Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q4 2023 Earnings Presentation
20 slides from Chimera Investment's earnings presentation, Feb 14, 2024
Slide 1: Investor Presentation Q4 2023
INVESTOR PRESENTATION Q4 2023
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, through the use of securitization, asset selection and leverage, for our shareholders. New York City-based Real Estate Investment Trust (REIT) founded in 2007 Internally
Slide 4: 2023 Full Year Activity Overview
2023 FULL YEAR ACTIVITY OVERVIEW Continued focus on acquiring and securitizing residential mortgage loans. Purchased $1.4 billion of residential mortgage loans. 50% were Seasoned Reperforming Loans (RPLs), 33% were Non-QM (DSCR) Investor Loans, and 17% were Business Purpose Loans (BPLs). Iss
Slide 5: Current Business Highlights
CURRENT BUSINESS HIGHLIGHTS Q4 2023 Full Year 2023 Investment Portfolio Investment Portfolio Book value of $6.75 per share compared to $6.90 per share in Q3 2023 Purchased $1.4 billion of residential mortgage loans Economic return of -0.58% $708 million of Seasoned RPLs Purchased approxima
Slide 6: Q4 2023 Total GAAP Portfolio
Q4 2023 TOTAL GAAP PORTFOLIO Our Capital Is Mainly Allocated to Residential Mortgage Loans Financed With Non-Recourse and Repo Financing. Q4 2023 GAAP Balance Sheet ($ in Millions) (1) Our Funding Strategy Total Assets $12,928 Total Liabilities $10,369 We use leverage to enhance our returns and
Slide 7: Recourse Financing & Interest Rate Hedging
RECOURSE FINANCING & INTEREST RATE HEDGING Q3 2023 Overview Q3 2023 Recourse Financing & Interest Rate Hedges ($ 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 81% of loans originated prior to 2008. historic levels of home equity due to HPA. Acquires residential mortgage loans
Slide 9: Q4 2023 RPL Securitizations Credit Performance
Q4 2023 RPL SECURITIZATIONS CREDIT PERFORMANCE Reperforming Loans are a cornerstone of our portfolio. Residential Credit fundamentals and performance has been stable given home price appreciation and the fully seasoned nature of our loans. 60+ Day Delinquency (%) 3 Month Prepayment Rate (CPR %) Q4 2
Slide 10: Securitization Activity
SECURITIZATION ACTIVITY Chimera has completed 104 deals and securitized $52.4 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 i
Slide 11: Summary
SUMMARY Cash take-out from our existing RPL portfolio serves as a significant source of capital. Capital 14 securitizations are currently callable, 4 securitizations are callable in 2024, and 6 securitizations are callable in 2025. The longer these deals are outstanding, the greater the potent
Slide 12: Appendix
APPENDIX Q4 2023 Re. CHIMERA 'S35238aibn
Slide 13: Financial Metrics
FINANCIAL METRICS GAAP Earnings Per Share Earnings Available For Distribution (EAD) Per Share(1) GAAP Book Value Per Share Q4 2023 Economic Return of -0.58% Full-Year Economic Return of -0.53% $0.34 $7.49 $7.41 $0.13 $0.13 $0.13 $7.29 $0.17 $0.12 $0.11 $0.08 $0.05 $6.90 $6.75 ($0.07) Q4 22 Q1 23 Q2
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 Q4 2023 Q3 2023 Securitization Financing Securitization Financing Direct Holdings Total Direct Holdings Total Trusts Trusts Trusts Trusts Investments: Non-Agency RMBS, at fair value 794,812,473 248,993,153 - 1,043,805,625 774,783,475 249,825,136 - 1,024,608,611
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 No
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