Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q1 2018 Earnings Presentation
21 slides from Chimera Investment's earnings presentation, May 22, 2018
Slide 1: Investor Presentation 1st Quarter 2018
INVESTOR PRESENTATION NYSE: CIM 1st 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 $3.7 Billion ▪ Total Portfolio $20.9 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* 90% 80% 76% 70% 60% 50% 40% 32% 30% 30% 20% 10% 0% -10% -20% -30% 15 15 15 16 16 16 16 16 16 17 17 17 17 17 17 17 18 20 20 20 20 20 20 20 20 20 20 20 20 20 20 20 20 20 5/
Slide 5: Dividends
DIVIDENDS Chimera has paid over $4 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 Divi
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 84% of Chimera's equity capital is allocated to mortgage credit (1) Residential Mortgage Net Investment Analysis Credit Portfolio Total Assets: 16.4 billion(1) 17 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 65% of the total portfolio Portfolio Fair Value 11% Seasoned Low Loan Balance Mortgage Portfolio 11% Total Current Unpaid Balance $13.4 Billion 7% Total Number of Loans 147,720 6% Weighted Ave
Slide 9: Unique Mortgage Credit Portfolio
UNIQUE MORTGAGE CREDIT PORTFOLIO Key transactions distinguish Chimera from other Mortgage REITs Re-Remic Subordinate Bond Springleaf Seasoned Loan Risk Retention Seasoned Portfolio Portfolio Loan Portfolio 2009–2011 Chimera 2014 Chimera Acquires 2016-2018 Chimera Creates and Retains $4.8 Billion Sea
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 Activity
SECURITIZATION ACTIVITY Chimera securitized $26 billion of collateral and retained $8 billion of bonds ▪ 87% of our credit portfolio is related to loans or bonds Securitization Activity Chimera securitized ▪ 68% of our total portfolio is related to loans or bonds 8,000 Chimera securitized 6,000 ) ($
Slide 12: Agency Portfolio Composition
AGENCY PORTFOLIO COMPOSITION 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. 2,400 55 2,200 50 45 2,000 40 ) s 1,800 n o i l l i 35 % M ( $ 1,600 30 1,400 25 1,200 20 1,000 15 1Q16
Slide 13: Capital Management
CAPITAL MANAGEMENT Chimera continues to add shareholder value while diversifying its capital structure ▪ Board of Directors announced intention to pay $2.00 dividends in 2018 ▪ Board of Directors re-authorized $100 million common stock repurchase in February 2018 and Chimera has executed on $15 mill
Slide 14: 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 15: Appendix
Appendix Information is unaudited, estimated and subject to change.
Slide 16: 2018 Securitization Activity
2018 SECURITIZATION ACTIVITY Chimera securitized $549 million of loans in 2018 growing the investment portfolio to $20.9 billion Loan Securitizations CIM 2018-R1 CIM 2018-R2 CIMLTI 2017-RP2 $169,032,000 $380,292,000 $421,329,000 March 2018 March 2018 2017 ▪ Chimera has one of the largest seasoned, p
Slide 17: 2017 Securitization Activity
2017 SECURITIZATION ACTIVITY Chimera securitized $6.9 billion of loans in 2017 Loan Securitizations CIM 2017-1 CIM 2017-2 CIM 2017-3 $526,267,000 $331,440,000 $2,434,640,000 January 2017 February 2017 March 2017 CIMLTI 2017-RP2 $421,329,000 2017 CIM 2017-4 CIM 2017-5 CIM 2017-6 $830,510,000 $377,034
Slide 18: 2016 Securitization Activity
2016 SECURITIZATION ACTIVITY Chimera securitized $5.8 billion of loans in 2016 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 $66,171,000 $185,881,000 October 2016 Octob
Slide 19: Agency MBS Portfolio and Funding
AGENCY MBS PORTFOLIO AND FUNDING The majority of Chimera's Agency Portfolio consists of highly liquid pass-through securities Agency Securities – As of March 31, 2018 Repo Days to Maturity – As of March 31, 2018 Weighted Security (1) Current Weighted Coupon Average Maturity Principal Weighted Weight
Slide 20: Interest Rate Sensitivity
INTEREST RATE SENSITIVITY Chimera added to its Agency Commercial and hedge portfolios during the quarter Description - 100 Basis - 50 Basis +50 Basis +100 Basis ($ in thousands) Points Points Unchanged Points Points Hedge Book Maturities Market Value $ 4,842,053 $ 4,703,683 $ 4,557,799 $ 4,407,918 $
Slide 21: chimerareit.com
chimerareit.com