Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q1 2023 Earnings Presentation
19 slides from Chimera Investment's earnings presentation, 2023
Slide 1: Investor Presentation Q1 2023
INVESTOR PRESENTATION Q1 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 capital $2.6 billion. • Chimera has distributed $6 billion to common and preferred stockholders since inception. •
Slide 4: 2023 Activity Overview
2023 ACTIVITY OVERVIEW • Continued focus on acquiring and securitizing residential mortgage loans. • Committed to purchase $1.25 billion of diversified residential mortgage loans. • 57% were Seasoned RPLs, 39% were Non-QM (DSCR) Investor Loans, and the remainder were Business Purpose Loans (BPLs). •
Slide 5: Current Business Highlights
CURRENT BUSINESS HIGHLIGHTS Investment Portfolio Financing Q1 2023 Post Q1 2023 Q1 2023 Post Q1 2023 (1) • Book value of $7.41 per share compared • Book value relatively unchanged from Q1 • Eliminated exposure to Credit Suisse by • Reduced our total recourse financing to $7.49 per share in Q4 2022.
Slide 6: Q1 2023 Total GAAP Portfolio
Q1 2023 TOTAL GAAP PORTFOLIO • Our Capital Is Mainly Allocated to Residential Mortgage Loans Financed With Non-Recourse and Repo Financing. Q1 2023 GAAP Balance Sheet ($ in Millions)(1) Total Assets $14,203 Total Liabilities $11,554 % of Fixed-Rate Financing Q1 2023: Post Q1 2023 (3): • 86% Fixed Ra
Slide 7: Recourse Financing & Interest Rate Hedging
RECOURSE FINANCING & INTEREST RATE HEDGING Q1 2023 Overview Q1 2023 Recourse Financing & Hedges ($ in Millions) • $3.20B in repo liabilities. Total $3,195 • $1.62B of Mark-to-Market financing. $732 Non MTM • 1.2x recourse leverage. $489 Total $2,000 • 50% of repos are Non-Mark-To-Market and Margin H
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 85% of loans originated prior to 2008. historic levels of hom
Slide 9: Securitization Activity
SECURITIZATION ACTIVITY • Chimera has completed 103 deals and securitized $52.2 billion of residential mortgage Chimera Securitization Issuance History assets which includes Legacy Non-Agency RMBS, Reperforming Loans, Investor Loans, Non-QM DSCR , and Prime Jumbo loans, since inception(1). ($ in Mil
Slide 10: RPL Securitizations Credit Performance
RPL SECURITIZATIONS CREDIT Reperforming Loans are a cornerstone of our portfolio. Credit PERFORMANCE performance has been stable given home price appreciation and the fully seasoned nature of our loans. 60+ Days Delinquency % 3Month CPR (Voluntary Prepayments) 20 RPL Securitizations Loan Characteris
Slide 11: Our Positioning 2023
OUR POSITIONING 2023 • Equity extraction from our existing RPL portfolio serves as a significant source of capital. • 14 deals callable in 2023, 4 deals callable in 2024, and 6 deals callable in 2025. Capital • The longer these deals are outstanding, the greater the potential equity take-out. • At t
Slide 12: Appendix
APPENDIX
Slide 13: Financial Metrics
FINANCIAL METRICS GAAP Earnings Per Share Earnings Available For Distribution GAAP Book Value Per Share (EAD) Per Share(1) Q1’23 Total Economic Return Is 2.0% $0.34 $7.49 $0.13 $7.41 $0.11 $0.17 Q1 23 Q4 22 Q1 23 Q4 22 Q1 23 Q4 22 Recourse Leverage Cash Unencumbered Assets Market Value ($ in Million
Slide 14: 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 15: The Securitization Process
THE SECURITIZATION PROCESS Chimera has created term-funding through securitization. $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 Note
Slide 16: Consolidated Loan Securitizations
CONSOLIDATED LOAN SECURITIZATIONS 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-R4 393,997 297,270 96,727 393,997 297,270 96,727 April 2028 2023
Slide 17: 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 18: 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 19: Information is unaudited, estimated and subject to change.
Information is unaudited, estimated and subject to change. 19