EX-99.2
Published on February 14, 2024
INVESTOR PRESENTATION Q4 2023
DISCLAIMER 2 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; 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 inflation, interest rates and mortgage prepayment rates; prepayments of the mortgage and other loans underlying our mortgage- backed securities, or MBS, or other asset-backed securities, or ABS; rates of default, delinquencies, forbearance, deferred payments, 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; the 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; 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. We use our website (www.chimerareit.com) as a channel of distribution of company information. The information we post on our website may be deemed material. Accordingly, investors should monitor our website, in addition to following our press releases, SEC filings and public conference calls and webcasts. In addition, you may automatically receive email alerts and other information about Chimera when you enroll your email address by visiting our website, then clicking on “News and Events" and selecting "Email Alerts" to complete the email notification form. Our website and any alerts are not incorporated into this document. All information in this presentation is as of December 31, 2023, unless stated otherwise. 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.
CHIMERA IS A CREDIT-FOCUSED HYBRID MORTGAGE REIT 3 New York City-based Real Estate Investment Trust (REIT) founded in 2007 Internally managed since August 2015 Our hybrid approach allows us to maintain flexibility in portfolio allocation and liability management Total equity capital of approximately $2.6 billion, including approximately $1.6 billion common stock and $930 million preferred stock We have declared $6.2 billion to common and preferred stockholders since inception Our portfolio contains residential mortgage loans and mortgage-backed securities. Residential Mortgage Loans represent a significant part of our business and growth strategy. Our Residential Mortgage Loan portfolio is comprised of Reperforming Loans (RPLs), Non-QM & Investor Loans, Business Purpose Loans (BPLs), and Prime Jumbo Loans. We use leverage to enhance our returns and to finance the acquisition of mortgage assets through several funding sources including repurchase agreements (repo), warehouse lines, and most importantly, asset securitization. Total leverage ratio 4.0:1 / Recourse leverage ratio 1.0:1 Information is unaudited, estimated and subject to change. We strive to provide attractive risk-adjusted returns and long-term value, through the use of securitization, asset selection and leverage, for our shareholders.
2023 FULL YEAR ACTIVITY OVERVIEW 4Information is for the full year ended December 31st ,2023 and is unaudited, estimated and subject to change. (1) Expected to settle in Q1 2024. Continued focus on acquiring and securitizing residential mortgage loans. Purchased $1.4 billion of residential mortgage loans. 50% were Seasoned Reperforming Loans (RPLs), 33% were Non-QM (DSCR) Investor Loans, and 17% were Business Purpose Loans (BPLs). Issued $841 million in Seasoned RPL securitizations and $475 million in Non-QM (DSCR) Investor Loan securitizations. We exercised call rights and terminated 6 existing Seasoned RPL securitizations and issued 4 new securitizations totaling $1.2 billion. Resulted in re-capturing approximately $133 million. Total securitizations of $2.6 billion. Issued $2.1 billion in Seasoned RPL securitizations. Issued $475 million in Non-QM (DSCR) Investor Loan securitizations. Reduced our total recourse financing exposure by approximately $1.0 billion. Refinanced $250 million of high-cost fixed rate Non-Mark-to-Market (Non-MtM) financing into new 2-year capped floating rate Limited Mark-to-Market (Limited MtM) facility. Decrease in our recourse leverage from 1.3x as of Q4 2022 to 1.0x as of Q4 2023. Raised approximately $74 million through our ATM offering. Allocated a portion of the proceeds to approximately $152 million BPLs (1) and $22 million of Non-Agency RMBS Subordinates (1). We expect to purchase additional similar assets. Repurchased $33 million of common shares. Our interest rate hedges provides flexibility for the management of our NIM.* Interest rate swaps protect approximately 58% of our floating rate liabilities. $1.5 billion of interest rate swaptions. * Added $500 million 1x1 interest rate swaption in January 2024.
