Chimera Investment Corporation · NYSE:CIM
Chimera Investment — Q2 2024 Earnings Presentation
21 slides from Chimera Investment's earnings presentation, Aug 7, 2024
Slide 1: Investor Presentation Q2'24
Investor Presentation Q2’24 Information is unaudited, estimated and subject to change.
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: 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, using securitization, asset selection and leverage, for our shareholders. • We are a Real Estate Investment Trust (REIT) founded in 2007. • We have been internally managed sinc
Slide 4: Q2'24 Overview
Q2’24 OVERVIEW Our book value per share for Q2’24 was $21.27 compared to $21.32 per share in Q1’24, resulting in an economic return of 1.4% for the quarter. • Raised common stock dividend to $0.35 per share from $0.33 per share. • Completed the issuance and sale of $65 million(1) principal amount of
Slide 5: Q2'24 Total Portfolio | GAAP Balance Sheet
Q2’24 TOTAL PORTFOLIO | GAAP BALANCE SHEET Our capital is mainly allocated to residential mortgage loans, financed with non-recourse and repo (secured recourse) financing. Q2’24 GAAP Balance Sheet ($ in Millions)(1) Total Assets ($ in Millions): $13,132 Total Liabilities ($ in Millions): $10,491 Sec
Slide 6: Capital Structure Overview
CAPITAL STRUCTURE OVERVIEW We use several funding sources to finance our investments including repurchase agreements (repo), warehouse lines, unsecured debt and, most importantly, asset securitization. Capital Structure ($ in Millions) Floating Rate Sensitivity ($ in Millions) Floating Rate Repo $2,
Slide 7: Secured Recourse Financing & Interest Rate Hedging
SECURED RECOURSE FINANCING & INTEREST RATE HEDGING Q2’24 Q2’24 Secured Recourse Financing & Interest Rate Hedges ($ in Millions) Total: $2,699 Total: $2,000 • $2.7 billion in repo liabilities $441 Interest Rate Non-MtM & $500 • $1.3 billion of MtM financing Swaptions $243 Limited MtM: • 1.0x recours
Slide 8: Residential Mortgage Loans Overview
RESIDENTIAL MORTGAGE LOANS OVERVIEW Our Residential Mortgage Loan Process Our loan portfolio is very seasoned, with 78% of • We acquire residential mortgage loans from banks, non- loans originated prior to 2008. bank financial institutions and government sponsored agencies. Loan Origination Year ($
Slide 9: 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 46 250 200 150 100 2000 2004 2008 2012 2016 2020 2024 2019 2020 2021 2022 2023 20
Slide 10: 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 i
Slide 11: Q2'24 RPL Securitization Credit Performance
Q2’24 RPL SECURIZATION 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. Q2’24 Key Loan Statistics 60+ Day Delinquency (%) 3 Month Prepa
Slide 12: Summary
SUMMARY • Completed the issuance and sale of $65 million(1) principal amount of 9.0% Senior Unsecured Notes due in 2029. • Following the July securitization, we expect to continue to acquire and securitize mortgage loans as well as further Capital implement our call optimization strategy on our secu
Slide 13: Appendix
Appendix Information is unaudited, estimated and subject to change.
Slide 14: Financial Metrics
FINANCIAL METRICS Earnings Available For Distribution GAAP Earnings Per Share (EAD) Per Share(1) GAAP Book Value Per Share $0.45 $0.41 Q2’24 Economic Return: 1.4% $0.40 $21.86 $0.38 $0.36 $0.37 $0.37 $21.32 $21.27 $0.08 $0.05 $20.70 $20.25 ($0.07) Q2'23 Q3'23 Q4'23 Q1'24 Q2'24 Q2'23 Q3'23 Q4'23 Q1'2
Slide 15: 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 16: 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 17: Net Asset Breakdown
NET ASSET BREAKDOWN Net Asset Breakout Q2 2024 Q1 2024 Securitization Financing Securitization Financing Direct Holdings Total Direct Holdings Total Trusts Trusts Trusts Trusts Investments: Non-Agency RMBS, at fair value 813,042,952 238,927,634 - 1,051,970,586 815,376,991 244,485,608 - 1,059,862,600
Slide 18: 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 19: Securitization Process
SECURITIZATION PROCESS Chimera 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 $100 MM Trust
Slide 20: Consolidated Loan Securitizations
CONSOLIDATED LOAN SECURITIZATIONS ORIGINAL FACE ($ Thousands) REMAINING FACE ($ Thousands) WEIGHTED AVERAGE COUPON (WAC) VINTAGE DEAL TOTAL SOLD RETAINED TOTAL SOLD RETAINED Outstanding Bonds Sold Underlying Collateral FIRST CALL DATE 2023 CIM 2023-I2 238,530 202,750 35,780 213,493 177,713 35,780 6.
Slide 21: Information is unaudited, estimated and subject to change.
Information is unaudited, estimated and subject to change.