Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q1 2025 Earnings Presentation
24 slides from Chimera Investment's earnings presentation, May 8, 2025
Slide 1: Investor Presentation Q1 2025
PROPRIETARY & CONFIDENTIAL INVESTOR PRESENTATION Q1 | 2025
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: Non-GAAP Financial Measures
Non-GAAP Financial Measures This presentation includes certain non-GAAP financial measures, including earnings available for distribution. We believe the non-GAAP financial measures are useful for management, investors, analysts, and other interested parties in evaluating our performance but should
Slide 4: Chimera Investment Corp.
Chimera Investment Corp. Hybrid mortgage REIT delivering diversified investment solutions across the mortgage credit product spectrum. HYBRID ▪ Invests across the spectrum of mortgage products, including, residential loans and non-agency and agency securities. INVESTMENT APPROACH ▪ Team expertise an
Slide 5: Chimera Q1 2025 Highlights
Chimera Q1 2025 Highlights Against a volatile market backdrop, we successfully increased liquidity, refinanced debt, and diversified sources of income. BOOK VALUE PER SHARE CHANGE BOOK VALUE ▪ Q1 2025 book value per share was $21.17 compared to $19.72 in Q4 2024, or +7.4% increase. 7.4% EARNINGS AVA
Slide 6: Scaled mortgage loan portfolio with robust securitization market presence
Scaled mortgage loan portfolio with robust securitization market presence INVESTMENT PORTFOLIO(2) Fair Market Value as of March 31, 2025 KEY FUNDING METRICS RE- $9,486 SECURITIZED DEBT (NON-RECOURSE) SECURITIZED PERFORMING OUTSTANDING SECURITIZATIONS(2) MILLION One of the largest RPL securitization
Slide 7: Investment Summary
Investment Summary Weighted Average Securitized Secured Principal or Weighted Book Yield at Securitized Debt Securitized Securitized Financing Notional Amortized Average Period- Debt Current Amortized Debt Fair Debt Book Agreements Net (dollars in thousands) Value ($) Cost ($) Fair Value ($) Coupon
Slide 8: Floating Rate Funding
Floating Rate Funding We seek to lock-in our funding costs with non-recourse term securitization along with hedging our floating rate liabilities. Q1 2025 EXPECTED REPO MATURITIES ($ MILLIONS) INTEREST RATE AVERAGE PAY FLOATING RATE $1,600 Q1 2025 EXPECTED REPO MATURITIES MtM Limited($MtM MILLIONS)
Slide 9: Secured Recourse Financing Update
Secured Recourse Financing Update ▪ $2.2 billion of interest rate swaps (including ERIS SOFR swaps) and a $1.0 billion cap hedge 159% of our floating rate liabilities.(4) ▪ Weighted average pay-fixed rate of 3.53% on swap. ▪ Weighted average maturity on swaps is less than one year. ▪ Interest rate c
Slide 10: Residential Mortgage Overview
Residential Mortgage Overview ▪ We acquire residential mortgage loans from banks, non-bank financial institutions and government sponsored agencies. ▪ We finance purchases of mortgage loans via warehouse facilities and repurchase agreements (recourse financing). ▪ We securitize mortgage loans by sel
Slide 11: Residential Mortgage Loans Overview
Residential Mortgage Loans Overview Our loan portfolio has benefitted from historic levels of home equity due to home price appreciation. S&P Case Shiller National HPI(10) HPI Updated LTV(10) (%) 350 66 62 300 52 49 45 43 44 250 200 150 100 2000 2005 2010 2015 2020 2025 2019 2020 2021 2022 2023 2024
Slide 12: Securitization Activity
Securitization Activity We have completed 108 deals and securitized $54 billion of residential mortgage assets, including Legacy Non-Agency RMBS, Seasoned Reperforming Loans, Agency Eligible Investor Loans, Non-QM DSCR loans, and Prime Jumbo loans, since inception. ▪ Re-securitization is an addition
Slide 13: RPL Securitization Credit Performance
RPL Securitization Credit Performance Reperforming Loans are a cornerstone of our portfolio. Residential credit fundamentals and performance have been stable, given home price appreciation and the fully seasoned nature of our loans. Q1 2025 KEY LOAN STATISTICS 60+ DAY DELINQUENCY EXPERIENCE (%) 3-MO
Slide 14: Third-Party Asset Management Highlights
Third-Party Asset Management Highlights Chimera’s third-party asset management business provides advisory and execution services for mortgage loan investors. LOANS UNDER MGMT. TRANSACTION GROWTH Loans Under Management ($ Billions)(11)(12) GROWTH (YoY)(11)(12) (YoY)(11) $25 44.8% 166% $20 $15 $22.0 $
Slide 15: Appendix
Appendix Q1.2025 | Investor Presentation
Slide 16: Liquidity Enhancement Through Securitization
Liquidity Enhancement Through Securitization Exercised call rights on 7 non-REMIC securitizations and re-securitized the collateral in 2 new securitizations, releasing $187 million of investable capital. SECURITIZED RE-PERFORMING MORTGAGE LOANS $646m RE-PERFORMING MORTGAGE LOANS We redeemed bond
Slide 17: Financial Metrics
Financial Metrics Earnings Available For Distribution GAAP Earnings Per Share (EAD) Per Share(14) GAAP Book Value Per Share $1.77 $1.36 $1.39 $0.41 Q/Q Economic Return: 9.2% $22.35 $0.41 $0.37 $0.37 $0.37 $0.36 $21.32 $21.27 $21.17 $19.72 ($2.07) Q1'24 Q2'24 Q3'24 Q4'24 Q1'25 Q1'24 Q2'24 Q3'24 Q4'24
Slide 18: Earnings Available for Distribution
Earnings Available for Distribution Earnings available for distribution is a non-GAAP measure and is defined as GAAP net income excluding (i) unrealized gains or losses on financial instruments carried at fair value with changes in fair value recorded in earnings, (ii) realized gains or losses on th
Slide 19: Earnings Available for Distribution
Earnings Available for Distribution The following table provides GAAP measures of net income and net income per diluted share available to common stockholders for the periods presented and details with respect to reconciling the line items to Earnings available for distribution and related per avera
Slide 20: Net Interest Spread
Net Interest Spread The table below shows our average earning assets held, interest earned on assets, yield on average interest earning assets, average debt balance, economic interest expense, economic average cost of funds, economic net interest income, and net interest rate spread for the periods
Slide 21: Investment Summary (12/31/24)
Investment Summary (12/31/24) Weighted Average Securitized Secured Principal or Weighted Book Yield at Securitized Debt Securitized Securitized Financing Notional Amortized Average Period- Debt Current Amortized Debt Fair Debt Book Agreements Net (dollars in thousands) Value ($) Cost ($) Fair Value
Slide 22: Consolidated Loan Securitizations
Consolidated Loan Securitizations ORIGINAL FACE ($ Thousands) REMAINING FACE ($ Thousands) WEIGHTED AVERAGE COUPON (WAC) VINTAGE DEAL TOTAL SOLD RETAINED TOTAL SOLD RETAINED Outstanding Bonds Sold Underlying Collateral FIRST CALL DATE 2025 CIM 2025-R1 391,790 333,021 58,769 391,790 333,021 58,769 5.
Slide 23: Endnotes
Endnotes 1) Unaudited third-party managed loans and real estate. Includes total debt associated with discretionary private credit funds and non-discretionary asset management mandates. Data is sourced and reconciled to monthly mortgage loan servicer detail which is subject to subsequent adjustment a
Slide 24: Information unaudited, estimated, and subject to change.
Information unaudited, estimated, and subject to change.