CURRENT BUSINESS HIGHLIGHTS 5 Q4 2023 Information is unaudited, estimated and subject to change. (1) Expected to settle in Q1 2024. (2) Added $500 million 1x1 interest rate swaption in Jan 2024. (3) Excludes $246 million Capped Floating Rate Limited MtM facility. Investment Portfolio Book value of $6.75 per share compared to $6.90 per share in Q3 2023 Economic return of -0.58% Purchased approximately $152 million of BPLs and $22 million of Non-Agency RMBS (1) Financing Reduced our total recourse financing exposure by an additional $171 million in Q4 2023 60% of our repo liabilities are Non-MtM and Limited MtM Recourse leverage of 1.0x Interest Rate Hedging $2.0 billion of floating rate financing $1.0 billion of interest rate swaps and $1.5 billion of interest rate swaptions (2) Interest rate swaps hedge 58% of the floating rate liabilities (3) Full Year 2023 Liquidity $222 million in cash $377 million in unencumbered assets Investment Portfolio Purchased $1.4 billion of residential mortgage loans $708 million of Seasoned RPLs $475 million of Non-QM (DSCR) Investor Loans $236 million of BPLs Issued $2.6 billion in securitizations Issued $2.1 Billion in Seasoned RPL securitizations Issued $475 million in Non-QM (DSCR) Investor Loan securitizations Economic return of -0.53% Financing Reduced our total recourse financing exposure by approximately $1.0 billion Reduced our recourse leverage from 1.3x in Q4 2022 to 1.0x in Q4 2023 Refinanced $250 million of high-cost fixed rate Non-MtM financing into new 2-year capped floating rate Limited MtM facility Capital Markets Raised approximately $74 million through our ATM offering Allocated a portion of the proceeds to approximately $152 million BPLs and $22 million of Non-Agency RMBS Subordinates (1) Capital Markets Raised approximately $74 million through our ATM offering Repurchased $33 million of our common shares
8%, Non Agency RMBS, $1,044 88%, Loans, $11,397 20%, Equity, $2,559 19%, Repo (Recourse Financing), $2,432 59%, Securitized Debt (Non-Recourse Financing), $7,677 Assets Liabilities & Equity Other Assets Cash Agency RMBS Agency CMBS Non Agency RMBS Loans Equity Other Liabilities Repo Securitized Debt Q4 2023 TOTAL GAAP PORTFOLIO 6 Our Capital Is Mainly Allocated to Residential Mortgage Loans Financed With Non-Recourse and Repo Financing. Information is unaudited, estimated and subject to change. (1) At fair value. (2) Includes $930 million of Preferred Equity. % Fixed-Rate & % Non-MtM and Limited MtM Financing Expected Repo Maturities Year-over-Year ($ in Millions) Total Assets $12,928 Q4 2023 GAAP Balance Sheet ($ in Millions) (1) Total Liabilities $10,369 Reduced our recourse financing exposure by approximately $1.0 billion in 2023 We use leverage to enhance our returns and to finance the acquisition of mortgage assets. We use several funding sources to finance our investments including repurchase agreements (repo), warehouse lines, and most importantly, asset securitization. Securitized Debt provides long-term stable financing and structural leverage to enhance returns and mitigate risk. 81% Fixed Rate (including Securitized Debt) 85% Non-MtM and Limited MtM (including Securitized Debt) Our Funding Strategy Q4 2023 $7 74 $1 60 $4 0 $1 21 $1 79 $2 46 $9 12 $0 $500 $1,000 $1,500 0-3 Months 3-6 Months 6-12 Months 12 Months+ MtM Limited MtM Non MtM Total Repo Balance $2,432 $1 ,3 47 $3 05 $1 77 $1 40 $2 26 $1 36 $1 ,1 13 $0 $500 $1,000 $1,500 0-3 Months 3-6 Months 6-12 Months 12 Months+ MtM Limited MtM Non MtM Total Repo Balance $3,435 Q4 2022
$1,118 $307 $459 $720 $1,000 $1,500 Recourse Financing Hedges Floating MtM Floating Limited MtM Floating Non MtM Fixed Non MtM Swaps Swaptions MtM 43% $973 $300 $450 $246 $463 $1,000 $1,500 Recourse Financing Hedges Floating MtM Floating Limited MtM Floating Non MtM Capped Floating Limited MtM Fixed Non MtM Swaps Total $2,500Total $2,432 Interest Rate Swaptions Interest Rate Swaps $2.6 billion in repo liabilities $1.1 billion of MtM financing 1.0x recourse leverage 57% of repos are Non-MtM and Limited MtM Interest rate swaps hedge 53% of the floating rate liabilities Weighted average pay-fixed rate of 3.26% $1.5 billion of 1x1 interest rate swaptions Weighted average pay-fixed rate of 3.56% $2.4 billion in repo liabilities $973 million of MtM financing 1.0x recourse leverage 60% of repos are Non-MtM and Limited MtM Interest rate swaps hedge 58% of the floating rate liabilities (1) Weighted average pay-fixed rate of 3.26% $1.5 billion of 1x1 interest rate swaptions * Weighted average pay-fixed rate of 3.56% RECOURSE FINANCING & INTEREST RATE HEDGING Information is unaudited, estimated and subject to change. (1) Excludes $246 million Capped Floating Rate Limited MtM facility. Q3 2023 Overview Q4 2023 Overview 7 Total Floating Rate(1) $1,723,71% Total Non-MtM & Limited MtM $1,459, 60% MtM 40% Q3 2023 Recourse Financing & Interest Rate Hedges ($ in Millions) Total $2,500 Total Floating Rate $1,884,72% Interest Rate Swaptions Interest Rate Swaps Total $2,604 Q4 2023 Recourse Financing & Interest Rate Hedges ($ in Millions) Total Non-MtM & Limited MtM $1,486, 57% * Added $500 million 1x1 interest rate swaption with pay-fixed rate of 3.45% in January 2024.
