EX-99.2
Published on February 10, 2021
FINANCIAL SUPPLEMENT 4th Quarter 2020
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 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. 2 PORTFOLIO COMPOSITION RESIDENTIAL MORTGAGE CREDIT PORTFOLIO AGENCY PORTFOLIO TOTAL PORTFOLIO GROSS ASSET YIELD: 6.1% 4.0% 5.9% FINANCING COSTS(3) 4.0% 0.3% 3.6% NET INTEREST SPREAD: 2.1% 3.7% 2.3% NET INTEREST MARGIN: 2.8% 3.8% 2.9% All data as of December 31, 2020 (1) Financing excludes unsettled trades. (2) Reflects fourth quarter 2020 average assets, yields, and spreads. (3) Includes the interest incurred on interest rate swaps. Net Investment Analysis(2) B ill io ns $3.5 $0.3 $3.2 $1.4 $8.8 Equity Recourse Non-Recourse 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 Non-Recourse (Securitization) Recourse (Repo) Equity Agency Portfolio Total Assets: 1.8 billion(1) Residential Mortgage Credit Portfolio Total Assets: 15.3 billion(1) 91% of Chimera's equity capital is allocated to mortgage credit
Information is unaudited, estimated and subject to change. 3 13% 1% 10% 77% Non-Agency MBS Agency RMBS Agency CMBS Loan Portfolio GAAP ASSET ALLOCATION Based on fair value. 10% 25% 11% 54% Non-Agency MBS Agency RMBS Agency CMBS Loan Portfolio December 31, 2020 December 31, 2019 Chimera’s focus in 2020 was loan acquisition and securitization Total Portfolio: $17.1 billion Total Portfolio: $26.2 billion
Information is unaudited, estimated and subject to change. 4 24% 1% 10% 66% Non-Agency Secured Financing, RMBS Agency Secured Financing, RMBS Agency Secured Financing, CMBS Non-Recourse Debt, Securitized RMBS and Loans (2) GAAP FINANCING SOURCES 24% 29% 9% 38% Non-Agency Secured Financing, RMBS Agency Secured Financing, RMBS Agency Secured Financing, CMBS Non-Recourse Debt, Securitized RMBS and Loans (2) (1) Leverage ratios as of December 31, 2020 (2) Consists of tranches of RMBS and loan securitizations sold to third parties. 3.6:1 total leverage and 1.2:1 recourse leverage(1) in Q4 2020 compared to 5.5:1 total leverage and 3.4:1 recourse leverage(1) in Q4 2019 December 31, 2020 December 31, 2019 Total Portfolio: $13.5 billion Total Portfolio: $21.7 billion
Information is unaudited, estimated and subject to change. 5 28% 32% 40% 0 - 3 Months 3 - 6 Months Greater Than 12 Months NON-AGENCY FINANCING 43% 16% 41% Non Mark-to-Market Limited Mark-to-Market Mark-to-Market Chimera continues to focus on longer term and non-mark- to-market financing for its non-agency portfolio Maturity Facility Type Data based on secured financing agreements outstanding as of December 31, 2020
Information is unaudited, estimated and subject to change. 6 VINTAGE DEAL TOTAL ORIGINAL FACE TOTAL OF TRANCHES SOLD TOTAL OF TRANCHES RETAINED TOTAL REMAINING FACE REMAINING FACE OF TRANCHES SOLD REMAINING FACE OF TRANCHES RETAINED 2020 CIM 2020-NR1 $131,860 $84,165 $47,695 $130,664 $83,097 $47,567 2020 CIM 2020-R7 653,192 562,023 91,169 642,978 551,805 91,173 2020 CIM 2020-R6 418,390 334,151 84,239 408,175 323,886 84,289 2020 CIM 2020-R5 338,416 257,027 81,389 305,646 224,025 81,621 2020 CIM 2020-R4 276,316 207,237 69,079 264,556 195,372 69,184 2020 CIM 2020-R3 438,228 328,670 109,558 404,607 294,967 109,640 2020 CIM 2020-R2 492,347 351,926 140,421 450,379 375,590 74,789 2020 CIM 2020-R1 390,761 317,608 73,153 366,552 293,766 72,786 2019 CIM 2019-R5 315,039 252,224 62,815 267,643 205,115 62,528 2019 CIM 2019-R4 320,802 200,000 120,802 282,262 218,101 64,161 2019 CIM 2019-R3(1) 342,633 291,237 51,396 287,100 235,556 51,544 2019 CIM 2019-R2 464,327 358,172 106,155 414,682 309,600 105,082 2019 CIM 2019-R1 371,762 297,409 74,353 326,678 252,694 73,984 2018 CIM 2018-NR1 257,548 — 257,548 153,303 — 153,303 2018 CIM 2018-R6 478,251 334,775 143,476 345,676 204,467 141,209 2018 CIM 2018-R5 380,194 266,136 114,058 263,791 151,811 111,980 2018 CIM 2018-R4 387,222 271,056 116,166 288,425 173,907 114,518 2018 CIM 2018-R3 181,073 146,669 34,404 118,140 84,608 33,532 2018 CIM 2018-R2 380,292 266,204 114,088 257,813 144,278 113,535 2018 CIM 2018-R1 169,032 140,297 28,735 121,491 92,847 28,644 2017 CMLTI 2017-RP2 421,329 341,276 80,053 295,900 257,768 38,132 2017 CIM 2017-7 512,446 341,062 171,384 343,772 186,024 157,748 2017 CIM 2017-6 782,725 626,179 156,546 494,640 344,505 150,135 2017 CIM 2017-5 377,034 75,407 301,627 252,917 181,965 70,952 2017 CIM 2017-4 830,510 710,003 120,507 382,917 280,910 102,007 2017 CIM 2017-3 2,434,640 2,113,267 321,373 1,299,893 999,485 300,408 2017 CIM 2017-1 526,267 368,387 157,880 299,916 203,579 96,337 2016 CIM 2016-FRE1 185,811 115,165 70,646 106,812 44,957 61,855 2016 CIM 2016-3 1,746,084 1,478,933 267,151 844,597 609,936 234,661 2016 CIM 2016-2 1,762,177 1,492,563 269,614 849,397 610,532 238,865 2016 CIM 2016-1 1,499,341 1,266,898 232,443 717,808 517,658 200,150 2012 CSMC 2012-CIM3 329,886 305,804 24,082 49,279 38,897 10,382 2008 PHHMC 2008-CIM1 619,710 549,142 70,568 21,014 13,494 7,520 TOTAL $19,215,645 $15,051,072 $4,164,573 $12,059,423 $8,705,202 $3,354,221 All data as of December 31, 2020 $ in thousands (1) Accounted for as a secured borrowing CONSOLIDATED LOAN SECURITIZATIONS
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