Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q1 2017 Earnings Presentation
20 slides from Chimera Investment's earnings presentation, 2017
Slide 1: Investor Presentation 1st Quarter 2017
INVESTOR PRESENTATION NYSE: CIM 1st Quarter 2017
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 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 $3.5 Billion ▪ Total Portfolio $20.0 Billion ▪ C
Slide 4: Total Return
TOTAL RETURN Chimera has outperformed its peers since internalization of management in August 2015 Cumulative Total Return* (Since Internalization) 90% 83% 80% 70% 60% 50% 40% 30% 26% 20% 10% 16% 0% -10% -20% -30% 5 5 5 5 6 6 6 6 6 6 6 6 7 7 201 201 2 01 201 201 201 201 201 201 201 2 01 201 201 201
Slide 5: Historical Total Return
HISTORICAL TOTAL RETURN Chimera has consistently produced industry leading returns Cumulative Total Return * 200% 191% 150% 97% 100% 86% 66% 53% 50% 34% 29% 29% 17% 0% CIM US Equity REM US Equity SPY US Equity 1 year 3 year 5 year All data as of March 31, 2017 *Assuming reinvestment of dividends Sou
Slide 6: Portfolio Composition
PORTFOLIO COMPOSITION 81% of Chimera's equity capital is allocated to mortgage credit Residential Mortgage Portfolio Yields and Spreads(1) Credit Portfolio 13 Total Assets: 15.9 billion(1) 12 Residential Agency MBS Mortgage Credit Total Portfolio Portfolio 11 $10.4 Portfolio 10 Non-Recourse (Securit
Slide 7: Portfolio Composition
PORTFOLIO COMPOSITION Chimera's residential credit portfolio provides a high net interest spread while the agency portfolio provides income and liquidity Agency Portfolio Composition Credit Portfolio Composition 9% 11% 37% 63% 80% Agency Pass through Non-Agency RMBS Commercial Consolidated RMBS Secu
Slide 8: 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 9: The Securitization Process
THE SECURITIZATION PROCESS Chimera created long, term-funding through securitization Creation of senior and subordinate bonds $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 or Loans Collateral) Los s Int es & $40mm
Slide 10: Consolidated RMBS Securitizations
CONSOLIDATED RMBS SECURITIZATIONS ▪ Re-Remic subordinate bonds have had slow prepayments considering the low interest rate environment ▪ Chimera expects the subordinate bond portfolio to have meaningful impact on earnings for the foreseeable future ($ in thousands) At Issuance / Acquisition March 31
Slide 11: Acquisition of Seasoned Loan Portfolio
ACQUISITION OF SEASONED LOAN PORTFOLIO Since 2014 Chimera has acquired $14.1 billion of seasoned performing loans through bulk transactions 2014 2015 - 2016 Springleaf Springleaf Acquisition Optimization Springleaf ▪ $4.8 billion seasoned ▪ Chimera refinances 5 of Acquisition loans the 7 Springleaf
Slide 12: Small Balance Residential Loan Portfolio
SMALL BALANCE RESIDENTIAL LOAN PORTFOLIO Chimera has 63% of its total portfolio in loans Portfolio Composition 13% Seasoned Low Loan Balance Mortgage Portfolio 7% Total Current Unpaid Balance $12.3 Billion 9% Total Number of Loans 140,434 Weighted Average Loan Size $87,853 7% 63% Weighted Average Co
Slide 13: 2016 Securitization Activity
2016 SECURITIZATION ACTIVITY Chimera securitized $5.9 billion in 2016 growing the investment portfolio to $16.3 billion Loan Securitizations CIM 2016-1 CIM 2016-2 CIM 2016-3 $1,499,341,000 $1,762,177,000 $1,746,084,000 April 2016 May 2016 May 2016 CIM 2016-4* CIM 2016-5* CIM 2016-FRE 1 $601,733,000
Slide 14: 2017 Securitization Activity
2017 SECURITIZATION ACTIVITY Chimera has securitized $4.1 billion in 2017 growing the investment portfolio to $20.0 billion Loan Securitizations CIM 2017-1 CIM 2017-2 $526,267,000 $331,440,000 January 2017 February 2017 CIM 2017-3 CIM 2017-4 $2,434,640,000 $830,510,000 March 2017 March 2017 ▪ Chimer
Slide 15: Capital Markets Activity
CAPITAL MARKETS ACTIVITY Chimera raised $470 million in preferred equity in the past year Preferred Stock 5,800,000 Shares 13,000,000 Shares 8.00% Fixed Series A 8.00% Fixed Series B Cumulative Redeemable Preferred Stock Cumulative Redeemable Preferred Stock October 2016 February 2017 Liquidation Pr
Slide 16: Summary
SUMMARY Chimera has assembled a portfolio of unique mortgage assets with a goal to provide high and durable income to shareholders Chimera has a unique portfolio of high yielding assets, created Franchise through securitization, which would be difficult to recreate in size and Mortgage Assets scale
Slide 17: Appendix
Appendix Information is unaudited, estimated and subject to change.
Slide 18: Agency MBS Portfolio and Funding
AGENCY MBS PORTFOLIO AND FUNDING The majority of Chimera's Agency Portfolio consists of highly liquid pass-through securities Agency Securities – As of March 31, 2017 Repo Days to Maturity – As of March 31, 2017 Weighted Security Current Weighted Principal Weighted Weighted Coupon(1) Average Maturit
Slide 19: Interest Rate Sensitivity
INTEREST RATE SENSITIVITY Chimera continues to reduce its rate exposure by reducing its Agency portfolio and hedges Description - 100 Basis - 50 Basis Unchanged +50 Basis +100 Basis ($ in thousands) Points Points Points Points Hedge Book Maturities Market Value $ 4,330,594 $ 4,220,920 $ 4,101,851 $
Slide 20: chimerareit.com
We, CHIMERA YEEMENE chimerareit.com