Chimera’s loan portfolio is very seasoned with 81% of loans originated prior to 2008. Acquires residential mortgage loans from banks, non-bank financial institutions and government sponsored agencies Finances purchases of mortgage loans via warehouse facilities and repurchase agreements (recourse financing) Securitizes mortgage loans by selling senior securities and retains subordinate and interest-only securities (long-term non-recourse financing) Finances retained securities via repurchase agreements (recourse financing) to enhance return on investment Chimera’s Residential Mortgage Loan Process Overview Q4 2023 Key Loan Statistics Total Current Unpaid Principal Balance (UPB) $11.9 Billion (1) Total Number of Loans 112,572 Weighted Average Loan Size $106K Weighted Average Coupon 5.96% WA FICO 665 Weighted Average Loan Age (WALA) 184 Months Loan-to-Value (LTV) at Origination 79% Amortized Loan-to-Value (LTV) 65% HPI Updated Loan-to-Value (LTV) (2) 44% 60+ Days Delinquent 9.5% RESIDENTIAL MORTGAGE LOANS OVERVIEW Chimera’s loan portfolio has benefited from historic levels of home equity due to HPA. 8 Source: Bloomberg & IntexCalc. Information is unaudited, estimated and subject to change. (1) Includes $565 million of Residential Mortgage Loans held in financing trusts & $644 million of Non-QM and Prime Jumbo securitizations. (2) Latest HPI data as of October 31, 2023.. Chimera’s loan portfolio has a weighted average coupon of 5.96%. Delinquencies on Chimera’s loan portfolio are below Pre-Pandemic levels. 162 173 184 180 184 2019 2020 2021 2022 2023 66 62 52 49 45 2019 2020 2021 2022 2023O ct -0 3 O ct -0 7 O ct -1 1 O ct -1 5 O ct -1 9 O ct -2 3 9.9 12.9 11.9 10.7 9.5 2019 2020 2021 2022 2023 6.54 6.30 6.10 5.85 5.96 2019 2020 2021 2022 2023 60+ Day Delinquency (%) Weighted Average Coupon (%) Weighted Average Loan Age (Months) Loan Origination Year ($ in Billions) S&P CoreLogic Case Shiller National HPI (2) HPI Updated LTV % $9.6 81% $2.2 19% UPB Originated Prior to 2008 UPB Originated After 2008 $11.9 Billion Total Balance WALA of 184 months
Q4 2023 RPL SECURITIZATIONS CREDIT PERFORMANCE 9 Q4 2023 RPL Securitizations Loan Characteristics Total Original Unpaid Principal Balance (UPB) $16.1 Billion Total Current Unpaid Principal Balance (UPB) $10.7 Billion Total Number of Loans 109,577 Weighted Average Loan Size $97K Weighted Average Coupon 5.98% WA FICO 655 Average Loan Age 203 Months Amortized Loan-to-Value (LTV) 64% HPI Updated Loan-to-Value (LTV) (1) 41% 60+ Days Delinquent 9.9% Source: Bloomberg & IntexCalc. Information is unaudited, estimated and subject to change. (1) Latest HPI data as of October 31, 2023. 5 10 15 20 D ec -2 0 M ar -2 1 Ju n- 21 Se p- 21 D ec -2 1 M ar -2 2 Ju n- 22 Se p- 22 D ec -2 2 M ar -2 3 Ju n- 23 Se p- 23 D ec -2 3 5 10 15 20 D ec -2 0 M ar -2 1 Ju n- 21 Se p- 21 D ec -2 1 M ar -2 2 Ju n- 22 Se p- 22 D ec -2 2 M ar -2 3 Ju n- 23 Se p- 23 D ec -2 3 0.0 0.2 0.4 0.6 0.8 1.0 D ec -2 0 M ar -2 1 Ju n- 21 Se p- 21 D ec -2 1 M ar -2 2 Ju n- 22 Se p- 22 D ec -2 2 M ar -2 3 Ju n- 23 Se p- 23 D ec -2 3 0 25 50 75 D ec -2 0 M ar -2 1 Ju n- 21 Se p- 21 D ec -2 1 M ar -2 2 Ju n- 22 Se p- 22 D ec -2 2 M ar -2 3 Ju n- 23 Se p- 23 D ec -2 3 60+ Day Delinquency (%) 3 Month Prepayment Rate (CPR %) 3 Month Default Rate (CDR %) 3 Month Loss Severity (%) Reperforming Loans are a cornerstone of our portfolio. Residential Credit fundamentals and performance has been stable given home price appreciation and the fully seasoned nature of our loans.
