Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q2 2023 Earnings Presentation
20 slides from Chimera Investment's earnings presentation, Aug 3, 2023
Slide 1: Investor Presentation Q2 2023
INVESTOR PRESENTATION Q2 2023
Slide 2: Disclaimer
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 projections and, consequently, readers should not rely
Slide 3: Chimera is a Residential Credit Hybrid Mortgage REIT
CHIMERA IS A RESIDENTIAL CREDIT HYBRID MORTGAGE REIT Our Mission Is To Deliver Attractive, Risk-Adjusted Returns. Established in 2007 Internally managed since August 2015 Total equity capital of $2.6 billion, including $1.7 billion common stock and $930 million preferred stock (1) Chimera (C
Slide 4: 2023 Activity Overview
2023 ACTIVITY OVERVIEW ‣ Continued focus on acquiring and securitizing residential mortgage loans. ✓ Purchased $1.2 billion of diversified residential mortgage loans. ✓ 57% were Seasoned RPLs, 38% were Non-QM (DSCR) Investor Loans, and the remainder were Business Purpose Loans (BPLs). ✓ Issued $841
Slide 5: Current Business Highlights
CURRENT BUSINESS HIGHLIGHTS Investment Portfolio Financing Q2 2023 Post Q2 2023 (1) Q2 2023 Post Q2 2023 (1) ✓ Book value of $7.29 per share compared ✓ Book value relatively unchanged from Q2 ✓ Reduced our total recourse financing ✓ Recourse leverage of 1.0x unchanged to $7.41 per share in Q1 2023 2
Slide 6: Q2 2023 Total GAAP Portfolio
Q2 2023 TOTAL GAAP PORTFOLIO ✓ Our Capital Is Mainly Allocated to Residential Mortgage Loans Financed With Non-Recourse and Repo Financing. Q2 2023 GAAP Balance Sheet ($ in Millions)(1) Total Assets $13,509 Total Liabilities $10,930 % of Fixed-Rate Financing Q2 2023: July 31, 2023: 82% Fixed Rate
Slide 7: Recourse Financing & Interest Rate Hedging
RECOURSE FINANCING & INTEREST RATE HEDGING Q2 2023 Overview Q2 2023 Recourse Financing & Hedges ($ in Millions) Eliminated RPL warehouse loan exposure Total $2,687 Total $2,500 $2.7B in repo liabilities $724 $1.2B of MTM financing Non-MTM Interest Rate 1.0x recourse leverage $474 $1,500 Swap
Slide 8: Residential Mortgage Loans Overview
RESIDENTIAL MORTGAGE LOANS OVERVIEW Chimera’s Residential Mortgage Loan Process Overview Chimera’s loan portfolio is very seasoned with Chimera’s loan portfolio has benefited from Acquires residential mortgage loans from banks, non-bank 81% of loans originated prior to 2008. historic levels of hom
Slide 9: Securitization Activity
SECURITIZATION ACTIVITY Chimera has completed 104 deals and securitized $52.4 billion of residential mortgage Chimera Securitization History assets which includes Legacy Non-Agency RMBS, Seasoned Reperforming Loans, Agency Eligible Investor Loans, Non-QM DSCR , and Prime Jumbo loans, since incepti
Slide 10: Q2 2023 RPL Securitizations Credit Performance
Q2 2023 RPL SECURITIZATIONS Reperforming Loans are a cornerstone of our portfolio. Credit CREDIT PERFORMANCE performance has been stable given home price appreciation and the fully seasoned nature of our loans. 60+ Days Delinquency % 3mo CPR % 18 18 Q2 2023 RPL Securitizations Loan Characteristics 1
Slide 11: Our Positioning 2023
OUR POSITIONING 2023 ✓ Cash take-out from our existing RPL portfolio serves as a significant source of capital. Capital ✓ 14 deals callable in 2023, 4 deals callable in 2024, and 6 deals callable in 2025. ✓ The longer these deals are outstanding, the greater the potential cash take-out. ✓ Deployed c
Slide 12: Appendix
APPENDIX Re. CHIMERA 'S35238aibn
Slide 13: Financial Metrics
FINANCIAL METRICS GAAP Earnings Per Share Earnings Available For Distribution GAAP Book Value Per Share (EAD) Per Share(1) Q2 2023 Economic Return is 0.8% $0.17 $0.13 $0.12 $7.29 $7.41 $0.08 Q2 23 Q1 23 Q2 23 Q1 23 Q2 23 Q1 23 Recourse Leverage Cash ($ in Millions) Unencumbered Assets Market Value (
Slide 14: Earnings Available for Distribution
EARNINGS AVAILABLE FOR DISTRIBUTION Earnings available for distribution is a non-GAAP measure and is defined as GAAP net income excluding unrealized gains or losses on financial instruments carried at fair value with changes in fair value recorded in earnings, realized gains or losses on the sales o
Slide 15: Earnings Available for Distribution (Continued)
EARNINGS AVAILABLE FOR DISTRIBUTION (CONTINUED) The following table provides GAAP measures of net income and net income per diluted share available to common stockholders for the periods presented and details with respect to reconciling the line items to Earnings available for distribution and relat
Slide 16: Net Asset Breakdown
NET ASSET BREAKDOWN Net Asset Breakout Q2 2023 Q1 2023 Securitization Financing Securitization Financing Direct Holdings Total Direct Holdings Total Trusts Trusts Trusts Trusts Investments: Non-Agency RMBS, at fair value 829,765,389 262,439,702 - 1,092,205,091 869,751,381 271,024,887 - 1,140,776,268
Slide 17: Net Interest Spread
NET INTEREST SPREAD The table below shows our average earning assets held, interest earned on assets, yield on average interest earning assets, average debt balance, economic interest expense, economic average cost of funds, economic net interest income, and net interest rate spread for the periods
Slide 18: The Securitization Process
THE SECURITIZATION PROCESS Chimera has created term-funding through securitization (1). $75MM Senior A Note Sold to 3rd Party $100MM Deposit $100MM Trust Non-Agency Mortgage (Non-Agency RMBS Bond or Loans Collateral) $15MM Repo Financing $25MM Recourse Financing Of Subordinate B Note Subordinate B N
Slide 19: Consolidated Loan Securitizations
CONSOLIDATED LOAN SECURITIZATIONS (dollars in thousands) (dollars in thousands) TOTAL TOTAL OF TOTAL OF TOTAL REMAINING FACE OF REMAINING FACE OF VINTAGE DEAL ORIGINAL FACE TRANCHES SOLD TRANCHES RETAINED REMAINING FACE TRANCHES SOLD TRANCHES RETAINED FIRST CALL DATE 2023 CIM 2023-I2 238,530 202,750
Slide 20: We, CHIMERA “SESE
We, CHIMERA “SESE