Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q3 2018 Earnings Presentation
20 slides from Chimera Investment's earnings presentation, Nov 20, 2018
Slide 1: Investor Presentation 3rd Quarter 2018
INVESTOR PRESENTATION NYSE: CIM 3rd Quarter 2018
Slide 2: 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 DISCLAIMER projections and, consequently, readers should not rely
Slide 3: Chimera Is a Residential Mortgage REIT
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 ▪ Total Capital $3.9 Billion ▪ Total Portfolio $24.6 Billion ▪ C
Slide 4: Total Return
TOTAL RETURN Chimera has outperformed mortgage REITs and the S&P 500 since internalization of management Cumulative Total Return* 100% 93% 90% 80% 70% 60% 48% 50% 40% 40% 30% 20% 10% 0% -10% -20% -30% 15 15 15 16 16 16 16 16 16 17 17 17 17 17 17 17 18 18 18 18 20 20 20 20 20 20 20 20 20 20 20 20 20
Slide 5: Dividends
DIVIDENDS Chimera has paid $4.3 billion in dividends since inception 700 5,000 600 4,000 500 ) 3,000 ) s 400 s n n o o i i l l l l i i M M ( 300 ( $ 2,000 $ 200 1,000 100 YTD 0 0 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 Period Ending Common Dividends Preferred Dividends Special Dividen
Slide 6: Dynamic Investment Strategy
DYNAMIC INVESTMENT STRATEGY Chimera focuses on acquiring Residential Mortgage Loans, Non-Agency RMBS, Agency RMBS and Agency CMBS Chimera acquires residential mortgage loans. Chimera utilizes leverage through a combination of Residential securitization, repo and warehouse facilities to manage risk a
Slide 7: Portfolio Composition
PORTFOLIO COMPOSITION 76% of Chimera's equity capital is allocated to mortgage credit Net Investment Analysis(1) Residential Mortgage Credit Portfolio 17 Total Assets: 15.2 billion(1) 16 Residential Agency 15 Mortgage Credit Total Portfolio Portfolio Portfolio 14 Non-Recourse 13 (Securitization) 12
Slide 8: Loan Portfolio Composition
LOAN PORTFOLIO COMPOSITION Chimera has acquired a unique portfolio of residential mortgage loans comprising 52% of the total portfolio Portfolio Fair Value 28% Seasoned Low Loan Balance Mortgage Portfolio Total Current Unpaid Balance $12.3 Billion 52% Total Number of Loans 139,390 Weighted Average L
Slide 9: Unique Mortgage Credit Portfolio
UNIQUE MORTGAGE CREDIT PORTFOLIO Key transactions distinguish Chimera from other Mortgage REITs Consolidated RMBS Springleaf Seasoned Loan Risk Retention Seasoned Subordinate Bond Portfolio Portfolio Loan Portfolio 2009–2011 Chimera 2014 Chimera Acquires 2016-2018 Chimera Creates and Retains $4.8 Bi
Slide 10: The Securitization Process
THE SECURITIZATION PROCESS Chimera has created term-funding through securitization Creation of senior and subordinate bonds $70mm Senior A Note Principal Sold to 3rd Party & Interest $100mm Deposit $100mm Trust Non-Agency Mortgage (Non-Agency RMBS Bond or Loans Collateral) Losses & Interest $30mm Su
Slide 11: Securitization History
SECURITIZATION HISTORY Chimera utilizes the securitization process to create its own differentiated portfolio ▪ Chimera continues to benefit from exercising the option Securitization History to call, restructure and optimize it's securitizations ▪ Chimera has completed 50 deals and securitized $29.7
Slide 12: Current Securitized Portfolio Holdings
CURRENT SECURITIZED PORTFOLIO HOLDINGS Chimera creates bonds to be retained in it's investment portfolio ▪ The majority of our credit portfolio is related to loans Current Securitization Portfolio or bonds Chimera securitized ▪ Chimera has consistently used the securitization process to built it's u
Slide 13: Agency CMBS Portfolio
AGENCY CMBS PORTFOLIO Chimera has been increasing its Agency CMBS portfolio, investing primarily in Ginnie Mae project loans. Agency CMBS typically have less prepayment risk vs Agency RMBS. 2,800 2,600 2,400 2,200 ) s n 2,000 o i l l i M ( 1,800 $ 1,600 1,400 1,200 1,000 1Q16 2Q16 3Q16 4Q16 1Q17 2Q1
Slide 14: Capital Management
CAPITAL MANAGEMENT Chimera continues to add shareholder value while diversifying its capital structure ▪ Chimera issued $260 million of Series C preferred stock in September 2018 ▪ Chimera has raised $730 million in preferred stock, representing 19% of total capital ▪ Board of Directors declared $2.
Slide 15: 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 16: Appendix
Appendix Information is unaudited, estimated and subject to change.
Slide 17: 2018 Securitization Activity
2018 SECURITIZATION ACTIVITY Chimera securitized $2.3 billion of loans in 2018 growing the investment portfolio to $24.6 billion Loan Securitizations CIM 2018-R1 CIM 2018-R2 CIM 2018-R3 CIM 2018-J1 CIMLTI 2017-RP2 $169,032,000 $380,292,000 $181,073,000 $380,009,000 $421,329,000 March 2018 March 2018
Slide 18: Agency MBS Portfolio and Funding
AGENCY MBS PORTFOLIO AND FUNDING The majority of Chimera's Agency Portfolio consists of highly liquid pass-through securities Agency Securities – As of September 30, 2018 Repo Days to Maturity – As of September 30, 2018 Weighted Security (1) Current Weighted Coupon Average Maturity Principal Weighte
Slide 19: Interest Rate Sensitivity
INTEREST RATE SENSITIVITY Chimera added to its Agency and hedge portfolios during the quarter Description - 100 Basis - 50 Basis +50 Basis +100 Basis ($ in thousands) Points Points Unchanged Points Points Hedge Book Maturities Market Value $ 9,857,910 $ 9,650,351 $ 9,406,092 $ 9,133,202 $ 8,840,558
Slide 20: chimerareit.com
Information is unaudited, estimated and subject to change. chimerareit.com