Attached files
| file | filename |
|---|---|
| EX-99.1 - EXHIBIT 99.1 - CHIMERA INVESTMENT CORP | pressrelease-q32016.htm |
| 8-K - 8-K - CHIMERA INVESTMENT CORP | chimera8-kq3earningrelease.htm |
FINANCIAL
SUPPLEMENT
NYSE: CIM
3rd Quarter 2016
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 Annual Report on Form 10-K for the year ended December 31, 2015, 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 MBS
Portfolio Total Portfolio
Gross Asset Yield: 7.6% 3.2% 6.5%
Financing Cost(2): 3.5% 1.4% 2.9%
Net Interest
Spread: 4.1% 1.8% 3.6%
Net Interest
Margin: 4.6% 1.9% 3.9%
All data as of September 30, 2016
(1) Financing excludes unsettled trades.
(2) Includes the interest incurred on interest rate swaps.
Net Investment Analysis
13
12
11
10
9
8
7
6
5
4
3
2
1
0
B
ill
io
ns
$2.5
$0.6
$2.4
$3.4
$7.6
Non-Recourse
(Securitization)
Recourse (Repo)
Recourse (Repo)
Equity
Equity
Agency MBS Portfolio
Total Assets: 4.4 billion(1)
Residential Mortgage
Credit Portfolio
Total Assets: 12.3 billion(1)
81% of Chimera's equity capital is allocated to mortgage credit
Information is unaudited, estimated and subject to change. 3
September 30, 2016 June 30, 2016
Total Portfolio: $16.7 billion Total Portfolio: $17.2 billion
Agency MBS Non-Agency MBS
Securitized Loan Portfolio
21%
26%
53%
Agency MBS Non-Agency MBS
Securitized Loan Portfolio
20%
26%
54%
GAAP ASSET ALLOCATION(1)
(1) Based on fair value.
The portfolio composition remained stable through the third quarter of 2016
Information is unaudited, estimated and subject to change. 4
September 30, 2016 June 30, 2016
Total Financing: $13.4 Billion Total Financing: $13.8 Billion
Agency Repurchase Agreements, RMBS
Non-Agency Repurchase Agreements, RMBS
Non-Recourse Debt, Securitized RMBS and Loans (2)
25%
18%
57%
Agency Repurchase Agreements, RMBS
Non-Agency Repurchase Agreements, RMBS
Non-Recourse Debt, Securitized RMBS and Loans (2)
25%
18%
58%
GAAP FINANCING SOURCES
(1) Leverage ratios as of September 30, 2016
(2) Consists of tranches of RMBS and loan securitizations sold to third parties.
Total Leverage(1): 4.4:1
Recourse Leverage: 1.9:1
Information is unaudited, estimated and subject to change. 5
($ in thousands) At Issuance / Acquisition September 30, 2016
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
2016 CIM 2016-3 $1,746,084 $1,478,933 $267,151 $1,666,030 $1,397,985 $268,045
2016 CIM 2016-2 1,762,177 1,492,563 269,614 1,682,747 1,412,209 270,538
2016 CIM 2016-1 1,499,341 1,266,898 232,443 1,418,075 1,184,915 233,160
2015 CIM 2015-4AG(1) 750,647 425,000 325,647 650,741 448,522 202,219
2015 CIM 2015-3AG(2) 698,812 520,935 177,877 580,229 414,780 165,449
2015 CIM 2015-2AG(3) 330,293 276,998 53,295 264,522 215,210 49,312
2015 CIM 2015-1EC 268,731 214,985 53,746 230,917 174,361 56,556
2014 CSMC 2014-CIM1(4) 333,865 268,087 65,779 241,873 181,117 60,756
2013 SLFMT 2013-1A 1,021,846 1,019,291 2,555 673,846 562,887 110,959
2013 SLFMT 2013-2A 1,137,308 1,134,464 2,844 847,141 815,467 31,674
2013 SLFMT 2013-3A 500,390 499,139 1,251 409,716 248,712 161,004
2012 CSMC 2012-CIM1 741,939 707,810 34,129 85,032 54,046 30,986
2012 CSMC 2012-CIM2 425,091 404,261 20,830 75,130 55,891 19,239
2012 CSMC 2012-CIM3 329,886 305,804 24,082 144,982 125,113 19,869
2008 PHHMC 2008-CIM1 619,710 549,142 70,568 59,927 43,261 16,666
TOTAL $12,166,120 $10,564,310 $1,601,811 9,030,908 7,334,476 1,696,432
% of origination remaining 74%
(1) Contains collateral from Springleaf 2012-3A Trust.
