Attached files
| file | filename |
|---|---|
| EX-99.1 - EXHIBIT 99.1 - CHIMERA INVESTMENT CORP | pressrelease-q12018.htm |
| 8-K - 8-K - CHIMERA INVESTMENT CORP | chimera8-kq1x18pressrelease.htm |
FINANCIAL
SUPPLEMENT
NYSE: CIM
1st Quarter 2018
Information is unaudited, estimated and subject to change.
DISCLAIMER This presentation includes “forward-looking statements” within the meaning of the safe harbor provisions of the UnitedStates Private Securities Litigation Reform Act of 1995. Actual results may differ from expectations, estimates andprojections and, consequently, readers should not rely on these forward-looking statements as predictions of future
events. Words such as “goal” “expect,” “target,” “assume,” “estimate,” “project,” “budget,” “forecast,” “anticipate,” “intend,” “plan,”
“may,” “will,” “could,” “should,” “believe,” “predicts,” “potential,” “continue,” and similar expressions are intended to identify
such forward-looking statements. These forward-looking statements involve significant risks and uncertainties that
could cause actual results to differ materially from expected results, including, among other things, those described in
our most recent Annual Report on Form 10-K, and any subsequent Quarterly Reports on Form 10-Q, under the caption
“Risk Factors.” Factors that could cause actual results to differ include, but are not limited to: the state of credit markets
and general economic conditions; changes in interest rates and the market value of our assets; the rates of default or
decreased recovery on the mortgages underlying our target assets; the occurrence, extent and timing of credit losses
within our portfolio; the credit risk in our underlying assets; declines in home prices; our ability to establish, adjust and
maintain appropriate hedges for the risks in our portfolio; the availability and cost of our target assets; our ability to
borrow to finance our assets and the associated costs; changes in the competitive landscape within our industry; our
ability to manage various operational risks and costs associated with our business; interruptions in or impairments to our
communications and information technology systems; our ability to acquire residential mortgage loans and successfully
securitize the residential mortgage loans we acquire; our ability to oversee our third party sub-servicers; the impact of
any deficiencies in the servicing or foreclosure practices of third parties and related delays in the foreclosure process; our
exposure to legal and regulatory claims; legislative and regulatory actions affecting our business; the impact of new or
modified government mortgage refinance or principal reduction programs; our ability to maintain our REIT qualification;
and limitations imposed on our business due to our REIT status and our exempt status under the Investment Company
Act of 1940.
Readers are cautioned not to place undue reliance upon any forward-looking statements, which speak only as of the
date made. Chimera does not undertake or accept any obligation to release publicly any updates or revisions to any
forward-looking statement to reflect any change in its expectations or any change in events, conditions or
circumstances on which any such statement is based. Additional information concerning these and other risk factors is
contained in Chimera’s most recent filings with the Securities and Exchange Commission (SEC). All subsequent written
and oral forward-looking statements concerning Chimera or matters attributable to Chimera or any person acting on its
behalf are expressly qualified in their entirety by the cautionary statements above.
This presentation may include industry and market data obtained through research, surveys, and studies conducted by
third parties and industry publications. We have not independently verified any such market and industry data from
third-party sources. This presentation is provided for discussion purposes only and may not be relied upon as legal or
investment advice, nor is it intended to be inclusive of all the risks and uncertainties that should be considered. This
presentation does not constitute an offer to purchase or sell any securities, nor shall it be construed to be indicative of
the terms of an offer that the parties or their respective affiliates would accept.
Readers are advised that the financial information in this presentation is based on company data available at the time of
this presentation and, in certain circumstances, may not have been audited by the company’s independent auditors.
Information is unaudited, estimated and subject to change. 2
PORTFOLIO COMPOSITION
Residential
Mortgage Credit
Portfolio
Agency
Portfolio Total Portfolio
Gross Asset Yield: 6.9% 3.4% 6.2%
Financing Cost(3): 4.1% 2.0% 3.7%
Net Interest
Spread: 2.8% 1.4% 2.5%
Net Interest
Margin: 3.3% 1.8% 3.0%
All data as of March 31, 2018
(1) Financing excludes unsettled trades.
(2) Reflects first quarter 2018 average assets, yields, and spreads.
(3) Includes the interest incurred on interest rate swaps.
