Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q4 2016 Earnings Presentation
23 slides from Chimera Investment's earnings presentation, 2017
Slide 1: Investor Presentation 4th Quarter 2016
INVESTOR PRESENTATION NYSE: CIM 4th Quarter 2016
Slide 2: Disclaimer
This presentation includes “forward-looking statements” within the meaning of the safe harbor provisions of the United DISCLAIMER States Private Securities Litigation Reform Act of 1995. Actual results may differ from expectations, estimates and projections and, consequently, readers should not rely
Slide 3: Chimera Investment Corporation
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: $3.1 Billion Total Portfolio: $16.3 Billion Overall Leverage Ratio
Slide 4: Total Return
Total Return Chimera has outperformed it's peers since internalization of management in August 2015 Cumulative Total Return* 60% 51% 50% 40% 30% 20% 14% 10% 10% 0% -10% -20% -30% 5 15 5 5 6 6 6 6 6 6 6 6 16 / 201 /20 /2 01 / 201 / 201 / 201 / 201 / 201 / 201 / 201 /2 01 /201 20 /5 1 / 8 /1 7 /29 /1
Slide 5: Historical Total Return
Historical Total Return Chimera has consistently produced industry leading returns Cumulative Total Return * 200% 180% 150% 97% 100% 77% 53% 46% 50% 30% 29% 22% 11% 0% CIM US Equity REM US Equity SPY US Equity 1 year 3 year 5 year All data as of December 31, 2016 *Assuming reinvestment of dividends
Slide 6: Portfolio Composition
PORTFOLIO COMPOSITION 76% of Chimera's equity capital is allocated to mortgage credit Residential Mortgage Portfolio Yields and Spreads(1) Credit Portfolio 13 Total Assets: 12.1 billion(1) 12 Residential Agency MBS Mortgage Credit Total Portfolio Portfolio 11 Portfolio 10 Non-Recourse (Securitizatio
Slide 7: Agency MBS Portfolio and Funding
AGENCY MBS PORTFOLIO AND FUNDING Highly liquid US Government Agency pass-through securities hedged with interest rate swaps and futures Agency Portfolio Composition Portfolio Yields and Spreads(1) Gross Asset Yield: 4.1% 35% Financing Cost(2): 1.4% Net Interest Spread: 2.7% 65% Net Interest Margin:
Slide 8: Residential Mortgage Credit Portfolio
RESIDENTIAL MORTGAGE CREDIT PORTFOLIO Chimera's residential credit portfolio provides a high net interest spread Credit Portfolio Composition Portfolio Yields and Spreads(1) 12% Gross Asset Yield: 7.9% 15% Financing Cost(2): 4.0% 72% Net Interest Spread: 3.9% Non-Agency RMBS Net Interest Margin: 4.4
Slide 9: Unique Mortgage Credit Portfolio
UNIQUE MORTGAGE CREDIT PORTFOLIO Key transactions distinguish Chimera from other Mortgage REITs Re-Remic Subordinate Bond Portfolio 2009–2011 Chimera Springleaf Seasoned Loan Portfolio Creates and Retains $3.2 Billion High Yield Risk Retention Seasoned 2014 Chimera Acquires Loan Portfolio Subordinat
Slide 10: Re-Remic Subordinate Bond Portfolio
RE-REMIC SUBORDINATE BOND PORTFOLIO Chimera created long, term-funding through securitization The Securitization Process $60mm Senior A Note l cipa Sold to 3rd Party Prin erest t & In $100mm Deposit $100mm Trust Non-Agency Mortgage (Non-Agency RMBS Bond Collateral) Los s Int es & $40mm ere st Subord
Slide 11: Consolidated RMBS Securitizations
CONSOLIDATED RMBS SECURITIZATIONS ▪ Re-Remic subordinate bonds have had slow prepayments considering the low interest rate environment ▪ Chimera expects the subordinate bond portfolio to have meaningful impact on earnings for the foreseeable future ($ in thousands) At Issuance / Acquisition December
Slide 12: Springleaf Seasoned Loan Portfolio
