Attached files
| file | filename |
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| EX-99.1 - EX-99.1 - CHIMERA INVESTMENT CORP | pressrelease-q32020.htm |
| 8-K - 8-K - CHIMERA INVESTMENT CORP | cim-20201104.htm |
FINANCIAL SUPPLEMENT 3rd Quarter 2020
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 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 and Current Report on Form 8-K, under the caption “Risk Factors.” Factors that could cause actual results to differ include, but are not limited to:our business and investment strategy; our ability to accurately forecast the payment of future dividends on our common and preferred stock, and the amount of such dividends; our ability to determine accurately the fair market value of our assets; availability of investment opportunities in real estate-related and other securities, including our valuation of potential opportunities that may arise as a result of current and future market dislocations; effect of the novel coronavirus (or COVID-19) pandemic on real estate market, financial markets and our Company, including the impact on the value, availability, financing and liquidity of mortgage assets; how COVID-19 may affect us, our operations and our personnel; our expected investments; changes in the value of our investments, including negative changes resulting in margin calls related to the financing of our assets; changes in interest rates and mortgage prepayment rates; prepayments of the mortgage and other loans underlying our mortgage-backed securities, or RMBS, or other asset-backed securities, or ABS; rates of default, delinquencies or decreased recovery rates on our investments; general volatility of the securities markets in which we invest; our ability to maintain existing financing arrangements and our ability to obtain future financing arrangements; our ability to effect our strategy to securitize residential mortgage loans; interest rate mismatches between our investments and our borrowings used to finance such purchases; effects of interest rate caps on our adjustable-rate investments; the degree to which our hedging strategies may or may not protect us from interest rate volatility; the impact of and changes to various government programs, including in response to COVID-19; impact of and changes in governmental regulations, tax law and rates, accounting guidance, and similar matters; market trends in our industry, interest rates, the debt securities markets or the general economy; estimates relating to our ability to make distributions to our stockholders in the future; our understanding of our competition; availability of qualified personnel; our ability to maintain our classification as a real estate investment trust, or, REIT, for U.S. federal income tax purposes; our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended, or 1940 Act; our expectations regarding materiality or significance; and the effectiveness of our disclosure controls and procedures. 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 92% of Chimera's equity capital is allocated to mortgage credit Net Investment Analysis(2) Residential Mortgage 17 Credit Portfolio Total Assets: 15.8 billion(1) RESIDENTIAL 16 MORTGAGE AGENCY TOTAL 15 CREDIT PORTFOLIO PORTFOLIO PORTFOLIO 14 13 Non-Recourse GROSS ASSET 12 (Securitization) YIELD: 6.1% 5.5% 6.0% 11 $8.9 10 FINANCING COSTS(3) 4.0% 0.3% 3.5% 9 8 Bi llions 7 NET INTEREST 2.1% 5.2% 2.5% SPREAD: 6 Recourse (Repo) 5 $3.3 NET INTEREST 4 MARGIN: 2.7% 5.2% 3.0% Agency Portfolio 3 Equity Total Assets: 1.9 billion(1) 2 All data as of September 30, 2020 $3.4 (1) Financing excludes unsettled trades. 1 $1.4 (2) Reflects third quarter 2020 average assets, yields, and spreads. 0 $0.3 (3) Includes the interest incurred on interest rate swaps. Equity Recourse Non-Recourse Information is unaudited, estimated and subject to change. 2
