Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q4 2017 Earnings Presentation
22 slides from Chimera Investment's earnings presentation, Mar 5, 2018
Slide 1: Investor Presentation 4th Quarter 2017
INVESTOR PRESENTATION NYSE: CIM 4th Quarter 2017
Slide 2: Disclaimer
Information is unaudited, estimated and subject to change. DISCLAIMER This presentation includes “forward-looking statements” within the meaning of the safe harbor provisions of the UnitedStates Private Securities Litigation Reform Act of 1995. Actual results may differ from expectations, estimates
Slide 3: Chimera Is a Residential Mortgage REIT
Information is unaudited, estimated and subject to change. 2 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 ▪ T
Slide 4: Total Return
Information is unaudited, estimated and subject to change. 3 TOTAL RETURN Chimera has outperformed it's peers since internalization of management in August 2015 All data as of December 31, 2017 *Assuming reinvestment of dividends Source: Bloomberg CIM US Equity REM US Equity SPY US Equity Cumulative
Slide 5: Historical Total Return
Information is unaudited, estimated and subject to change. 4 HISTORICAL TOTAL RETURN Chimera has consistently produced industry and market leading returns All data as of December 31, 2017 *Assuming reinvestment of dividends Source: Bloomberg 1 year 3 year 5 year Cumulative Total Return * 200% 150% 1
Slide 6: Dividends
Information is unaudited, estimated and subject to change. 5 DIVIDENDS Chimera has paid $3.96 billion in dividends since inception Common Dividends Preferred Dividends Special Dividends Cummulative Dividends Paid 700 600 500 400 300 200 100 0 $ (M illi on s) 5,000 4,000 3,000 2,000 1,000 0 $ (M illi
Slide 7: Dynamic Investment Strategy
Information is unaudited, estimated and subject to change. 6 DYNAMIC INVESTMENT STRATEGY Chimera's focus of investment activities has been through acquiring residential mortgage loans, non-agency RMBS, agency RMBS and agency CMBS Residential Mortgage Loans Chimera acquires seasoned residential mortg
Slide 8: Portfolio Composition
Information is unaudited, estimated and subject to change. 7 PORTFOLIO COMPOSITION Residential Mortgage Credit Portfolio Agency MBS Portfolio Total Portfolio Gross Asset Yield: 7.2% 3.0% 6.3% Financing Cost(2): 3.9% 2.0% 3.6% Net Interest Spread: 3.3% 1.0% 2.7% Net Interest Margin: 3.7% 1.4% 3.2% Po
Slide 9: Unique Mortgage Credit Portfolio
Information is unaudited, estimated and subject to change. 8 2016-2017 Chimera Securitizes $13.2 Billion Seasoned Loans • Performing loans with 10 years of payment history • 14 securitizations with all senior securities placed • $ 3.1 billion bonds retained for investment portfolio 2014 Chimera Acqu
Slide 10: Loan Portfolio Composition
Information is unaudited, estimated and subject to change. 9 LOAN PORTFOLIO COMPOSITION Chimera has acquired a unique portfolio of residential mortgage loans comprising 65% of the total portfolio All data as of December 31, 2017 Seasoned Low Loan Balance Mortgage Portfolio Total Current Unpaid Balan
Slide 11: The Securitization Process
Information is unaudited, estimated and subject to change. 10 THE SECURITIZATION PROCESS Chimera created long, term-funding through securitization Creation of senior and subordinate bonds $100mm Non-Agency Mortgage Bond or Loans $100mm Trust (Non-Agency RMBS Collateral) Deposit $70mm Senior A Note S
Slide 12: Securitization Activity
Information is unaudited, estimated and subject to change. 11 SECURITIZATION ACTIVITY Chimera has securitized over $23.5 billion of collateral and retained over $7 billion of bonds ($ in thousands) At Issuance Vintage Type Total Original Face Total Bonds Sold (Financing) Total Bonds Retained 2008 Lo
Slide 13: 2017 Securitization Activity
Information is unaudited, estimated and subject to change. 12 2017 SECURITIZATION ACTIVITY Chimera has securitized $6.9 billion in 2017 growing the investment portfolio to $20.9 billion Loan Securitizations CIM 2017-1 $526,267,000 January 2017 CIM 2017-2 $331,440,000 February 2017 CIM 2017-3 $2,434,
Slide 14: 2016 Securitization Activity
Information is unaudited, estimated and subject to change. 13 2016 SECURITIZATION ACTIVITY Chimera securitized $5.8 billion in 2016 growing the investment portfolio to $16.3 billion Loan Securitizations CIM 2016-1 $1,499,341,000 April 2016 CIM 2016-2 $1,762,177,000 May 2016 CIM 2016-3 $1,746,084,000
Slide 15: Consolidated RMBS Securitizations
Information is unaudited, estimated and subject to change. 14 ($ in thousands) At Issuance / Acquisition December 31, 2017 Vintage Deal Total OriginalFace Total of Tranches Sold Total of Tranches Retained Total Remaining Face Remaining Face of Tranches Sold Remaining Face of Tranches Retained 2014 C
Slide 16: Agency Portfolio Composition
Information is unaudited, estimated and subject to change. 15 AGENCY PORTFOLIO COMPOSITION Chimera has been increasing Agency CMBS , investing primarily in Ginnie Mae project loans Agency CMBS have less prepayment risk vs similar agency RMBS Agency CMBS Agency CMBS as a % of total Agency 2,200 2,000
Slide 17: Capital Management
Information is unaudited, estimated and subject to change. 16 CAPITAL MANAGEMENT Chimera continues to add shareholder value while diversifying its capital structure All data as of December 31, 2017 Preferred Stock 5,800,000 Shares 8.00% Fixed Series A Cumulative Redeemable Preferred Stock October 20
Slide 18: Summary
Information is unaudited, estimated and subject to change. 17 SUMMARY Chimera has developed a diversified portfolio of mortgage backed securities to maximize risk adjusted returns. Consistent dividend generation has equated to industry leading total rate of return for our common stock. Chimera has c
Slide 19: Appendix
Information is unaudited, estimated and subject to change. Appendix
Slide 20: Agency MBS Portfolio and Funding
Information is unaudited, estimated and subject to change. 19 Agency Securities – As of December 31, 2017 Repo Days to Maturity – As of December 31, 2017 Security Type Coupon (1) Current Face Weighted Average Market Price Weighted Average CPR Agency Pass- through 3.50% $850,775 102.9 9.9 4.00% 1,207
Slide 21: Interest Rate Sensitivity
Information is unaudited, estimated and subject to change. 20 Description ($ in thousands) - 100 Basis Points - 50 Basis Points Unchanged +50 Basis Points +100 Basis Points Agency Securities Market Value $ 4,610,532 $ 4,491,913 $ 4,364,828 $ 4,229,318 $ 4,089,486 Percentage Change 5.6 % 2.9 % - (3.1
Slide 22: chimerareit.com
chimerareit.com