Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q3 2023 Earnings Presentation
20 slides from Chimera Investment's earnings presentation, Nov 2, 2023
Slide 1: Investor Presentation Q3 2023
INVESTOR PRESENTATION Q3 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 approximately $2.5 billion, including approximately $1.6 billion common stock and $930 million pref
Slide 4: 2023 Activity Overview
2023 ACTIVITY OVERVIEW ➢ Continued focus on acquiring and securitizing residential mortgage loans. ✓ Purchased $1.3 billion of diversified residential mortgage loans. ✓ 56% were Seasoned RPLs, 37% were Non-QM (DSCR) Investor Loans, and the remainder were Business Purpose Loans (BPLs). ✓ Issued $841
Slide 5: Current Business Highlights
CURRENT BUSINESS HIGHLIGHTS Q3 2023 Post Q3 2023 (1) ➢ Investment Portfolio ➢ Investment Portfolio ✓ Book value of $6.90 per share compared to $7.29 per share in Q2 2023 ✓ Book value per share lower by approximately 2% to 3% post Q3 2023. ➢ Financing ➢ Financing ✓ Reduced our total recourse financin
Slide 6: Q3 2023 Total GAAP Portfolio
Q3 2023 TOTAL GAAP PORTFOLIO ✓ Our Capital Is Mainly Allocated to Residential Mortgage Loans Financed With Non-Recourse and Repo Financing. Q3 2023 GAAP Balance Sheet ($ in Millions) (1) % Fixed-Rate Financing Total Assets $12,887 Total Liabilities $10,393 Q3 2023 October 31, 2023 ◼ 82% Fixed Rate ◼
Slide 7: Recourse Financing & Interest Rate Hedging
RECOURSE FINANCING & INTEREST RATE HEDGING Q3 2023 Overview Q3 2023 Recourse Financing & Interest Rate Hedges ($ in Millions) ◼ $2.6 billion in repo liabilities Total $2,604 Total $2,500 ◼ $1.1 billion of MtM financing $720 Total Non-MtM & ◼ 1.0x recourse leverage Limited MtM $1,500 Interest Rate $4
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 80% of loans originated prior to 2008. historic levels of home equity due to HPA. ◼ Acquires residential mortgage loans
Slide 9: Securitization Activity
SECURITIZATION ACTIVITY ◼ Chimera has completed 104 deals and securitized $52.4 billion of residential mortgage Chimera Securitization History ($ in Millions) assets which includes Legacy Non-Agency RMBS, Seasoned Reperforming Loans, Agency Eligible Investor Loans, Non-QM DSCR , and Prime Jumbo loan
Slide 10: Q3 2023 RPL Securitizations Credit Performance
Q3 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+ Day Delinquency (%) 3 Month Prepayment Rate (CPR %) Q3 2023 RPL Securitizations Loan
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
Slide 13: Financial Metrics
FINANCIAL METRICS GAAP Earnings Per Share Earnings Available For Distribution (EAD) Per Share(1) GAAP Book Value Per Share Q3 2023 Economic Return is -2.9% $0.13 $0.08 $0.12 $7.29 $6.90 ($0.07) Q3 23 Q2 23 Q3 23 Q2 23 Q3 23 Q2 23 Recourse Leverage Cash ($ in Millions) Unencumbered Assets ($ in Milli
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 Q3 2023 Q2 2023 Securitization Financing Securitization Financing Direct Holdings Total Direct Holdings Total Trusts Trusts Trusts Trusts Investments: Non-Agency RMBS, at fair value 774,783,475 249,825,136 - 1,024,608,611 829,765,389 262,439,702 - 1,092,205,091
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 ORIGINAL FACE OF ORIGINAL FACE 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
Slide 20: We, CHIMERA “SESE
We, CHIMERA “SESE