Chimera has RMBS & Loan issuance with an unpaid principal balance of approximately $14.2 billion currently outstanding. Chimera has 14 outstanding securitizations currently callable. Re-securitization is an additional source for future capital re-deployment. Type Vintage Type Number of Deals Issued Total Orig. Balance Senior Bond Orig. Balance Subordinate Bond Orig. Balance Number of Deals Outstanding 2008 Loan 2 770,865 670,949 99,916 2 2009 RMBS 3 3,535,035 1,965,001 1,570,034 2 2010 RMBS 14 5,638,378 2,156,169 3,482,209 6 2011 RMBS 2 359,154 177,139 182,015 2 2012 Loan 3 1,496,917 1,378,409 118,508 - 2014 Loan & RMBS 2 816,126 522,220 293,906 - 2015 Loan 4 2,048,483 1,385,162 663,321 - 2016 Loan 6 5,861,574 4,148,904 1,712,670 1 2017 Loan 9 7,364,441 5,217,632 2,146,809 - 2018 Loan 9 3,021,614 2,209,835 811,779 3 2019 Loan 12 5,007,276 3,850,091 1,157,185 11 2020 Loan 11 4,163,703 3,254,207 909,496 9 2021 Loan 14 8,202,315 6,521,955 1,680,360 14 2022 Loan 5 1,570,674 1,156,067 414,607 5 2023 Loan 8 2,553,300 1,991,406 561,894 8 Total 104 52,409,855 36,605,146 15,804,709 63 SECURITIZATION ACTIVITY 10 0 2,000 4,000 6,000 8,000 10,000 2008 2009 2010 2011 2012 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 Senior Bond Subordinate Bond Chimera’s Securitization History ($ in Millions) Chimera has completed 104 deals and securitized $52.4 billion of residential mortgage assets which includes Legacy Non-Agency RMBS, Seasoned Reperforming Loans, Agency Eligible Investor Loans, Non-QM DSCR , and Prime Jumbo loans, since inception. Securitization History ($ in Thousands) Balances At Issuance Information is unaudited, estimated and subject to change.
SUMMARY 11 Information is unaudited, estimated and subject to change. (1) Latest HPI data as of October 31, 2023. (2) Excludes $246 million Capped Floating Rate Limited MtM facility. (3) Added $500 million 1x1 interest rate swaption in January 2024. Portfolio Investments Cash take-out from our existing RPL portfolio serves as a significant source of capital. 14 securitizations are currently callable, 4 securitizations are callable in 2024, and 6 securitizations are callable in 2025. The longer these deals are outstanding, the greater the potential cash take-out. Capital Deployed capital into Seasoned RPL, Non-QM (DSCR) Investor Loans, and BPLs. Completed 8 securitizations totaling $2.6 billion. • Issued $2.1 billion in Seasoned RPL securitizations. • Issued $475 million in Non-QM (DSCR) Investor Loan securitizations Credit Performance We believe credit performance on our existing loan portfolio remains strong. The weighted average HPI LTV of our loan portfolio is 44% (1). 184 months of seasoning. Financing & Liquidity Reduced our total recourse financing exposure by approximately $1 billion. Decrease in our recourse leverage from 1.3x as of Q4 2022 to 1.0x as of Q4 2023 $222 million in cash and $377 million in unencumbered assets. Interest Rate Hedging Current hedges are positioned in anticipation of the end of the Fed tightening cycle. 1-year interest rate swaps protect 58% (2) of our floating rate repo and $1.5 billion of 1x1 interest rate swaptions (3) gives us flexibility in case the Fed holds rates higher through 2025.
