Attached files
| file | filename |
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| EX-99.1 - EXHIBIT 99.1 - CHIMERA INVESTMENT CORP | pressrelease-q22018.htm |
| 8-K - 8-K - CHIMERA INVESTMENT CORP | chimera8-kq2x18pressrelease.htm |
FINANCIAL SUPPLEMENT NYSE: CIM 2nd 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 80% of Chimera's equity capital is allocated to mortgage credit Net Investment Analysis(2) Residential Mortgage Credit Portfolio 17 Total Assets: 15.8 billion(1) 16 Residential Agency 15 Mortgage Credit Total Portfolio Portfolio Portfolio 14 13 Non-Recourse 12 (Securitization) Gross Asset Yield: 7.0% 3.4% 6.1% 11 $9.5 10 s n 9 o i l (3) l i 8 Agency Portfolio Financing Cost : 4.3% 1.7% 3.6% B (1) 7 Total Assets: 7.0 billion 6 Recourse (Repo) 5 Net Interest $3.6 Spread: 2.7% 1.7% 2.5% 4 Recourse (Repo) $5.6 3 2 Equity Net Interest $2.9 Margin: 3.3% 1.8% 2.9% 1 Equity $0.7 0 All data as of June 30, 2018 (1) Financing excludes unsettled trades. (2) Reflects second 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 June 30, 2018 March 31, 2018 11% 13% 22% 31% 58% 65% Non-Agency MBS Agency MBS Non-Agency MBS Agency MBS Loan Portfolio Loan Portfolio Total Portfolio: $22.8 billion Total Portfolio: $20.9 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): 2.5:1 June 30, 2018 March 31, 2018 20% 30% 51% 57% 23% 19% 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: $18.6 Billion Total Financing: $16.7 Billion (1) Leverage ratios as of June 30, 2018 (2) Consists of tranches of RMBS and loan securitizations sold to third parties. Information is unaudited, estimated and subject to change. 4
CONSOLIDATED LOAN SECURITIZATIONS ($ in thousands) June 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-R4 $387,222 $271,056 $116,166 $387,222 $271,056 $116,166 2018 CIM 2018-R3(1) 181,073 146,669 34,404 176,536 142,144 34,392 2018 CIM 2018-R2 380,292 266,204 114,088 365,398 251,026 114,372 2018 CIM 2018-R1 169,032 140,297 28,735 162,946 134,046 28,900 2017 CMLTI 2017-RP2 421,329 341,276 80,053 397,539 317,582 79,957 2017 CIM 2017-8(1) 1,148,050 688,829 459,221 1,063,756 604,414 459,342 2017 CIM 2017-7 512,446 341,062 171,384 470,998 300,973 170,025 2017 CIM 2017-6 782,725 626,179 156,546 703,107 545,768 157,339 2017 CIM 2017-5 377,034 75,407 301,627 338,807 37,389 301,418 2017 CIM 2017-4 830,510 710,003 120,507 629,943 516,285 113,658 2017 CIM 2017-3 2,434,640 2,113,267 321,373 1,982,115 1,662,170 319,945 2017 CIM 2017-2 331,440 248,580 82,860 281,643 198,610 83,033 2017 CIM 2017-1 526,267 368,387 157,880 434,730 277,895 156,835 2016 CIM 2016-FRE1 185,811 115,165 70,646 154,687 84,714 69,973 2016 CIM 2016-4(1) 601,733 493,420 108,313 469,456 360,602 108,854 2016 CIM 2016-3 1,746,084 1,478,933 267,151 1,275,052 1,014,228 260,824 2016 CIM 2016-2 1,762,177 1,492,563 269,614 1,289,715 1,024,849 264,866 2016 CIM 2016-1 1,499,341 1,266,898 232,443 1,082,977 858,739 224,238 2015 CIM 2015-4AG(1) 750,647 530,970 219,677 480,311 293,320 186,991 2015 CIM 2015-3AG(1) 698,812 522,935 175,877 421,611 267,494 154,117 2012 CSMC 2012-CIM1 741,939 707,810 34,129 51,672 23,965 27,707 2012 CSMC 2012-CIM2 425,091 404,261 20,830 43,565 25,796 17,769 2012 CSMC 2012-CIM3 329,886 305,804 24,082 110,254 91,978 18,276 2008 PHHMC 2008-CIM1 619,710 549,142 70,568 39,114 28,373 10,741 TOTAL $17,843,291 $14,205,117 $3,638,174 $12,813,154 $9,333,416 $3,479,738 All data as of June 30, 2018 (1) Contains collateral from Springleaf deals acquired in 2014. Information is unaudited, estimated and subject to change. 5
