Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Investor Presentation (November 2015)
19 slides from Chimera Investment's investor presentation, Nov 12, 2015
Slide 1: Investor Presentation | Third Quarter 2015
WWW.CHIMERAREIT.COM Investor Presentation | Third Quarter 2015 November 2015 CONFERENCE
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
Slide 3: Chimera Investment Corporation (NYSE: CIM)
Chimera Investment Corporation (NYSE: CIM) (1)Hybrid mREIT Peers include TWO, IVR, MFA, NRZ, and RWT as of 9/30/2015 (2)Banks include WFC, JPM, BAML, C, GS, BONY, USB, PNC and SYF (3)Yields as of 10/30/15. Source: Bloomberg Business Description: Hybrid Mortgage REIT Inception: 2007 Total Capital: $3
Slide 4: Total Portfolio Composition
Total Portfolio Composition As of September 30, 2015 (1)Financing excludes unsettled trades Residential Mortgage Credit Portfolio Total Assets: $9.1 Billion (1) Agency MBS Portfolio Total Assets: $6.5 Billion 77% of CIM’s equity capital is allocated to Equity Recourse Non-Recourse mortgage credit Eq
Slide 5: Agency MBS Portfolio and Funding
Agency MBS Portfolio and Funding Reducing Interest Rate Risk by Reducing Exposure to Agency RMBS Agency Securities 3.50% Agency Portfolio Yields and Spreads through (RMBS) 4.00% 2,541,855, 106.51 4.51 405,080 108.55 2 pas So) | ee 2 |Gross Asset Yield: 28% ‘Agency IO 0.8% N/Me 425 [ Total $5,915,204
Slide 6: Aggregate Agency Portfolio Composition
Aggregate Agency Portfolio Composition 32% 46% 8% 3% 11% Agency Portfolio Composition Q2 '15 (Mkt. Val. %) Agency RMBS portfolio remained consistent from Q2 to Q3 Slight increase in 3.5% coupon over 4% coupon Pay-down principal reinvested Agency CMBS increased to 14% of Agency portfolio Driven by ne
Slide 7: Interest Rate Sensitivity
Interest Rate Sensitivity Agency, Swap and Derivative Portfolio Description ($ in thousands As of September 30, 2015 (1) Projected Percentage Change in Portfolio Value is based on instantaneous moves in interest rates. Change in Portfolio Value
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 prepayment penalties Stable cashflows o
Slide 9: Agency CMBS Portfolio Composition
Agency CMBS Portfolio Composition 63% 14% 23% Construction Loan Commitment ACMBS Bonds ACMBS IO's $0 $200,000,000 $400,000,000 $600,000,000 $800,000,000 CLC ACMBS Bonds ACMBS IO Agency CMBS Portfolio Quarterly Change (Mkt. Val.) Q2 '15 Q3 '15 $0 $100,000,000 $200,000,000 $300,000,000 $400,000,000 $5
Slide 10: Residential Mortgage Credit Portfolio
Residential Mortgage Credit Portfolio Credit Portfolio Composition Credit Portfolio Yields and Spreads Gross Asset Yield: 8.3% Financing Cost: 3.5% Net Interest Spread: 4.8% Net Interest Margin: 5.5%
Slide 11: Residential Mortgage Credit Portfolio Composition
Residential Mortgage Credit Portfolio Composition 32% 8% 3% 57% Portfolio Composition Q2 '15 Non-Agency Senior Non-Agency Subordinate Non-Agency IO's Securitized Loans 32% 7% 3% 58% Portfolio Composition Q3 '15 Non-Agency Senior Non-Agency Subordinate Non-Agency IO's Securitized Loans $- $1,000,000
Slide 12: Non-Agency RMBS Portfolio
Non-Agency RMBS Portfolio 52% of CIMs Non-Agency Portfolio is Re-REMIC Bonds The Re-Securitization Process $40mm Subordinate B Note Retained by CIM $100mm Non-Agency Mortgage Bond $100mm Trust (Non-Agency RMBS Collateral) $60mm Senior A Note Sold to 3rd party Deposit CIM buys $100mm Non-Agency mortg
Slide 13: Consolidated RMBS
Consolidated RMBS As of September 30, 2015 (1)Collateral for this deal was originally part of CSMC 2010-12R (2)Projected Balances are estimated based on future cash flows and changes in prepayment speeds. Re-Remic subordinates have had slow prepayments considering the low interest rate environment
Slide 14: Loan Securitization Pipeline
Loan Securitization Pipeline Callable in 2015 SLFMT 2012-3A Oct-15 3.55% $521,803 $756,955 69% 117 11% TOTAL $521,803 $756,955 Callable in 2016 SLFMT 2013-1A Mar-16 3.76% $721,298 $781,311 92% 114 12% SLFMT 2013-2A Jun-16 4.21% $917,028 $953,738 96% 111 16% SLFMT 2013-3A Oct-16 3.39% $286,344 $449,5
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 CIMs Balance Sheet, there is no profit or loss on the call and re-leverin
Slide 16: Mortgage Credit Fundamentals
Mortgage Credit Fundamentals CIMs mortgage credit portfolio is performing better than expected when purchased and prepaying slower than expected in the current rate environment Home Prices Have Been Appreciating Older Non-Agency MBS Credit Continues to Improve Delinquency pipelines decreasing Forecl
Slide 17: Summary
Summary Actively hedged and highly liquid 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 been slower than expected resulting in longer high yielding cash flows. Difficult to re-create in todays mar
Slide 18: Dividend History and Total Economic Return
$3,500 Dividend HistoryTotal Economic Return(1) 21% $3,000 18% $2,500 15% $2,000 12% $1,5009% $1,0006% $5003% $- 20082009201020112012201320142015 0% 2014 Economic ReturnFirst 9 Months of 2015 Annual Dividends Paid ($ in millions)Cumulative Dividends Paid Chimera (GAAP Book Value)Chimera (Economic Bo
Slide 19: Chimera Investment Corporation
CORPORATION WWW.CHIMERAREIT.COM
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