Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q4 2015 Earnings Presentation
17 slides from Chimera Investment's earnings presentation, Mar 8, 2016
Slide 1: Investor Presentation | Fourth Quarter 2015
Investor Presentation | Fourth Quarter 2015 March 2016
Slide 2: 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 identified b
Slide 3: Chimera Investment Corporation (NYSE: CIM)
Chimera Investment Corporation (NYSE: CIM) Hybrid mREIT Peers include TWO, IVR, MFA, NRZ, and RWT as of 12/31/2015Banks include WFC, JPM, BAML, C, GS, BONY, USB, and PNCYields as of 12/31/15. Source: Bloomberg We develop and manage a portfolio of leveraged mortgages to produce an attractive quarterl
Slide 4: Total Portfolio Composition
Total Portfolio Composition As of December 31, 2015Financing excludes unsettled trades 75% of CIM’s equity capital is allocated to mortgage credit Residential Mortgage Credit PortfolioTotal Assets: $8.4 Billion(1) Agency MBS PortfolioTotal Assets: $6.5 Billion(1)
Slide 5: Agency MBS Portfolio and Funding
Agency MBS Portfolio and Funding As of December 31, 2015. Coupon is a weighted average for Commercial and Agency IONotional Agency IO was $6.7 billion as of 12/31/2015. Excludes unsettled tradesReflects fourth quarter 2015 yields and spreadsIncludes the interest incurred on interest rate swaps Reduc
Slide 6: Aggregate Agency Portfolio Composition
Aggregate Agency Portfolio Composition Agency RMBS portfolio transitioned from 4% coupon to 3.5% couponPay-down principal reinvestedAgency CMBS increased to 15% of Agency portfolioDriven by new construction loan commitments
Slide 7: Interest Rate Sensitivity
Interest Rate Sensitivity As of December 31, 2015. (1) Projected Percentage Change in Portfolio Value is based on instantaneous moves in interest rates. Agency, Swap and Derivative Portfolio Description($ in thousands) - 100 Basis Points - 50 Basis Points Unchanged +50 Basis Points +100 Basis Points
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 contractual lock out and prepayment penaltiesSta
Slide 9: Agency CMBS Portfolio Composition
Agency CMBS Portfolio Composition Agency CMBS Composition Q4 '15 (Mkt. Val. %)
Slide 10: Residential Mortgage Credit Portfolio
Residential Mortgage Credit Portfolio Credit Portfolio Composition Reflects fourth quarter 2015 yields and spreads Gross Asset Yield: 8.3% Financing Cost: 3.4% Net Interest Spread: 4.9% Net Interest Margin: 5.4% Credit Portfolio Yields and Spreads(1)
Slide 11: Residential Mortgage Credit Portfolio Composition
Residential Mortgage Credit Portfolio Composition
Slide 12: Non-Agency RMBS Portfolio
Non-Agency RMBS Portfolio 52% of CIM’s 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) $60mm Senior A Note Sold to 3rd party Deposit Losses & Interest Principal& Int
Slide 13: Re-Remic subordinates have had slow prepayments
Re-Remic subordinates have had slow prepayments considering the low interest rate environment ($ in thousands) At Issuance / Acquisition As of December 31, 2015 Vintage Type Deal Total Original Face Total of Tranches Sold Total of Tranches Retained Total Remaining Face Remaining Face of Tranches Sol
Slide 14: Mortgage Credit Fundamentals
Home Prices Have Been Appreciating Older Non-Agency MBS Credit Continues to ImproveDelinquency pipelines decreasingForeclosures getting flushed out of dealsLower loss severitiesDeals are deleveringNew Mortgage Credit Remains TightBanks/rating agencies are risk averseOnly best borrowers get new mortg
Slide 15: Summary
Summary Chimera currently operates at 2.7x recourse leverage and produces a yield over 14% Actively hedged and highly liquidAgency exposure decreased by $2.5 billion in 1st Half of 2015Reduced prepay exposure by shifting 16% of the Pass-Through portfolio from 4.0% coupon to 3.5% in Q4Continue to all
Slide 16: Dividend History
Dividend History Chimera has paid out over $3.4B in dividends since inception As of December 31, 2015(1) Includes dividend declared in Q4 2015 and paid in the subsequent year. (1)
Slide 17: www.chimerareit.com
[= _ — WWW.CHIMERAREIT.COM