Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q4 2024 Earnings Presentation
23 slides from Chimera Investment's earnings presentation, Feb 12, 2025
Slide 1: Investor Presentation Q4 2024
PROPRIETARY & CONFIDENTIAL Investor Presentation Q4 | 2024
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 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 for our shareholders using securitization, asset selection, and leverage. ▪ We are a Real Estate Investment Trust (REIT) founded in 2007. ▪ As a result of the Palisades Acquisit
Slide 5: Q4'24 Overview
Q4’24 Overview ▪ Our book value per share for Q4’24 was $19.72, compared to $22.35 in Q3’24. ▪ Generated $0.37 per share of Earnings Available for Distribution (EAD).(1) ✓ Declared a dividend of $0.37 per common share in the fourth quarter of 2024. ▪ Completed acquisition of Palisades Group, an alte
Slide 6: 2024 Year in Review
2024 Year in Review Against a volatile market backdrop, we managed our portfolio through increased liquidity and diversified sources of income. ▪ Economic return of 4.4% for the year.(1) ▪ Sponsored CIM 2024-R1, a $468 million securitization of ✓ Declared $1.42 dividends per share in 2024. seasoned
Slide 7: Q4'24 GAAP Balance Sheet
Total Portfolio | GAAP Balance Sheet Our capital is mainly allocated to residential mortgage loans, financed with securitized debt (non-recourse) and repo (secured recourse) financing. Q4’24 GAAP Balance Sheet ($ Millions)(1) Total Assets ($ Millions): $13,116(2) Total Liabilities ($ Millions): $10,
Slide 8: Capital Structure Overview
Capital Structure Overview We use several funding sources to finance our investments including repurchase agreements (repo), warehouse lines, unsecured debt and, most importantly, asset securitization. Total Liabilities & Stockholders’ Equity ($ Millions): $13,116(1) Floating Rate Sensitivity ($ Mil
Slide 9: Secured Recourse Financing & Interest Rate Hedging
Secured Recourse Financing & Interest Rate Hedging Q4’24 Secured Recourse Financing & Interest Rate Hedges ($ in Millions) Q4’24 Total: $2,824 Total: $2,000 $423 Interest Rate $500 ▪ $2.8 billion in repo (secured recourse financing) liabilities $240 Non-MtM & Swaptions Limited MtM: ▪ $1.5 billion of
Slide 10: Residential Mortgage Overview
Residential Mortgage Overview Our Residential Mortgage Loan Process Our loan portfolio is very seasoned, with 77% of loans ▪ We acquire residential mortgage loans from banks, non-bank originated 2008 and prior. financial institutions and government sponsored agencies. Loan Origination Year ($ Billio
Slide 11: Residential Mortgage Loans Overview
Residential Mortgage Loans Overview Our loan portfolio has benefitted from historical levels of home equity due to home price appreciation. S&P Case Shiller National HPI(1) HPI Updated LTV(1) (%) 350 66 62 300 52 49 45 43 250 200 150 100 2000 2004 2008 2012 2016 2020 2024 2019 2020 2021 2022 2023 20
Slide 12: Securitization Activity
Securitization Activity We have completed 105 deals and securitized $53 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. ▪ We currently have RMBS & Loan is
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. 3 Month Prepayment Rate Q4’24 Key Loan Statistics 60+ Day Delinquen
Slide 14: Q4'24 Summary
Q4’24 Summary • Completed acquisition of Palisades Group, an alternative asset manager that manages and invests, on behalf of third parties, in residential real estate assets across a broad spectrum of credit products. • We expect to continue to acquire and securitize mortgage loans as well as furth
Slide 15: Appendix
Appendix Q4.2024 | Investor Presentation
Slide 16: Financial Metrics
Financial Metrics Earnings Available For Distribution GAAP Earnings Per Share (EAD) Per Share(1) GAAP Book Value Per Share $1.36 $1.39 2024 Economic Return: 4.4% $0.40 $0.41 $22.35 $0.16 $0.37 $0.37 $0.37 $0.36 $21.32 $21.27 $20.25 $19.72 ($2.07) Q4'23 Q1'24 Q2'24 Q3'24 Q4'24 Q4'23 Q1'24 Q2'24 Q3'24
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 (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 18: 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 19: Net Asset Breakout
Net Asset Breakout Net Asset Breakout Q4'24 Q3'24 Securitization Financing Securitization Financing Direct Holdings Total Direct Holdings Total Trusts Trusts Trusts Trusts Investments: Non-Agency RMBS, at fair value 834,826,241 229,342,847 - 1,064,169,087 880,819,478 241,016,668 - 1,121,836,146 Agen
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: Securitization Process
Securitization Process Chimera (CIM) has created term-funding through securitization.(1) In the example below, CIM buys $100MM Non-Agency mortgage bonds or loans from a dealer for securitization. Principal & Recourse Interest Financing Deposit $75 MM Senior A Note Sold to Third Party $100 MM $100 MM
Slide 22: Consolidated Loan Securitizations
CONSOLIDATED LOAN SECURITIZATIONS ORIGINAL FACE ($ Thousands) REMAINING FACE ($ Thousands) WEIGHTED AVERAGE COUPON (WAC) VINTAGE DEAL TOTAL SOLD RETAINED TOTAL SOLD RETAINED Outstanding Bonds Sold Underlying Collateral FIRST CALL DATE 2024 CIM 2024-R1 468,148 351,813 116,335 446,882 330,560 116,321
Slide 23: Information unaudited, estimated, and subject to change.
Information unaudited, estimated, and subject to change.