(2) Contains collateral from Springleaf 2012-2A Trust.
(3) Contains collateral from Springleaf 2012-1A Trust.
(4) Contains collateral from Springleaf 2011-1A Trust.
CONSOLIDATED LOAN SECURITIZATIONS
Information is unaudited, estimated and subject to change. 6
($ in thousands) At Issuance / Acquisition September 30, 2016
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 — 367,271 263,888 — 263,888
2010 CSMC 2010-1R 1,730,581 691,630 1,038,951 647,347 14,160 633,187
2010 CSMC 2010-11R 566,571 338,809 227,762 270,438 61,775 208,663
2009 CSMC 2009-12R 1,730,698 915,566 815,132 587,546 117,863 469,683
2009 JPMRR 2009-7 1,522,474 856,935 665,539 543,907 164,661 379,246
2009 JMAC 2009-R2 281,863 192,500 89,363 98,633 39,469 59,164
TOTAL 6,199,458 2,995,440 3,204,018 2,411,759 397,928 2,013,831
% of origination remaining 39% 13% 63%
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 September 30, 2016
Repo Days to Maturity – As of September 30, 2016
Agency Securities – As of June 30, 2016
Repo Days to Maturity – As of June 30, 2016
Maturity PrincipalBalance
Weighted
Average Rate
Weighted
Average Days
Within 30 days $1,823,192 0.79%
30 to 59 days 287,077 0.81%
60 to 89 days 921,941 0.77%
90 to 360 days 361,042 0.97%
Over 360 days — —
Total $3,393,252 0.80% 41 Days
(1) Coupon is a weighted average for Commercial and Agency IO
(2) Notional Agency IO was $3.5 billion and $3.1 billion as of September 30, 2016 and June 30, 2016 respectively.
Security
Type Coupon
(1) Current
Face
Weighted
Average
Market Price
Weighted
Average CPR
Agency
Pass-
through
3.50% $1,085,704 105.6 15.0
4.00% 1,271,630 107.7 20.4
4.50% 314,759 109.6 22.8
Commercial 3.6% 1,273,235 105.6 0.1
Agency IO 0.9% N/M(2) 4.5 8.3
Total $3,945,328
Maturity PrincipalBalance
Weighted
Average Rate
Weighted
Average Days
Within 30 days $1,553,423 0.82%
30 to 59 days 332,006 0.78%
60 to 89 days 827,670 0.83%
90 to 360 days 665,480 0.79%
Over 360 days — —
Total $3,378,579 0.81% 49 Days
Security
Type Coupon
(1) Current
Face
Weighted
Average
Market Price
Weighted
Average CPR
Agency
Pass-
through
3.50% $1,137,343 105.6 7.6
4.00% 1,356,996 107.4 14.5
4.50% 339,473 109.3 17
Commercial 3.5% 1,226,725 106.8 —
Agency IO 0.9% N/M(2) 4.6 6.5
Total $4,060,537
AGENCY & REPO SUMMARY
Information is unaudited, estimated and subject to change. 8
Description
($ in thousands)
- 100 Basis
Points
- 50 Basis
Points Unchanged
+50 Basis
Points
+100 Basis
Points
Agency
Securities
Market Value $ 4,533,091 $ 4,450,893 $ 4,362,550 $ 4,263,846 $ 4,153,731
Percentage Change 3.9 % 2.0 % - (2.3)% (4.8)%
Swap
Market Value (119,127) (58,704) - 56,784 113,142
Percentage Change (2.7)% (1.3)% - 1.3 % 2.6 %
Futures
Market Value (36,994) (18,294) - 17,807 35,131
Percentage Change (0.8)% (0.4)% - 0.4 % 0.8 %
Net Gain/(Loss) $ 14,420 $ 11,345 - $ (24,113) $ (60,546)
Percentage Change
in Portfolio Value(1) 0.3 % 0.3 % - (0.6)% (1.4)% Near Term 0-3
Short Term 3-5
Medium Term 5-10
Long Term 10-30
Hedge Book Maturities
34%
61%
5%
INTEREST RATE SENSITIVITY
Chimera continues to reduce its rate exposure by reducing its Agency portfolio and hedges
Total Notional Balance - Derivative Instruments
September 30, 2016 June 30, 2016
Interest Rate Swaps 1,380,900 1,430,900
Swaptions 699,000 749,000
Futures 619,700 619,700
(1) Based on instantaneous moves in interest rates.
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