Net Investment Analysis(2)
17
16
15
14
13
12
11
10
9
8
7
6
5
4
3
2
1
0
B
ill
io
ns
$3.1
$0.6
$3.9
$3.3
$9.5
Non-Recourse
(Securitization)
Recourse (Repo)
Recourse (Repo)
Equity
Equity
Agency Portfolio
Total Assets: 4.6 billion(1)
Residential Mortgage
Credit Portfolio
Total Assets: 16.4 billion(1)
84% of Chimera's equity capital is allocated to mortgage credit
Information is unaudited, estimated and subject to change. 3
March 31, 2018
Total Portfolio: $20.9 billion
Non-Agency MBS Agency MBS
Loan Portfolio
13%
22%
65%
GAAP ASSET ALLOCATION(1)
(1) Based on fair value.
Chimera securitized $549 million of residential mortgage loans in the first quarter of 2018
December 31, 2017
Total Portfolio: $20.9 billion
Non-Agency MBS Agency MBS
Loan Portfolio
14%
21%
65%
Information is unaudited, estimated and subject to change. 4
March 31, 2018
Total Financing: $16.7 Billion
Agency Repurchase Agreements, RMBS
Non-Agency Repurchase Agreements, RMBS
Non-Recourse Debt, Securitized RMBS and Loans (2)
20%
23%
57%
GAAP FINANCING SOURCES
Total Leverage(1): 4.6:1
Recourse Leverage(1): 2.0:1
December 31, 2017
Total Financing: $16.8 Billion
Agency Repurchase Agreements, RMBS
Non-Agency Repurchase Agreements, RMBS
Non-Recourse Debt, Securitized RMBS and Loans (2)
19%
24%
57%
(1) Leverage ratios as of March 31, 2018
(2) Consists of tranches of RMBS and loan securitizations sold to third parties.
Information is unaudited, estimated and subject to change. 5
($ in thousands) At Issuance / Acquisition March 31, 2018
Vintage Deal Total OriginalFace
Total of
Tranches Sold
Total of
Tranches
Retained
Total Remaining
Face
Remaining
Face of
Tranches Sold
Remaining Face of
Tranches Retained
2018 CIM 2018-R2 $380,292 $266,204 114,088 $380,292 $266,204 $114,088
2018 CIM 2018-R1 169,032 140,297 28,735 169,032 140,297 28,735
2017 CMLTI 2017-RP2 421,329 42,133 379,196 408,748 103,463 305,285
2017 CIM 2017-8(1) 1,148,050 688,829 459,221 1,095,472 636,401 459,071
2017 CIM 2017-7 512,446 301,062 211,384 483,442 313,067 170,375
2017 CIM 2017-6 782,725 626,179 156,546 727,978 570,627 157,351
2017 CIM 2017-5 377,034 75,407 301,627 346,898 45,347 301,551
2017 CIM 2017-4 830,510 710,003 120,507 664,003 548,951 115,052
2017 CIM 2017-3 2,434,640 2,113,267 321,373 2,069,526 1,748,418 321,108
2017 CIM 2017-2 331,440 248,580 82,860 290,364 207,320 83,044
2017 CIM 2017-1 526,267 368,387 157,880 450,136 293,139 156,997
2016 CIM 2016-FRE1 185,811 115,165 70,646 160,004 88,852 71,152
2016 CIM 2016-4(1) 601,733 493,420 108,313 489,829 379,794 110,035
2016 CIM 2016-3 1,746,084 1,478,933 267,151 1,328,775 1,066,141 262,634
2016 CIM 2016-2 1,762,177 1,492,563 269,614 1,343,666 1,076,717 266,949
2016 CIM 2016-1 1,499,341 1,266,898 232,443 1,130,710 903,758 226,952
2015 CIM 2015-4AG(1) 750,647 425,000 325,647 502,371 315,119 187,252
2015 CIM 2015-3AG(1) 698,812 520,935 177,877 441,967 286,378 155,589
2015 CIM 2015-2AG(1) 330,293 276,998 53,295 201,300 154,212 47,088
2012 CSMC 2012-CIM1 741,939 707,810 34,129 53,721 25,487 28,234
2012 CSMC 2012-CIM2 425,091 404,261 20,830 45,279 27,275 18,004
2012 CSMC 2012-CIM3 329,886 305,804 24,082 115,931 97,242 18,689
2008 PHHMC 2008-CIM1 619,710 549,142 70,568 42,935 31,273 11,662
TOTAL $17,605,289 $13,617,277 $3,988,012 $12,942,379 $9,325,482 $3,616,897
(1) Contains collateral from Springleaf deals acquired in 2014.
