Disclaimer

    Disclaimer 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 the control of Chimera Investment Corporation, the “Company”) and may be i

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

    Chimera Investment Corporation (NYSE: CIM) We develop and manage a portfolio of leveraged mortgages to produce an attractive quarterly dividend for shareholders Business Description: Hybrid Mortgage REIT Inception: 2007 Total Capital: $3.1 billion Total Portfolio: $15.6 billion Overall Leverage Rati

  4. Slide 4: Total Portfolio Composition

    Total Portfolio Composition 77% of CIM’s equity capital is allocated to mortgage credit Residential Mortgage $10 Credit Portfolio Total Assets: $9.1 Billion(1) Agency MBS Portfolio $9 Total Assets: $6.5 Billion(1) $8 $7 Non-Recourse $4.8 Billion Billions $6 $5 $4 Recourse Recourse $3 $2.0 Billion $5

  5. Slide 5: Agency MBS Portfolio and Funding

    Agency MBS Portfolio and Funding Reducing Interest Rate Risk by Reducing Exposure to Agency RMBS Agency Securities Agency Portfolio Yields and Spreads Weighted Weighted Security Type Coupon(1) Current Face Average Price Average CPR 3.50% $2,114,865 104.13 7.8 Agency Pass- 4.00% 2,541,855 106.51 14.5

  6. Slide 6: Aggregate Agency Portfolio Composition

    Aggregate Agency Portfolio Composition Agency Portfolio Composition Q3 '15 Agency Portfolio Composition Q2 '15 (Mkt. Val. %) (Mkt. Val. %) 14% 11% 3% 4% 32% 34% 8% 7% 41% 46% Agency RMBS 3.5 Agency RMBS 4.0 Agency RMBS 4.5 Agency RMBS 3.5 Agency RMBS 4.0 Agency RMBS 4.5 Agency IO ACMBS Agency IO ACM

  7. Slide 7: Interest Rate Sensitivity

    Interest Rate Sensitivity Agency, Swap and Derivative Portfolio Description - 100 Basis +50 Basis +100 Basis - 50 Basis Points Unchanged ($ in thousands) Points Points Points Agency Pass-Throughs Market Value $5,544,703 $5,474,810 $5,385,004 $5,246,490 $5,103,043 Change in Portfolio Value (RMBS) Per

  8. Slide 8: Agency CMBS – Multifamily and Healthcare

    Agency CMBS – Multifamily and Healthcare In 1934, the National Housing Act established federal insurance programs to support multifamily housing. Annual issuance is between $10 and $15 billion.  Stable hedged return profile – prepay protection based on lock out and Economic Benefits prepayment pena

  9. Slide 9: Agency CMBS Portfolio Composition

    Agency CMBS Portfolio Composition Agency CMBS Portfolio Quarterly Change (Mkt. Val.) Agency CMBS Composition Q3 '15 $800,000,000 (Mkt. Val. %) $600,000,000 $400,000,000 23% $200,000,000 $0 CLC ACMBS Bonds ACMBS IO Q2 '15 Q3 '15 GNMA CLC Position 14% $800,000,000 63% $700,000,000 $600,000,000 $500,00

  10. Slide 10: Residential Mortgage Credit Portfolio

    Residential Mortgage Credit Portfolio Credit Portfolio Composition Credit Portfolio Yields and Spreads Gross Asset Yield: 8.3% 42% Financing Cost: 3.5% 58% Net Interest Spread: 4.8% Non-Agency RMBS Net Interest Margin: 5.5% Securitized Loan Portfolio InformationNAME CONFERENCE is unaudited, GOES HER

  11. Slide 11: Residential Mortgage Credit Portfolio Composition

    Residential Mortgage Credit Portfolio Composition Portfolio Composition Q3 '15 Portfolio Composition Q2 '15 32% 32% 58% 57% 7% 8% 3% 3% Non-Agency Senior Non-Agency Subordinate Non-Agency Senior Non-Agency Subordinate Non-Agency IO's Securitized Loans Non-Agency IO's Securitized Loans Residential Mo

  12. Slide 12: Non-Agency RMBS Portfolio

    Non-Agency RMBS Portfolio 52% of CIM’s Non-Agency Portfolio is Re-REMIC Bonds The Re-Securitization Process $60mm Senior A Note Sold to 3rd party $100mm Deposit $100mm Trust Non-Agency Mortgage (Non-Agency RMBS Bond Collateral) $40mm Subordinate B Note Retained by CIM 1 2 3 CIM buys $100mm Non- CIM

  13. Slide 13: Consolidated RMBS

    Consolidated RMBS The average yield on consolidated retained Subordinate Bonds is over 17%  Re-Remic subordinates have had slow prepayments considering the low interest rate environment ($ in thousands) At Issuance / Acquisition As of September 30, 2015 Total of Remaining Remaining Face Total Origi

  14. Slide 14: Loan Securitization Pipeline

    Loan Securitization Pipeline In Q3 2014, CIM purchased the Springleaf portfolio which had call rights to $4.8 billion of seasoned loans  CIM has called 2011-1A, 2012-1A, and 2012-2A. These deals were refinanced and created CSMC 2014- CIM1, CIM 2015-2AG, and CIM 2015-3AG.  CIM has $2.9 billion of r

  15. Slide 15: Refinancing Springleaf

    Refinancing Springleaf Attractive term financing via securitization provides the company with a high return  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-le

  16. Slide 16: Mortgage Credit Fundamentals

    Mortgage Credit Fundamentals CIM’s mortgage credit portfolio is performing better than expected when purchased and prepaying slower than expected in the current rate environment 180  Home Prices Have Been Appreciating 170 160  Older Non-Agency MBS Credit Continues to Improve 150  Delinquency pipe

  17. Slide 17: Summary

    Summary Chimera currently operates at 2.5x recourse leverage and produces a yield over 13%  Actively hedged and highly liquid Agency Portfolio  Agency exposure decreased by $2.5 billion in 1st Half of 2015  Shifting from Agency Pass-Throughs (RMBS) to Agency CMBS (ACMBS)  Prepayment speeds have

  18. Slide 18: Dividend History and Total Economic Return

    Dividend History and Total Economic Return Chimera has paid out over $2.8B in dividends since inception Dividend History Total Economic Return(1) $3,500 21% $3,000 18% $2,500 15% $2,000 12% $1,500 9% $1,000 6% $500 3% $- 0% 2008 2009 2010 2011 2012 2013 2014 2015 2014 Economic Return First 9 Months

  19. Slide 19: Click to edit Master title style

    Click to edit Master title style Click to edit Master subtitle style WWW.CHIMERAREIT.COM

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