APPENDIX Q4 2023
13 FINANCIAL METRICS Information is unaudited, estimated and subject to change. (1) Earnings available for distribution per adjusted diluted common share is a non- GAAP measure. See additional discussion in the Appendix section of this presentation. $0.34 $0.17 $0.08 ($0.07) $0.05 Q4 22 Q1 23 Q2 23 Q3 23 Q4 23 $0.11 $0.13 $0.12 $0.13 $0.13 Q4 22 Q1 23 Q2 23 Q3 23 Q4 23 $7.49 $7.41 $7.29 $6.90 $6.75 Q4 22 Q1 23 Q2 23 Q3 23 Q4 23 Q4 2023 Economic Return of -0.58% Full-Year Economic Return of -0.53% 1.3x 1.2x 1.0x 1.0x 1.0x Q4 22 Q1 23 Q2 23 Q3 23 Q4 23 $265 $232 $201 $139 $222 Q4 22 Q1 23 Q2 23 Q3 23 Q4 23 $431 $427 $470 $467 $377 Q4 22 Q1 23 Q2 23 Q3 23 Q4 23 GAAP Earnings Per Share Earnings Available For Distribution (EAD) Per Share(1) GAAP Book Value Per Share Recourse Leverage Cash ($ in Millions) Unencumbered Assets Market Value ($ in Millions)
EARNINGS AVAILABLE FOR DISTRIBUTION Earnings available for distribution is a non-GAAP measure and is defined as GAAP net income excluding unrealized gains or losses on financial instruments carried at fair value with changes in fair value recorded in earnings, realized gains or losses on the sales of investments, gains or losses on the extinguishment of debt, changes in the provision for credit losses, other gains or losses on equity investments, and transaction expenses incurred. Transaction expenses are primarily comprised of costs only incurred at the time of execution of our securitizations and certain structured secured financing agreements and include costs such as underwriting fees, legal fees, diligence fees, bank fees and other similar transaction related expenses. These costs are all incurred prior to or at the execution of the transaction and do not recur. Recurring expenses, such as servicing fees, custodial fees, trustee fees and other similar ongoing fees are not excluded from earnings available for distribution. We believe that excluding these costs is useful to investors as it is generally consistent with our peer groups treatment of these costs in their non-GAAP measures presentation, mitigates period to period comparability issues tied to the timing of securitization and structured finance transactions, and is consistent with the accounting for the deferral of debt issue costs prior to the fair value election option made by us. In addition, we believe it is important for investors to review this metric which is consistent with how management internally evaluates the performance of the Company. Stock compensation expense charges incurred on awards to retirement eligible employees is reflected as an expense over a vesting period (generally 36 months) rather than reported as an immediate expense. Earnings available for distribution is the Economic net interest income, as defined previously, reduced by compensation and benefits expenses (adjusted for awards to retirement eligible employees), general and administrative expenses, servicing and asset manager fees, income tax benefits or expenses incurred during the period, as well as the preferred dividend charges. We view Earnings available for distribution as one measure of our investment portfolio's ability to generate income for distribution to common stockholders. Earnings available for distribution is one of the metrics, but not the exclusive metric, that our Board of Directors uses to determine the amount, if any, of dividends on our common stock. Other metrics that our Board of Directors may consider when determining the amount, if any, of dividends on our common stock include (among others) REIT taxable income, dividend yield, book value, cash generated from the portfolio, reinvestment opportunities and other cash needs. In addition, Earnings available for distribution is different than REIT taxable income and the determination of whether we have met the requirement to distribute at least 90% of our annual REIT taxable income (subject to certain adjustments) to our stockholders in order to maintain qualification as a REIT is not based on Earnings available for distribution. Therefore, Earnings available for distribution should not be considered as an indication of our REIT taxable income, a guaranty of our ability to pay dividends, or as a proxy for the amount of dividends we may pay. We believe Earnings available for distribution as described above helps us and investors evaluate our financial performance period over period without the impact of certain transactions. Therefore, Earnings available for distribution should not be viewed in isolation and is not a substitute for net income or net income per basic share computed in accordance with GAAP. In addition, our methodology for calculating Earnings available for distribution may differ from the methodologies employed by other REITs to calculate the same or similar supplemental performance measures, and accordingly, our Earnings available for distribution may not be comparable to the Earnings available for distribution reported by other REITs. 14 Information is unaudited, estimated and subject to change.