GAAP ASSET ALLOCATION Chimera added to the loan portfolio during the quarter September 30, 2020 December 31, 2019 13% 10% 1% 10% 25% 54% 77% 11% Non-Agency MBS Agency RMBS Non-Agency MBS Agency RMBS Agency CMBS Loan Portfolio Agency CMBS Loan Portfolio Total Portfolio: $17.6 billion Total Portfolio: $26.2 billion Based on fair value. Information is unaudited, estimated and subject to change. 3
GAAP FINANCING SOURCES 3.7:1 total leverage and 1.3:1 recourse leverage(1) in Q3 compared to 5.5:1 total leverage and 3.4:1 recourse leverage(1) in Q4 2019 September 30, 2020 December 31, 2019 24% 24% 38% 1% 10% 65% 29% 9% Non-Agency Secured Financing, RMBS Non-Agency Secured Financing, RMBS Agency Secured Financing, RMBS Agency Secured Financing, RMBS Agency Secured Financing, CMBS Agency Secured Financing, CMBS Non-Recourse Debt, Securitized RMBS and Loans (2) Non-Recourse Debt, Securitized RMBS and Loans (2) Total Portfolio: $13.6 billion Total Portfolio: $21.7 billion (1) Leverage ratios as of September 30, 2020 (2) Consists of tranches of RMBS and loan securitizations sold to third parties. Information is unaudited, estimated and subject to change. 4
NON-AGENCY FINANCING Chimera continues to focus on longer term and non-mark- to-market financing for its non-agency portfolio Maturity Facility Type 9% 21% 44% 45% 44% 26% 11% 0 - 3 Months Non Mark-to-Market 3 - 6 Months Limited Mark-to-Market 6 - 12 Months Mark-to-Market Greater Than 12 Months Data based on secured financing agreements outstanding as of September 30, 2020 Information is unaudited, estimated and subject to change. 5
CONSOLIDATED LOAN SECURITIZATIONS TOTAL ORIGINAL TOTAL OF TOTAL OF TOTAL REMAINING REMAINING FACE OF REMAINING FACE OF VINTAGE DEAL FACE TRANCHES SOLD TRANCHES FACE TRANCHES SOLD TRANCHES RETAINED RETAINED 2020 CIM 2020-R5 $338,416 $257,027 $81,389 $321,538 $239,933 $81,605 2020 CIM 2020-R4 276,316 207,237 69,079 270,441 201,262 69,179 2020 CIM 2020-R3 438,228 328,670 109,558 420,509 310,781 109,728 2020 CIM 2020-R2 492,347 351,926 140,421 468,501 393,398 75,103 2020 CIM 2020-R1 390,761 317,608 73,153 376,233 303,480 72,753 2019 CIM 2019-R5 315,039 252,224 62,815 280,229 217,581 62,648 2019 CIM 2019-R4 320,802 200,000 120,802 292,907 228,746 64,161 2019 CIM 2019-R3(1) 342,633 291,237 51,396 299,091 247,671 51,420 2019 CIM 2019-R2 464,327 358,172 106,155 428,718 323,566 105,152 2019 CIM 2019-R1 371,762 297,409 74,353 334,376 260,399 73,977 2018 CIM 2018-NR1 257,548 — 257,548 158,226 — 158,226 2018 CIM 2018-R6 478,251 334,775 143,476 362,504 220,924 141,580 2018 CIM 2018-R5 380,194 266,136 114,058 276,987 164,923 112,064 2018 CIM 2018-R4 387,222 271,056 116,166 298,624 183,948 114,676 2018 CIM 2018-R3 181,073 146,669 34,404 123,943 90,452 33,491 2018 CIM 2018-R2 380,292 266,204 114,088 266,667 152,982 113,685 2018 CIM 2018-R1 169,032 140,297 28,735 125,523 96,840 28,683 2017 CMLTI 2017-RP2 421,329 341,276 80,053 307,018 270,494 36,524 2017 CIM 2017-8 1,148,050 688,829 459,221 805,523 645,740 159,783 2017 CIM 2017-7 512,446 341,062 171,384 359,868 202,003 157,865 2017 CIM 2017-6 782,725 626,179 156,546 518,595 367,356 151,239 2017 CIM 2017-5 377,034 75,407 301,627 264,002 192,626 71,376 2017 CIM 2017-4 830,510 710,003 120,507 408,226 305,140 103,086 2017 CIM 2017-3 2,434,640 2,113,267 321,373 1,367,878 1,067,685 300,193 2017 CIM 2017-1 526,267 368,387 157,880 312,765 216,337 96,428 2016 CIM 2016-FRE1 185,811 115,165 70,646 110,365 47,996 62,369 2016 CIM 2016-3 1,746,084 1,478,933 267,151 886,343 652,718 233,625 2016 CIM 2016-2 1,762,177 1,492,563 269,614 892,717 654,277 238,440 2016 CIM 2016-1 1,499,341 1,266,898 232,443 755,885 556,109 199,776 2012 CSMC 2012-CIM3 329,886 305,804 24,082 64,057 51,752 12,305 2008 PHHMC 2008-CIM1 619,710 549,142 70,568 21,014 15,364 5,650 TOTAL $19,160,253 $14,759,562 $4,400,691 $12,179,273 $8,882,483 $3,296,790 All data as of September 30, 2020 $ in thousands (1) Accounted for as a secured borrowing Information is unaudited, estimated and subject to change. 6
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