CONSOLIDATED RMBS SECURITIZATIONS ▪ Re-securitized subordinate bonds have had slow prepayments considering the low interest rate environment ▪ Chimera expects the re-securitized subordinate bond portfolio to have meaningful impact on earnings for the foreseeable future ($ in thousands) June 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 $462,635 $3,264 $459,371 2010 CSMC 2010-11R 566,571 338,809 227,762 179,293 — 179,293 2009 CSMC 2009-12R 1,730,698 915,566 815,132 441,754 81,233 360,521 2009 JPMRR 2009-7 1,522,474 856,935 665,539 400,666 92,991 307,675 2009 JMAC 2009-R2 281,863 192,500 89,363 68,803 16,589 52,214 TOTAL $5,832,187 $2,995,440 $2,836,747 $1,553,151 $194,077 $1,359,074 % of origination remaining 27% 6% 48% * 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 June 30, 2018 Agency Securities – As of March 31, 2018 Weighted Weighted Security (1) Current Weighted Security (1) Current Weighted Coupon Average Type Coupon Face Average Average CPR Type Face Market Price Average CPR Market Price 3.50% $805,356 99.7 8.8 3.50% $828,730 100.4 7.9 Agency Agency Pass- 4.00% 3,270,033 102.1 6.0 Pass- 4.00% 1,276,070 102.8 11.9 through through 4.50% 452,341 104.4 5.6 4.50% 160,833 105.5 15.1 Commercial 3.6% 2,300,891 98.8 0.1 Commercial 3.6% 2,153,980 99.7 — Agency IO 0.7% (2) Agency IO 0.7% N/M(2) 3.4 5.5 N/M 3.3 8.0 Total $6,828,621 Total $4,419,613 Repo Days to Maturity – As of June 30, 2018 Repo Days to Maturity – As of March 31, 2018 Principal Weighted Weighted Principal Weighted Weighted Maturity Balance Average Rate Average Days Maturity Balance Average Rate Average Days Within 30 days $3,510,195 2.05% Within 30 days $1,844,287 1.70% 30 to 59 days 1,544,638 2.14% 30 to 59 days 887,135 1.80% 60 to 89 days 505,494 2.19% 60 to 89 days 579,055 1.91% 90 to 360 days 9,090 2.74% 90 to 360 days — —% Total $5,569,417 2.09% 24 Days Total $3,310,477 1.77% 32 Days (1) Coupon is a weighted average for Commercial and Agency IO (2) Notional Agency IO was $3.0 billion and $3.0 billion as of June 30, 2018 and March 31, 2018 respectively. Information is unaudited, estimated and subject to change. 7
INTEREST RATE SENSITIVITY Chimera added to its Agency and hedge portfolios during the quarter Description - 100 Basis - 50 Basis +50 Basis +100 Basis ($ in thousands) Points Points Unchanged Points Points Hedge Book Maturities Market Value $ 7,333,718 $ 7,174,559 $ 6,989,329 $ 6,784,447 $ 6,566,948 Agency Securities Percentage Change 4.9 % 2.7 % - (2.9)% (6.0)% 23% 27% Market Value (311,699) (152,477) - 146,000 285,766 Swap Percentage Change (4.5)% (2.2)% - 2.1 % 4.1 % Market Value (33,648) (16,608) - 16,185 31,938 Futures 16% Percentage Change (0.5)% (0.2)% - 0.2 % 0.5 % Net Gain/(Loss) $ (958) $ 16,145 - $ (42,697) $ (104,677) 34% Percentage Change (1) % % )% )% in Portfolio Value — 0.2 - (0.6 (1.5 Near Term 0-3 Total Notional Balance - Derivative Instruments Short Term 3-5 June 30, 2018 March 31, 2018 Medium Term 5-10 Agency Interest Rate Swaps 5,087,400 3,358,900 Swaptions 53,000 361,000 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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