EARNINGS AVAILABLE FOR DISTRIBUTION (CONTINUED) 15 The following table provides GAAP measures of net income and net income per diluted share available to common stockholders for the periods presented and details with respect to reconciling the line items to Earnings available for distribution and related per average diluted common share amounts. Earnings available for distribution is presented on an adjusted dilutive shares basis. For the Quarters Ended December 31, 2023 September 30, 2023 June 30, 2023 March 31, 2023 December 31, 2022 (dollars in thousands, except per share data) GAAP Net income (loss) available to common stockholders $ 12,104 $ (16,268) $ 17,586 $ 38,928 $ 78,716 Adjustments: Net unrealized (gains) losses on financial instruments at fair value (6,815) 43,988 (6,954) (64,592) (112,026) Net realized (gains) losses on sales of investments 3,752 460 21,758 5,264 39,443 (Gains) losses on extinguishment of debt 2,473 — (4,039) (2,309) — Increase (decrease) in provision for credit losses 2,330 3,217 2,762 3,062 3,834 Net unrealized (gains) losses on derivatives 15,871 (17) (17,994) 8,551 10,171 Realized gains (losses) on derivatives — — 6,822 34,134 561 Transaction expenses 425 90 8,456 6,409 3,274 Stock Compensation expense for retirement eligible awards (391) (392) (388) 2,141 (309) Other investment (gains) losses 986 (2,381) 421 (117) 2,383 Earnings available for distribution $ 30,735 $ 28,697 $ 28,430 $ 31,471 $ 26,047 GAAP net income (loss) per diluted common share $ 0.05 $ (0.07) $ 0.08 $ 0.17 $ 0.34 Earnings available for distribution per adjusted diluted common share $ 0.13 $ 0.13 $ 0.12 $ 0.13 $ 0.11 Information is unaudited, estimated and subject to change.
NET ASSET BREAKDOWN 16 Net Asset Breakout Q4 2023 Q3 2023 Direct Holdings Securitization Trusts Financing Trusts Total Direct Holdings Securitization Trusts Financing Trusts Total Investments: Non-Agency RMBS, at fair value 794,812,473 248,993,153 - 1,043,805,625 774,783,475 249,825,136 - 1,024,608,611 Agency MBS, at fair value 102,483,833 - - 102,483,833 127,706,209 - - 127,706,209 Residential Mortgage Loans (1) RPL 10,236,184,390 - 10,236,184,390 - 10,229,500,014 - 10,229,500,014 Investor - 631,123,393 - 631,123,393 - 644,357,697 - 644,357,697 RTL - - 121,648,949 121,648,949 - - 144,525,772 144,525,772 Jumbo Prime - - 408,089,359 408,089,359 - - 408,548,108 408,548,108 Total Investment Assets 897,296,306 11,116,300,935 529,738,308 12,543,335,549 902,489,684 11,123,682,846 553,073,880 12,579,246,410 Securitized debt, collateralized by: Non-Agency RMBS - 75,012,162 - 75,012,162 - 75,818,890 - 75,818,890 Residential Mortgage Loans RPL - 7,112,419,749 - 7,112,419,749 - 7,106,725,100 - 7,106,725,100 Investor - 489,461,380 - 489,461,380 - 491,995,701 - 491,995,701 Secured financing agreements, secured by: Non-Agency RMBS 560,925,500 127,287,000 - 688,212,500 602,821,568 132,505,000 - 735,326,568 Agency RMBS 68,502,000 - - 68,502,000 79,751,000 - - 79,751,000 Residential Mortgage Loans RPL - 1,226,515,542 - 1,226,515,542 - 1,331,839,840 - 1,331,839,840 RTL - - 98,646,402 98,646,402 - - 117,155,473 117,155,473 Jumbo Prime - - 350,238,243 350,238,243 - - 339,837,915 339,837,915 Total Investment Liabilities 629,427,500 9,030,695,832 448,884,645 10,109,007,978 682,572,567 9,138,884,531 456,993,388 10,278,450,487 Net Assets 267,868,805 2,085,605,103 80,853,663 2,434,327,571 219,917,117 1,984,798,315 96,080,491 2,300,795,923 Information is unaudited, estimated and subject to change. (1) The above table excludes approximately $152 million of Loans held for investment for December 31, 2023, which were purchased prior to the reporting date and settled subsequent to the reporting date.