CONSOLIDATED LOAN SECURITIZATIONS
Information is unaudited, estimated and subject to change. 6
($ in thousands) At Issuance / Acquisition March 31, 2018
Vintage Deal Total OriginalFace
Total of
Tranches
Sold
Total of
Tranches
Retained
Total Remaining
Face
Remaining
Face of
Tranches
Sold
Remaining Face
of Tranches
Retained
2014 CSMC 2014-4R(1) 367,271 — 367,271 203,750 — 203,750
2010 CSMC 2010-1R 1,730,581 691,630 1,038,951 486,588 3,443 483,145
2010 CSMC 2010-11R 566,571 338,809 227,762 193,230 — 193,230
2009 CSMC 2009-12R 1,730,698 915,566 815,132 460,284 84,623 375,661
2009 JPMRR 2009-7 1,522,474 856,935 665,539 419,677 101,377 318,300
2009 JMAC 2009-R2 281,863 192,500 89,363 73,215 19,378 53,837
TOTAL 6,199,458 2,995,440 3,204,018 1,836,744 208,821 1,627,923
% of origination remaining 30% 7% 51%
CONSOLIDATED RMBS SECURITIZATIONS
▪ Re-Remic subordinate bonds have had slow prepayments considering the low interest rate environment
▪ Chimera expects the subordinate bond portfolio to have meaningful impact on earnings for the foreseeable future
(1) Contains collateral from CSMC 2010-12R Trust.
Information is unaudited, estimated and subject to change. 7
Agency Securities – As of March 31, 2018
Repo Days to Maturity – As of March 31, 2018
Agency Securities – As of December 31, 2017
Repo Days to Maturity – As of December 31, 2017
Maturity PrincipalBalance
Weighted
Average Rate
Weighted
Average Days
Within 30 days $2,124,925 1.44%
30 to 59 days 647,890 1.48%
60 to 89 days 429,241 1.63%
Total $3,202,056 1.47% 28 Days
(1) Coupon is a weighted average for Commercial and Agency IO
(2) Notional Agency IO was $3.0 billion and $3.0 billion as of March 31, 2018 and December 31, 2017 respectively.
Security
Type Coupon
(1) Current
Face
Weighted
Average
Market Price
Weighted
Average CPR
Agency
Pass-
through
3.50% $828,730 100.4 7.9
4.00% 1,276,070 102.8 11.9
4.50% 160,833 105.5 15.1
Commercial 3.6% 2,153,980 99.7 —
Agency IO 0.7% N/M(2) 3.3 8.0
Total $4,419,613
Maturity PrincipalBalance
Weighted
Average Rate
Weighted
Average Days
Within 30 days $1,844,287 1.70%
30 to 59 days 887,135 1.80%
60 to 89 days 579,055 1.91%
Total $3,310,477 1.77% 32 Days
Security
Type Coupon
(1) Current
Face
Weighted
Average
Market Price
Weighted
Average CPR
Agency
Pass-
through
3.50% $850,775 102.9 9.9
4.00% 1,207,687 104.9 13.4
4.50% 168,666 106.8 14.0
Commercial 3.6% 1,894,594 102.3 —
Agency IO 0.7% N/M(2) 3.5 3.1
Total $4,121,722
AGENCY & REPO SUMMARY
Information is unaudited, estimated and subject to change. 8
Description
($ in thousands)
- 100 Basis
Points
- 50 Basis
Points Unchanged
+50 Basis
Points
+100 Basis
Points
Agency
Securities
Market Value $ 4,842,053 $ 4,703,683 $ 4,557,799 $ 4,407,918 $ 4,256,875
Percentage Change 6.2 % 3.2 % - (3.3)% (6.6)%
Swap
Market Value (173,915) (84,994) - 84,348 165,956
Percentage Change (3.8)% (1.9)% - 1.9 % 3.6 %
Futures
Market Value (34,235) (16,884) - 16,432 32,423
Percentage Change (0.8)% (0.4)% - 0.4 % 0.7 %
Net Gain/(Loss) $ 76,104 $ 44,006 - $ (49,101) $ (102,545)
Percentage Change
in Portfolio Value(1) 1.7 % 1.0 % - (1.1)% (2.2)% Near Term 0-3
Short Term 3-5
Medium Term 5-10
Long Term 10-30
Hedge Book Maturities
33%
23%
36%
8%
INTEREST RATE SENSITIVITY
Chimera added to its Agency Commercial and hedge portfolios during the quarter
Total Notional Balance - Derivative Instruments
March 31, 2018 December 31, 2017
Agency Interest Rate Swaps 3,358,900 3,011,400
Swaptions 361,000 391,000
Futures 619,700 619,700
(1) Based on instantaneous moves in interest rates.
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