Attached files
| file | filename |
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| EX-99.1 - EXHIBIT 99.1 - CHIMERA INVESTMENT CORP | pressrelease-q32018.htm |
| 8-K - 8-K - CHIMERA INVESTMENT CORP | chimera8-kq3x18pressrelease.htm |
FINANCIAL SUPPLEMENT NYSE: CIM 3rd Quarter 2018
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 DISCLAIMER projections 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.
PORTFOLIO COMPOSITION 76% of Chimera's equity capital is allocated to mortgage credit Net Investment Analysis(2) Residential Mortgage 17 Credit Portfolio (1) 16 Total Assets: 15.2 billion Residential Agency 15 Mortgage Credit Total Portfolio Portfolio Portfolio 14 13 Non-Recourse 12 (Securitization) Gross Asset Yield: 7.1% 3.4% 5.8% 11 $9.0 Agency Portfolio 10 Total Assets: 9.4 billion(1) s n 9 o i l (3) l i 8 Financing Cost : 4.3% 2.3% 3.6% B 7 6 Recourse (Repo) Recourse (Repo) 5 Net Interest $3.4 $7.7 Spread: 2.8% 1.1% 2.2% 4 3 2 Equity Net Interest $3.0 Margin: 3.3% 1.5% 2.7% 1 Equity $0.9 0 All data as of September 30, 2018 (1) Financing excludes unsettled trades. (2) Reflects third quarter 2018 average assets, yields, and spreads. (3) Includes the interest incurred on interest rate swaps. Information is unaudited, estimated and subject to change. 2
GAAP ASSET ALLOCATION(1) The increase in Agency MBS provides spread income and preserves portfolio liquidity September 30, 2018 June 30, 2018 10% 11% 52% 31% 38% 58% Non-Agency MBS Agency MBS Non-Agency MBS Agency MBS Loan Portfolio Loan Portfolio Total Portfolio: $24.6 billion Total Portfolio: $22.8 billion (1) Based on fair value. Information is unaudited, estimated and subject to change. 3
GAAP FINANCING SOURCES Total Leverage(1): 5.1:1 Recourse Leverage(1): 2.8:1 September 30, 2018 June 30, 2018 30% 38% 45% 51% 19% 17% Agency Repurchase Agreements, RMBS Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Agency Repurchase Agreements, RMBS Non-Recourse Debt, Securitized RMBS and Loans (2) Non-Recourse Debt, Securitized RMBS and Loans (2) Total Financing: $20.1 Billion Total Financing: $18.6 Billion (1) Leverage ratios as of September 30, 2018 (2) Consists of tranches of RMBS and loan securitizations sold to third parties. Information is unaudited, estimated and subject to change. 4
CONSOLIDATED LOAN SECURITIZATIONS ($ in thousands) September 30, 2018 Total of Remaining Vintage Deal Total Original Total of Tranches Total Remaining Face of Remaining Face of Face Tranches Sold Retained Face Tranches Sold Tranches Retained 2018 CIM 2018-R5(1) $380,194 $266,136 $114,058 $371,348 $257,294 $114,054 2018 CIM 2018-R4 387,222 271,056 116,166 375,840 259,732 116,108 2018 CIM 2018-R3(1) 181,073 146,669 34,404 171,196 136,846 34,350 2018 CIM 2018-R2 380,292 266,204 114,088 351,490 237,005 114,485 2018 CIM 2018-R1 169,032 140,297 28,735 157,880 128,869 29,011 2017 CMLTI 2017-RP2 421,329 341,276 80,053 384,196 304,345 79,851 2017 CIM 2017-8(1) 1,148,050 688,829 459,221 1,031,171 572,060 459,111 2017 CIM 2017-7 512,446 341,062 171,384 454,454 284,775 169,679 2017 CIM 2017-6 782,725 626,179 156,546 676,017 519,055 156,962 2017 CIM 2017-5 377,034 75,407 301,627 329,845 28,475 301,370 2017 CIM 2017-4 830,510 710,003 120,507 595,893 483,785 112,108 2017 CIM 2017-3 2,434,640 2,113,267 321,373 1,896,992 1,578,874 318,118 2017 CIM 2017-2 331,440 248,580 82,860 274,375 191,496 82,879 2017 CIM 2017-1 526,267 368,387 157,880 421,107 264,745 156,362 2016 CIM 2016-FRE1 185,811 115,165 70,646 148,834 79,908 68,926 2016 CIM 2016-4(1) 601,733 493,420 108,313 449,313 342,018 107,295 2016 CIM 2016-3 1,746,084 1,478,933 267,151 1,224,651 966,587 258,064 2016 CIM 2016-2 1,762,177 1,492,563 269,614 1,233,946 972,280 261,666 2016 CIM 2016-1 1,499,341 1,266,898 232,443 1,038,892 817,845 221,047 2015 CIM 2015-4AG(1) 750,647 530,970 219,677 460,012 273,458 186,554 2012 CSMC 2012-CIM1 741,939 707,810 34,129 49,425 22,297 27,128 2012 CSMC 2012-CIM2 425,091 404,261 20,830 41,678 24,222 17,456 2012 CSMC 2012-CIM3 329,886 305,804 24,082 106,867 88,872 17,995 2008 PHHMC 2008-CIM1 619,710 549,142 70,568 34,318 24,998 9,320 TOTAL $17,524,673 $13,948,318 $3,576,355 $12,279,740 $8,859,841 $3,419,899 All data as of September 30, 2018 (1) Contains collateral from Springleaf deals acquired in 2014. Information is unaudited, estimated and subject to change. 5