NET INTEREST SPREAD 17 The table below shows our average earning assets held, interest earned on assets, yield on average interest earning assets, average debt balance, economic interest expense, economic average cost of funds, economic net interest income, and net interest rate spread for the periods presented. Information is unaudited, estimated and subject to change. For the Quarter Ended December 31, 2023 September 30, 2023 December 31, 2022 (dollars in thousands) (dollars in thousands) (dollars in thousands) Average Balance Interest Average Yield/Cost Average Balance Interest Average Yield/Cost Average Balance Interest Average Yield/Cost Assets: Interest-earning assets (1): Agency RMBS $ 19,136 $ 303 6.3 % $ 18,990 $ 234 4.9 % $ 31,542 $ 346 4.4 % Agency CMBS 105,270 1,138 4.3 % 124,094 1,701 5.5 % 441,421 4,291 3.9 % Non-Agency RMBS 950,366 29,611 12.5 % 961,257 28,826 12.0 % 1,013,693 29,304 11.6 % Loans held for investment 11,882,662 158,501 5.3 % 12,188,221 162,530 5.3 % 12,075,239 151,478 5.0 % Total $12,957,434 $ 189,553 5.9 % $13,292,562 $ 193,290 5.8 % $13,561,895 $ 185,419 5.5 % Liabilities and stockholders' equity: Interest-bearing liabilities (2): Secured financing agreements collateralized by: Agency RMBS $ — $ — — % $ — $ — — % $ 4,547 $ 46 4.0 % Agency CMBS 75,847 1,071 5.6 % 90,205 1,200 5.3 % 358,914 3,464 3.9 % Non-Agency RMBS 710,550 13,561 7.6 % 742,579 17,769 9.6 % 788,795 13,275 6.7 % Loans held for investment 1,761,188 30,298 6.9 % 1,832,445 29,896 6.5 % 1,971,144 33,776 6.9 % Securitized debt 8,422,017 76,327 3.6 % 8,663,773 78,434 3.6 % 8,056,913 57,959 2.9 % Total $10,969,602 $ 121,257 4.4 % $11,329,002 $ 127,299 4.5 % $11,180,313 $ 108,520 3.9 % Economic net interest income/net interest rate spread $ 68,296 1.5 % $ 65,991 1.3 % $ 76,899 1.6 % Net interest-earning assets/net interest margin $ 1,987,832 2.1 % $ 1,963,560 2.0 % $ 2,381,582 2.3 % Ratio of interest-earning assets to interest bearing liabilities 1.18 1.17 1.21 (1) Interest-earning assets at amortized cost (2) Interest includes periodic net interest cost on swaps
THE SECURITIZATION PROCESS CIM buys $100MM Non-Agency mortgage bond or loans from dealer. CIM deposits the bond or loans into a trust. The trust issues bonds backed by the cashflow of the underlying bond or loans. The Senior A note receives all principal from the collateral and interest on its $75MM bond until the bond is paid off. The Subordinate B note receives interest on its $25MM bond, absorbs losses and starts to receive principal only after the Senior A note is paid in full. 3x Non-Recourse Leverage. $100MM Non-Agency Mortgage Bond or Loans $100MM Trust (Non-Agency RMBS Collateral) $75MM Senior A Note Sold to 3rd Party $25MM Subordinate B Note Retained by CIM Deposit 18 Recourse Financing $15MM Repo Financing Of Subordinate B Note $10MM Equity Of Subordinate B Note 60% of the Subordinate B note is financed through a repurchase agreement. The remaining 40% of the Subordinate B note is equity. 1.5x Recourse Leverage. (1) The hypothetical diagram below shows the typical structure of our securitization transactions. Chimera has created term-funding through securitization (1)
