Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q3 2017 Earnings Presentation
21 slides from Chimera Investment's earnings presentation, Nov 20, 2017
Slide 1: Investor Presentation 3rd Quarter 2017
INVESTOR PRESENTATION NYSE: CIM 3rd Quarter 2017
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 Is a Residential Mortgage REIT
Information is unaudited, estimated and subject to change. 2 CHIMERA IS A RESIDENTIAL MORTGAGE REIT Chimera develops and manages a portfolio of leveraged mortgage investments to produce an attractive quarterly dividend for shareholders ▪ Established in 2007 ▪ Internally managed since August 2015 ▪ T
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 All data as of September 30, 2017 *Assuming reinvestment of dividends Source: Bloomberg CIM US Equity REM US Equity SPY US Equity Cumulativ
Slide 5: Historical Total Return
Information is unaudited, estimated and subject to change. 4 HISTORICAL TOTAL RETURN Chimera has consistently produced industry and market leading returns All data as of September 30, 2017 *Assuming reinvestment of dividends Source: Bloomberg 1 year 3 year 5 year Cumulative Total Return * 200% 150%
Slide 6: Portfolio Composition
Information is unaudited, estimated and subject to change. 5 PORTFOLIO COMPOSITION Residential Mortgage Credit Portfolio Agency MBS Portfolio Total Portfolio Gross Asset Yield: 7.2% 2.6% 6.3% Financing Cost(2): 4.0% 1.8% 3.6% Net Interest Spread: 3.2% 0.8% 2.7% Net Interest Margin: 3.8% 1.1% 3.2% Po
Slide 7: Portfolio Composition
Information is unaudited, estimated and subject to change. 6 Agency Pass through Commercial 56% 44% Agency Portfolio Composition Credit Portfolio Composition PORTFOLIO COMPOSITION Chimera's residential credit portfolio provides a high net interest spread while the agency portfolio provides income an
Slide 8: Unique Mortgage Credit Portfolio
Information is unaudited, estimated and subject to change. 7 2016-2017 Chimera Acquires $10.5 Billion Seasoned Loan Portfolio • Performing loans with 10 years of payment history • 10 securitizations with all senior securities placed • $ 2.0 billion bonds retained for investment portfolio 2014 Chimer
Slide 9: The Securitization Process
Information is unaudited, estimated and subject to change. 8 THE SECURITIZATION PROCESS Chimera created long, term-funding through securitization Creation of senior and subordinate bonds $100mm Non-Agency Mortgage Bond or Loans $100mm Trust (Non-Agency RMBS Collateral) Deposit $60mm Senior A Note So
Slide 10: Consolidated RMBS Securitizations
Information is unaudited, estimated and subject to change. 9 ($ in thousands) At Issuance / Acquisition September 30, 2017 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: Acquisition of Seasoned Loan Portfolio
Information is unaudited, estimated and subject to change. 10 ACQUISITION OF SEASONED LOAN PORTFOLIO Since 2014 Chimera has acquired $15.3 billion of seasoned performing loans through bulk transactions 2014 Springleaf Acquisition ▪ $4.8 billion seasoned loans ▪ 7 securitizations ▪ Loans originated f
Slide 12: Capital Deployment
Information is unaudited, estimated and subject to change. 11 CAPITAL DEPLOYMENT Chimera has acquired a unique portfolio of residential mortgage loans All data as of September 30, 2017 Seasoned Low Loan Balance Mortgage Portfolio Total Current Unpaid Balance $13.0 Billion Total Number of Loans 146,9
Slide 13: 2016 Securitization Activity
Information is unaudited, estimated and subject to change. 12 2016 SECURITIZATION ACTIVITY Chimera securitized $5.8 billion in 2016 growing the investment portfolio to $16.3 billion Loan Securitizations CIM 2016-1 $1,499,341,000 April 2016 CIM 2016-2 $1,762,177,000 May 2016 CIM 2016-3 $1,746,084,000
Slide 14: 2017 Securitization Activity
Information is unaudited, estimated and subject to change. 13 2017 SECURITIZATION ACTIVITY Chimera has securitized $5.3 billion in 2017 growing the investment portfolio to $20.8 billion Loan Securitizations CIM 2017-1 $526,267,000 January 2017 CIM 2017-2 $331,440,000 February 2017 CIM 2017-3 $2,434,
Slide 15: Capital Markets Activity
Information is unaudited, estimated and subject to change. 14 CAPITAL MARKETS ACTIVITY Chimera raised $470 million in preferred equity in the past year All data as of September 30, 2017 Preferred Stock 5,800,000 Shares 8.00% Fixed Series A Cumulative Redeemable Preferred Stock October 2016 Liquidati
Slide 16: Recent Events
Information is unaudited, estimated and subject to change. 15 RECENT EVENTS 4th quarter subsequent events ▪ $356 million secured term financing ▪ 2-year term ▪ Non-mark-to-market ▪ Financed legacy CUSIPS ▪ $512 million rated securitization CIM 2017-7 ▪ Deal rated by Fitch & DBRS ▪ Rated transaction
Slide 17: Summary
Information is unaudited, estimated and subject to change. 16 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 the housing market are positive for the c
Slide 18: Appendix
Information is unaudited, estimated and subject to change. Appendix
Slide 19: Agency MBS Portfolio and Funding
Information is unaudited, estimated and subject to change. 18 Agency Securities – As of September 30, 2017 Repo Days to Maturity – As of September 30, 2017 Security Type Coupon (1) Current Face Weighted Average Market Price Weighted Average CPR Agency Pass- through 3.50% $878,766 103.3 10.3 4.00% 1,
Slide 20: Interest Rate Sensitivity
Information is unaudited, estimated and subject to change. 19 Description ($ in thousands) - 100 Basis Points - 50 Basis Points Unchanged +50 Basis Points +100 Basis Points Agency Securities Market Value $ 4,604,132 $ 4,483,164 $ 4,354,872 $ 4,219,737 $ 4,080,509 Percentage Change 5.7 % 2.9 % - (3.1
Slide 21: chimerareit.com
chimerareit.com