SPRINGLEAF SEASONED LOAN PORTFOLIO Chimera acquired $4.8 Billion Seasoned Loan Portfolio previously securitized by Springleaf Financial 2014 2015 2016 Springleaf Acquisition Springleaf Optimization Springleaf Pipeline ◦ $ 4.8 billion seasoned loans ◦ Chimera calls 4 of the 7 ◦ Chimera calls 1 of the
Slide 13: Risk Retention Loan Portfolio
RISK RETENTION LOAN PORTFOLIO Risk Retention Rule creates an opportunity for Mortgage REITs who have permanent capital Chimera 2.0 Risk Retention Rule Chimera sponsors six securitizations ▪ All new mortgage securitizations ▪ $763 million performing seasoned must have an equity sponsor 2016 Chimera l
Slide 14: 2016 Risk Retention Portfolio
2016 RISK RETENTION PORTFOLIO ▪ $5.8 Billion loan portfolio and securitization is consolidated on balance sheet ▪ Chimera retained $952 Million subordinate ◦ Chimera expects high single digit yields on portfolio bonds for investment without leverage ▪ Chimera funded purchased interests through ◦ Chi
Slide 15: Small Balance Residential Loan Portfolio
SMALL BALANCE RESIDENTIAL LOAN PORTFOLIO Chimera has one of the largest seasoned, performing, small balance residential loan portfolios in the Mortgage REIT Industry Risk Retention Seasoned Loan Portfolio Total Current Unpaid Balance $8.1 Billion Total Number of Loans 89,607 Weighted Average Loan Si
Slide 16: Small Balance Residential Loan Portfolio
SMALL BALANCE RESIDENTIAL LOAN PORTFOLIO • While loans were subprime at origination, average loan age shows Positive pay history homeowners' willingness to pay • Homeowner pay history is a good predictor of future behavior • Borrowers with low loan balances and moderate FICO scores Prepay experience
Slide 17: Summary
SUMMARY Franchise Chimera has a unique portfolio of high yielding assets, created through securitization, which would be Mortgage Assets difficult to recreate in size and scale Positive Macro Upward trending macro economic conditions for Economic energy prices and the housing market are positive for
Slide 18: Appendix
Appendix Information is unaudited, estimated and subject to change.
Slide 19: Median Mortgage and Rental Costs
Median Mortgage and Rental Costs 45% 40% As a Share of Median Income % 35% 30% 29% 27% 25% 22% 20% 15% 14% 10% 1979-03 1982-12 1986-09 1990-06 1994-03 1997-12 2001-09 2005-06 2009-03 2012-12 2016-09 Period Ending Mortgage Affordability Rent Affordability Historical Average Mortgage Historical Averag
Slide 20: New Foreclosures and Mortgages in Foreclosure
New Foreclosures and Mortgages in Foreclosure 700 6% 600 5% Consumers with New Foreclosures % of Mortgages in Forclosure 500 4% 400 3% 300 2% 200 1.6% 1% 100 80.6 0 0% March 2003 March 2005 March 2007 March 2009 March 2011 March 2013 March 2015 Period Ending Consumers with New Foreclosures (thousand
Slide 21: Agency MBS Portfolio and Funding
AGENCY MBS PORTFOLIO AND FUNDING The majority of Chimera's Agency Portfolio consists of highly liquid pass-through securities Agency Securities – As of December 31, 2016 Repo Days to Maturity – As of December 31, 2016 Weighted Security Current Weighted Principal Weighted Weighted Coupon(1) Average M
Slide 22: Interest Rate Sensitivity
INTEREST RATE SENSITIVITY Chimera continues to reduce its rate exposure by reducing its Agency portfolio and hedges Description - 100 Basis - 50 Basis Unchanged +50 Basis +100 Basis ($ in thousands) Points Points Points Points Hedge Book Maturities Market Value $ 4,390,545 $ 4,284,593 $ 4,167,754 $
Slide 23: chimerareit.com
We, CHIMERA YEEMENE chimerareit.com