Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q4 2019 Earnings Presentation
17 slides from Chimera Investment's earnings presentation, Feb 20, 2020
Slide 1: Investor Presentation 4th Quarter 2019
INVESTOR PRESENTATION NYSE: CIM 4th Quarter 2019
Slide 2: Disclaimer
DISCLAIMER This presentation includes “forward-looking statements” within the meaning of the safe harbor provisions of the United 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 Is a Hybrid Mortgage REIT
CHIMERA IS A HYBRID MORTGAGE REIT Chimera develops and manages a portfolio of leveraged residential mortgage investments to produce an attractive quarterly dividend for shareholders ▪ Established in 2007 ▪ Internally managed since August 2015 ▪ Total Capital $4.0 Billion ▪ Total Portfolio $26.2 Bill
Slide 4: Total Return
TOTAL RETURN Chimera has outperformed the Mortgage REIT index and the S&P 500 since internalization of management Cumulative Total Return* 149% 150% 130% 110% 90% 68% 70% 50% 60% 30% 10% -10% -30% 5 5 6 6 6 6 7 7 7 7 8 8 8 8 9 9 9 9 01 01 01 01 01 01 01 01 01 01 01 01 01 01 01 01 01 01 /2 /2 /2 /2 /
Slide 5: Dividends
DIVIDENDS Chimera has declared $4.8 billion in dividends since inception 700 6,000 600 5,000 500 4,000 ) ) s 400 s n n o o i i l l l l i 3,000 i M M ( ( $ 300 $ 2,000 200 1,000 100 0 0 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 YTD Period Ending Common Dividends Preferred Dividends
Slide 6: Dynamic Investment Strategy
DYNAMIC INVESTMENT STRATEGY Chimera focuses on acquiring Residential Mortgage Loans, Non-Agency RMBS, Agency RMBS and Agency CMBS Residential Chimera acquires residential mortgage loans and utilizes leverage through a combination of securitization, repo and warehouse facilities to manage risk and in
Slide 7: Portfolio Composition
PORTFOLIO 73% of Chimera's equity capital is allocated COMPOSITION to mortgage credit Net Investment Analysis(2) Residential Mortgage Credit Portfolio 17 Total Assets: 16.9 billion(1) 16 Residential Mortgage Agency 15 Credit Portfolio Total Portfolio Non-Recourse 14 Portfolio (Securitization) 13 12
Slide 8: Loan Portfolio Composition
LOAN PORTFOLIO COMPOSITION Chimera has acquired a unique portfolio of seasoned residential mortgage loans comprising the majority of Chimera's loan portfolio Loan Portfolio Characteristics Total Current Unpaid Principal Balance $12.8 Billion Total Number of Loans 138,738 Weighted Average Loan Size $
Slide 9: The Securitization Process
1 THE SECURITIZATION PROCESS Chimera has created term-funding through securitization 2 3 $70mm Senior A Note Sold to 3rd Party $100mm $100mm Trust Principal & Interest Deposit Non-Agency Mortgage (Non-Agency RMBS Bond or Loans Collateral) Losses & Interest $30mm Subordinate B Note Retained by CIM CI
Slide 10: Securitization Activity
SECURITIZATION ACTIVITY Chimera utilizes the securitization process to create its own differentiated portfolio ▪ Chimera continues to benefit from exercising the option to call, restructure and optimize it's securitizations Securitization History ▪ Chimera has 8 outstanding securitizations callable
Slide 11: Agency Portfolio
AGENCY PORTFOLIO Agency Passthrough's provide flexibility and allow Chimera to vary its portfolio allocation based on relative value in the market 14 12 2.9 3.1 3.3 10 3.3 ) 2.5 s 8 2.9 n o i l l i b ( $ 6 0.9 1.0 1.1 2.3 9.2 9.0 8.9 4 8.3 8.3 1.3 1.3 6.9 1.3 1.4 1.8 1.9 2.1 6.8 6.5 6.0 1.4 5.3 5.3
Slide 12: Capital Management
CAPITAL MANAGEMENT Chimera continues to add shareholder value while diversifying its capital structure ▪ Board of Directors declares first quarter 2020 dividend of $0.50 per common share 5,800,000 Shares 13,000,000 Shares 8.00% Fixed Series A 8.00% Variable Series B ▪ Board of Directors expects to m
Slide 13: Summary
SUMMARY Chimera has assembled a unique portfolio of mortgage assets with a goal to provide high and durable income to shareholders Dynamic Investment Chimera has developed a diversified portfolio of mortgage backed securities to maximize risk-adjusted returns. Chimera's total return has outperformed
Slide 14: Appendix
Appendix We. CHIMERA SE
Slide 15: Agency MBS Portfolio Funding
AGENCY MBS PORTFOLIO FUNDING The majority of Chimera's Agency Portfolio consists of highly liquid pass-through securities Agency Securities – As of December 31, 2019 Repo Days to Maturity – As of December 31, 2019 Repo Days to Maturity – As of December 31, 2019 WEIGHTED (1) CURRENT WEIGHTED PRINCIPA
Slide 16: Interest Rate Sensitivity
INTEREST RATE SENSITIVITY Chimera rebalanced its Agency hedge portfolio during the quarter DESCRIPTION - 100 BASIS - 50 BASIS +50 BASIS +100 BASIS ($ in thousands) POINTS POINTS UNCHANGED POINTS POINTS Hedge Book Maturities Market Value $ 9,661,207 $ 9,508,139 $ 9,341,011 $ 9,145,034 $ 8,917,815 Age
Slide 17: chimerareit.com
chimerareit.com