CONSOLIDATED RMBS SECURITIZATIONS ▪ Re-securitized subordinate bonds have had slow prepayments considering the low interest rate environment ▪ Chimera expects the re-securitized subordinate bond portfolio to have meaningful impact on earnings for the foreseeable future ($ in thousands) September 30, 2018 Remaining Total Original Total of Total of Total Remaining Face of Remaining Face Vintage Deal Face Tranches Tranches Face Tranches of Tranches Sold Retained Sold Retained 2010 CSMC 2010-1R $1,730,581 $691,630 $1,038,951 $442,292 $3,154 $439,138 2009 CSMC 2009-12R 1,730,698 915,566 815,132 426,104 78,703 347,401 2009 JPMRR 2009-7 1,522,474 856,935 665,539 382,081 84,812 297,269 2009 JMAC 2009-R2 281,863 192,500 89,363 65,151 15,872 49,279 TOTAL $5,265,616 $2,656,631 $2,608,985 $1,315,628 $182,541 $1,133,087 % of origination remaining 25% 7% 43% * Chimera collapsed CSMC 2014-4R during the second quarter and owns the underlying securities Information is unaudited, estimated and subject to change. 6
AGENCY SECURITIES AND REPO SUMMARY Agency Securities – As of September 30, 2018 Agency Securities – As of June 30, 2018 Weighted Weighted Security Coupon(1) Current Average Weighted Security Coupon(1) Current Average Weighted Type Face Market Price Average CPR Type Face Market Price Average CPR 3.50% $780,640 98.7 9.7 3.50% $805,356 99.7 8.8 Agency 4.00% 5,170,450 101.1 5.6 Agency 4.00% 3,270,033 102.1 6.0 Pass- Pass- through 4.50% 438,444 103.5 9.9 through 4.50% 452,341 104.4 5.6 5.0% 341,141 105.1 N/A(3) 5.0% — — — Commercial 3.6% 2,532,460 97.8 — Commercial 3.6% 2,300,891 98.8 0.1 Agency IO 0.8% N/M(2) 4.2 3.7 Agency IO 0.7% N/M(2) 3.4 5.5 Total $9,263,135 Total $6,828,621 Repo Days to Maturity – As of September 30, 2018 Repo Days to Maturity – As of June 30, 2018 Principal Weighted Weighted Principal Weighted Weighted Maturity Balance Average Rate Average Days Maturity Balance Average Rate Average Days Within 30 days $3,245,322 2.22% Within 30 days $3,510,195 2.05% 30 to 59 days 3,730,841 2.25% 30 to 59 days 1,544,638 2.14% 60 to 89 days 717,324 2.34% 60 to 89 days 505,494 2.19% 90 to 360 days — —% 90 to 360 days 9,090 2.74% Total $7,693,487 2.25% 31 Days Total $5,569,417 2.09% 24 Days (1) Coupon is a weighted average for Commercial and Agency IO (2) Notional Agency IO was $2.9 billion and $3.0 billion as of September 30, 2018 and June 30, 2018 respectively. (3) New origination Information is unaudited, estimated and subject to change. 7
INTEREST RATE SENSITIVITY Chimera added to its Agency and hedge portfolios during the quarter Description - 100 Basis - 50 Basis +50 Basis +100 Basis ($ in thousands) Points Points Unchanged Points Points Hedge Book Maturities Market Value $ 9,857,910 $ 9,650,351 $ 9,406,092 $ 9,133,202 $ 8,840,558 Agency Securities Percentage Change 4.8 % 2.6 % - (2.9)% (6.0)% 18% 18% Market Value (413,821) (202,279) - 193,387 378,260 Swaps Percentage Change (4.4)% (2.2)% - 2.1 % 4.0 % 13% Market Value (32,951) (16,262) - 15,868 31,328 Futures Percentage Change (0.4)% (0.2)% - 0.2 % 0.3 % Net Gain/(Loss) $ 5,046 $ 25,718 - $ (63,635) $ (155,946) 51% Percentage Change (1) % % )% )% in Portfolio Value 0.1 0.3 - (0.7 (1.7 Near Term 0-3 Total Notional Balance - Derivative Instruments Short Term 3-5 September 30, 2018 June 30, 2018 Medium Term 5-10 Agency Interest Rate Swaps 6,432,650 5,087,400 Swaptions 53,000 53,000 Long Term 10-30 Futures 619,700 619,700 (1) Based on instantaneous moves in interest rates. Information is unaudited, estimated and subject to change. 8
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