Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Investor Presentation (March 2023)
16 slides from Chimera Investment's investor presentation, Mar 6, 2023
Slide 1: Investor Presentation
INVESTOR PRESENTATION March 6, 2023
Slide 2: Disclaimer
DISCL SCLAI AIM MER 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
Slide 3: Chimera Is a Hybrid Mortgage REIT
CHIMERA IS A HYBRID MORTGAGE REIT Our Mission Is To Deliver Attractive, Risk-Adjusted Returns. ▪ Established in 2007. ▪ Internally managed since August 2015. ▪ Total Capital $2.7 Billion. ▪ Since inception, we have declared $5.9 billion common and preferred stock dividends. ▪ Total preferred stock $
Slide 4: Current Business Highlights
CURRENT BUSINESS HIGHLIGHTS Investment Portfolio Financing Q4 2022 Post Q4 2022 Q4 2022 Post Q4 2022 Book value of $7.49 per share up from Book value relatively unchanged from Q4 Completed $250 million Non-Mark-to- Further reduced floating rate and Mark- $7.44 per share in Q3 2022. 2022. Mar
Slide 5: Q4 2022 Total GAAP Portfolio
Q4 2022 TOTAL GAAP PORTFOLIO Our Capital Is Mainly Allocated to Residential Mortgage Loans Financed With Low-Rate, Non-Recourse Financing. Q4 2022 GAAP Balance Sheet ($ in Millions)(1) Total Assets $13,402 Total Liabilities $10,736 % of Fixed-Rate Financing As of Q4 2022: As of Feb 2023: ▪ 87% Fix
Slide 6: Residential Mortgage Loans Overview
RESIDENTIAL MORTGAGE LOANS OVERVIEW Loan Process Overview Chimera’s loan portfolio is very seasoned with Chimera’s loan portfolio has benefited from 79% of loans originated prior to 2008. historic levels of home equity due to HPA. ▪ Acquires residential mortgage loans from banks, non-bank financial
Slide 7: Securitization Activity
SECURITIZATION ACTIVITY ▪ Chimera has completed 96 deals and securitized $49.9 billion of residential mortgage Securitization History ($ in Millions) assets which includes Legacy Non-Agency RMBS, Reperforming Loans, Investor Loans, 9,000 Non-QM, and Prime Jumbo loans, since inception. 8,000 ▪ Chimer
Slide 8: 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 20 RPL Securitizations Loan Characteri
Slide 9: Recourse Financing & Interest Rate Hedging
RECOURSE FINANCING & INTEREST RATE HEDGING Q4 2022 Overview Q4 2022 Recourse Financing & Hedges ($ in Millions) ▪ $3.4 billion in repo liabilities. Total $3,435 ▪ 1.3x recourse leverage. 609 Non MTM Total $2,485 ▪ 47% of repos are Non-Mark-To-Market or Margin Holiday. 633 ▪ Interest rate swaps hedge
Slide 10: Our Positioning in 2023
OUR POSITIONING IN 2023 Equity extraction from our existing RPL portfolio serves as a significant source of capital. 16 deals currently callable, an additional 4 deals before year-end, 4 deals in 2024, and 3 deals in 2025. Capital The longer these deals are outstanding, the greater the potenti
Slide 11: Appendix
APPENDIX 11
Slide 12: Financial Metrics
FINANCIAL METRICS GAAP Earnings Per Share Earnings Available For Distribution GAAP Book Value Per Share Q4 Total Economic Return is 3.82% (EAD) Per Share(4) $0.34 $0.27 $7.49 $7.44 $0.11 ($0.88) Q4 22 Q3 22 Q4 22 Q3 22 Q4 22 Q3 22 Recourse Leverage Cash Unencumbered Assets Market Value ($ in Million
Slide 13: 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 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: Information is unaudited, estimated and subject to change.
Information is unaudited, estimated and subject to change. 16
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