Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q1 2023 Earnings Presentation
19 slides from Chimera Investment's earnings presentation, May 4, 2023
Slide 1: Investor Presentation Q1 2023
INVESTOR PRESENTATION Q1 2023
Slide 2: Disclaimer
DISCLAIMER 2 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 re
Slide 3: Chimera Is a Residential Credit Hybrid Mortgage REIT
CHIMERA IS A RESIDENTIAL CREDIT HYBRID MORTGAGE REIT 3 Established in 2007. Internally managed since August 2015. Total capital $2.6 billion. Chimera has distributed $6 billion to common and preferred stockholders since inception. Total preferred stock $930 million. Total leverage ratio
Slide 4: 2023 Activity Overview
2023 ACTIVITY OVERVIEW 4 Information is as of April 30,2023 and is unaudited, estimated and subject to change. (1) Upon the closing of the CIM 2023-R4 securitization. Continued focus on acquiring and securitizing residential mortgage loans. Committed to purchase $1.25 billion of diversified resi
Slide 5: Current Business Highlights Q1 2023
CURRENT BUSINESS HIGHLIGHTS Q1 2023 Book value of $7.41 per share compared to $7.49 per share in Q4 2022. Committed to and purchased $1.25B of Residential Mortgage Loans. $707MM in Seasoned RPLs. $487MM in Non-QM DSCR loans. $52MM in Business Purpose loans. Sponsored 3 RPL securitization
Slide 6: Q1 2023 Total GAAP Portfolio
Q1 2023 TOTAL GAAP PORTFOLIO 6 Our Capital Is Mainly Allocated to Residential Mortgage Loans Financed With Non-Recourse and Repo Financing. Information is unaudited, estimated and subject to change. (1) At fair value. (2) Includes $930 million of Preferred Equity. (3) Upon the closing of the CIM 2
Slide 7: Recourse Financing & Interest Rate Hedging
$3.20B in repo liabilities. $1.62B of Mark-to-Market financing. 1.2x recourse leverage. 50% of repos are Non-Mark-To-Market and Margin Holiday. Interest rate swaps hedge 41% of the floating rate liabilities. Average fixed pay rate of 3.26% on Interest Rate Swaps. $1.0B of Interest Rate
Slide 8: Chimera's loan portfolio is very seasoned
Chimera’s loan portfolio is very seasoned with 85% of loans originated prior to 2008. Acquires residential mortgage loans from banks, non-bank financial institutions and government sponsored agencies. Finances purchases of mortgage loans via warehouse facilities and repurchase agreements (recours
Slide 9: Chimera has securitized $52.2 billion of residential mortgage assets
Chimera has completed 103 deals and securitized $52.2 billion of residential mortgage assets which includes Legacy Non-Agency RMBS, Reperforming Loans, Investor Loans, Non-QM DSCR , and Prime Jumbo loans, since inception(1). Chimera has RMBS & Loan issuance with an unpaid principal balance of ap
Slide 10: RPL Securitizations Credit Performance
Reperforming Loans are a cornerstone of our portfolio. Credit performance has been stable given home price appreciation and the fully seasoned nature of our loans. RPL SECURITIZATIONS CREDIT PERFORMANCE 10 RPL Securitizations Loan Characteristics Total Original Unpaid Principal Balance (UPB) $16.0 B
Slide 11: Our Positioning 2023
OUR POSITIONING 2023 11 Information is unaudited, estimated and subject to change. (1) Information is as of April 30,2023. (2) Upon the closing of the CIM 2023-R4 securitization. Portfolio Investments Equity extraction from our existing RPL portfolio serves as a significant source of capital. 14
Slide 12: Appendix
APPENDIX we. CHIMERA ®3aectition
Slide 13: Financial Metrics
13 FINANCIAL METRICS Post Q1 2023 information is as of April 30,2023. Information is unaudited, estimated and subject to change. (1) Earnings available for distribution per adjusted diluted common share is a non-GAAP measure. See additional discussion in the Appendix section of this presentation. $0
Slide 14: Net Interest Spread
NET INTEREST SPREAD 14 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 perio
Slide 15: The Securitization Process
Chimera has created term-funding through securitization. THE SECURITIZATION PROCESS CIM buys $100MM Non-Agency mortgage bond or loans from dealer. CIM deposits the bond or loans into a trust. The trust issues bonds backed by the cashflow of the underlying bond or loans. The Senior A note rec
Slide 16: Consolidated Loan Securitizations
CONSOLIDATED LOAN SECURITIZATIONS 16 VINTAGE DEAL TOTAL ORIGINAL FACE TOTAL OF TRANCHES SOLD TOTAL OF TRANCHES RETAINED TOTAL REMAINING FACE REMAINING FACE OF TRANCHES SOLD REMAINING FACE OF TRANCHES RETAINED FIRST CALL DATE 2023 CIM 2023-R4 393,997 297,270 96,727 393,997 297,270 96,727 April 2028 2
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 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 18: Earnings Available for Distribution (Continued)
EARNINGS AVAILABLE FOR DISTRIBUTION (CONTINUED) 18 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 re
Slide 19: Information is unaudited, estimated and subject to change. 19
Information is unaudited, estimated and subject to change. 19