CONSOLIDATED LOAN SECURITIZATIONS 19 VINTAGE DEAL TOTAL ORIGINAL FACE ORIGINAL FACE OF TRANCHES SOLD ORIGINAL FACE OF TRANCHES RETAINED TOTAL REMAINING FACE REMAINING FACE OF TRANCHES SOLD REMAINING FACE OF TRANCHES RETAINED FIRST CALL DATE 2023 CIM 2023-I2 238,530 202,750 35,780 225,752 189,972 35,780 July 2026 2023 CIM 2023-R4 393,997 343,368 50,629 371,149 320,507 50,629 April 2028 2023 CIM 2023-NR2 66,661 48,328 18,333 59,315 41,896 17,419 April 2024 2023 CIM 2023-R3 450,834 394,479 56,355 422,026 365,626 56,355 April 2025 2023 CIM 2023-I1 236,161 205,578 30,583 220,543 189,960 30,583 April 2026 2023 CIM 2023-R2 447,384 364,841 82,543 411,467 328,913 82,543 March 2028 2023 CIM 2023-NR1 134,016 97,161 36,855 112,401 75,706 36,695 Jan 2024 2023 CIM 2023-R1 585,718 512,503 73,215 529,930 456,713 73,215 Jan 2025 2022 CIM 2022-NR1 144,912 105,061 39,851 127,813 89,254 38,559 Oct 2025 2022 CIM 2022-R3 369,891 327,168 42,723 321,506 278,774 42,721 Sept 2027 2022 CIM 2022-I1 219,442 122,997 96,445 197,206 100,761 96,445 June 2026 2022 CIM 2022-R2 508,202 440,865 67,337 435,620 368,457 67,163 May 2027 2022 CIM 2022-R1 328,226 294,090 34,136 267,828 233,554 34,115 Feb 2027 2021 CIM 2021-NR4 167,596 125,747 41,849 120,978 78,328 42,650 Currently Callable 2021 CIM 2021-R6 353,797 336,284 17,513 226,459 208,946 17,513 Sept 2026 2021 CIM 2021-R5 450,396 382,836 67,560 349,903 282,636 67,259 Aug 2024 2021 CIM 2021-R4 545,684 463,831 81,853 363,615 281,775 81,840 June 2024 2021 CIM 2021-R3 859,735 730,775 128,960 527,186 397,808 128,960 April 2025 2021 CIM 2021-NR3 117,373 82,161 35,212 68,654 30,172 38,482 Currently Callable 2021 CIM 2021-R2 1,497,213 1,272,631 224,582 846,435 620,256 224,582 March 2025 2021 CIM 2021-NR2 240,425 180,318 60,107 145,745 76,501 69,244 Currently Callable 2021 CIM 2021-R1 2,098,584 1,783,797 314,787 1,218,296 900,948 314,787 Feb 2025 2021 CIM 2021-NR1 232,682 162,877 69,805 128,065 49,645 78,420 Currently Callable 2020 CIM 2020-R7 653,192 562,023 91,169 390,662 300,078 90,584 Currently Callable 2020 CIM 2020-R6 418,390 334,151 84,239 273,862 190,013 83,850 Currently Callable 2020 CIM 2020-R5 338,416 257,027 81,389 174,767 93,310 81,389 Clean-up Call 2020 CIM 2020-R3 438,228 328,670 109,558 265,297 156,403 108,894 Currently Callable 2020 CIM 2020-R2 492,347 416,761 75,586 303,069 229,430 73,639 Clean-up Call 2020 CIM 2020-R1 390,761 317,608 73,153 257,644 184,853 72,757 Currently Callable 2019 SLST 2019-1 1,217,441 941,719 275,722 786,164 550,309 228,319 Currently Callable 2019 CIM 2019-R5 315,039 252,224 62,815 166,050 103,403 61,981 Clean-up Call 2019 CIM 2019-R4 320,802 256,641 64,161 176,465 113,878 62,587 Currently Callable 2019 CIM 2019-R3 342,633 291,237 51,396 163,489 112,944 50,545 Currently Callable 2019 CIM 2019-R2 464,327 358,172 106,155 293,122 188,793 104,328 Clean-up Call 2019 CIM 2019-R1 371,762 297,409 74,353 221,257 148,555 72,702 Currently Callable 2018 CIM 2018-R3 181,073 146,669 34,404 62,440 30,182 32,086 Currently Callable 2016 CIM 2016-FRE1 185,811 115,165 70,646 71,341 14,408 56,933 Currently Callable 2008 PHHMC 2008-CIM1 619,710 549,142 70,568 7,910 5,896 1,991 Do Not Hold Call Rights TOTAL $17,437,391 $14,405,064 $3,032,327 $11,311,431 $8,389,563 $2,908,544 Information is unaudited, estimated and subject to change. (dollars in thousands) (dollars in thousands)
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