Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q1 2024 Earnings Presentation
19 slides from Chimera Investment's earnings presentation, May 9, 2024
Slide 1: Investor Presentation Q1 2024
INVESTOR PRESENTATION Q1 2024
Slide 2: Disclaimer
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 shou
Slide 3: Chimera is a Credit-Focused Hybrid Mortgage REIT
CHIMERA IS A CREDIT-FOCUSED HYBRID MORTGAGE REIT ✓ We strive to provide attractive risk-adjusted returns and long-term value, using securitization, asset selection and leverage, for our shareholders. ▪ We are a Real Estate Investment Trust (REIT) founded in 2007 ▪ We have been internally managed sin
Slide 4: Q1 2024 Overview
Q1 2024 OVERVIEW ▪ Book value of $7.11 per share in Q1 2024 compared to $6.75 per share in Q4 2023 ➢ Economic return of 7.0% ▪ Remained active with our portfolio during the quarter ➢ Invested approximately $34 million in high-yielding subordinated tranches of new issue mortgage securitizations backe
Slide 5: Q1 2024 Total GAAP Portfolio
Q1 2024 TOTAL GAAP PORTFOLIO ✓ Our capital is mainly allocated to residential mortgage loans financed with non-recourse and repo financing. Q1 2024 GAAP Balance Sheet ($ in Millions) (1) Our Funding Strategy Total Assets $12,547 Total Liabilities $9,901 ▪ We use leverage to enhance our returns and t
Slide 6: Recourse Financing & Interest Rate Hedging
RECOURSE FINANCING & INTEREST RATE HEDGING Q1 2024 Overview Q1 2024 Recourse Financing & Interest Rate Hedges ($ in Millions) ▪ $2.4 billion in repo liabilities Total $2,385 Total $3,000 ▪ $965 million of MtM financing $450 Total Non-MtM & $1,000 Interest Rate $245 Limited MtM $1,439 Swaptions ▪ 0.9
Slide 7: 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 benefitted from 80% of loans originated prior to 2008. historic levels of home equity due to HPA. ▪ Acquires residential mortgage loans
Slide 8: Securitization Activity
SECURITIZATION ACTIVITY ▪ Chimera has completed 104 deals and securitized $52 billion of residential mortgage assets which includes Legacy Non-Agency RMBS, Seasoned Reperforming Loans, Agency Eligible Investor Loans, Non-QM DSCR , and Prime Jumbo loans, since inception. ▪ Chimera has RMBS & Loan iss
Slide 9: Q1 2024 RPL Securitizations Credit Performance
Q1 2024 RPL SECURITIZATIONS CREDIT PERFORMANCE Reperforming Loans are a cornerstone of our portfolio. Residential Credit fundamentals and performance have been stable, given home price appreciation and the fully seasoned nature of our loans. 60+ Day Delinquency (%) 3 Month Prepayment Rate (CPR %) 20
Slide 10: Summary
SUMMARY ▪ 16 securitizations are currently callable, 4 more will be callable later in 2024, and 5 securitizations are callable in 2025 ▪ Cash take-out from our existing securitizations may serve as a source of capital Capital ▪ Chimera evaluates the cost of financing, cash take-out, liquidity needs
Slide 11: Appendix
APPENDIX
Slide 12: Financial Metrics
FINANCIAL METRICS GAAP Earnings Per Share Earnings Available For Distribution (EAD) Per Share(1) GAAP Book Value Per Share Q1 2024 Economic Return of 7.0% $0.45 $7.41 $0.13 $0.13 $0.13 $7.29 $0.12 $0.12 $7.11 $0.17 $6.90 $0.08 $0.05 $6.75 ($0.07) Q1'23 Q2'23 Q3'23 Q4'23 Q1'24 Q1'23 Q2'23 Q3'23 Q4'23
Slide 13: 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 14: 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 15: Net Asset Breakdown
NET ASSET BREAKDOWN Net Asset Breakout Q1 2024 Q4 2023 Direct Securitization Financing Direct Securitization Financing Total Total Holdings Trusts Trusts Holdings Trusts Trusts Investments: Non-Agency RMBS, at fair value 815,376,991 244,485,608 - 1,059,862,600 794,812,473 248,993,153 - 1,043,805,625
Slide 16: 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 17: 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 $25MM Recourse Financing Of Subordinate B Note Subordinate B No
Slide 18: Consolidated Loan Securitizations
CONSOLIDATED LOAN SECURITIZATIONS ORIGINAL FACE ($ Thousands) REMAINING FACE ($ Thousands) WEIGHTED AVERAGE COUPON (WAC) VINTAGE DEAL TOTAL SOLD RETAINED TOTAL SOLD RETAINED Outstanding Bonds Sold Underly ing Collateral FIRST CALL DATE 2023 CIM 2023-I2 238,530 202,750 35,780 218,544 182,764 35,780 6
Slide 19: We, CHIMERA “SESE
We, CHIMERA “SESE