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- **$267M HomeXpress Acquisition**: Expands non-QM origination to $4B by 2026, targeting 19-23% ROE.
- **Portfolio Shift**: 70% residential credit, 17% Agency MBS, 1% MSR, with $752M liquidity.
- **Strategic Growth**: 2026 securitization pipeline for mid-teens returns, balancing dividend and reinvestment.

**【CEO Summary Section】**
- Acquired HomeXpress for $267 million, including $120 million premium, to expand non-QM origination and MSR growth.
- Q4 2025 originations expected at $1 billion (UPB), with 2026 projections of $4 billion and 19-23% ROE.
- Strategic fit with Palisades' asset management and Chimera's securitization expertise, targeting 5.1% non-QM market share by 2025.

**【CFO Financial Commentary】**
- GAAP net loss of $22 million (Q3 2025), with book value at $20.24 per share.
- Liquidity increased to $752 million post-acquisition, with $2.1 billion in recourse leverage.
- Transaction costs of $10 million driven by HomeXpress integration.

**【CIO Portfolio Update】**
- Repositioned portfolio to 70% residential credit, 17% Agency MBS, and 1% MSR.
- Sold $453 million of non-Agency RMBS, redeploying $275 million into Agency MBS for 10.6% ROE.
- MSR investments and securitization pipeline for 2026, targeting mid-teens returns.

**【Q&A Highlights】**
- Book value decline due to tighter non-Agency RMBS spreads vs. loan seasoning.
- HomeXpress earnings retention strategy to balance dividend growth and reinvestment.
- 2026 securitization plans for 4-5 deals/year, with 15-18% ROE on retained pieces.

Chimera Investment Corporation (CIM) Q3 2025 Earnings Call Transcript

- **Strategic Focus on Residential Credit**: Acquisitions of Palisades and HomeXpress to build end-to-end platform in non-QM and MSR.
- **Financial Performance**: Q2 GAAP net income $14M, book value $20.91, with 1.5% net interest spread and $69M economic NII.
- **Growth Catalysts**: $6.5B MSR deal and $2.3B Agency RMBS deployment targeting low-teens ROE; HomeXpress expected to drive 2026+ accretion.
- **Liquidity & Leverage**: $561M liquidity, 1.8:1 recourse leverage; 58% non-Agency repo non-mark-to-market.
- **Dividend Strategy**: Balancing near-term payout with reinvestment for long-term growth.
- **Market Sensitivity**: Fed rate cuts could enhance net interest margin and MSR economics.


**CEO Summary Section**
- Emphasized strategic focus on residential mortgage credit, with acquisitions of Palisades Group and HomeXpress to enhance platform capabilities.
- Highlighted the 'hedgehog concept' of concentrating on core competencies, such as non-QM origination and MSR investments.
- Noted short-term earnings drag from capital redeployment but expects accretive growth in 2026+ from HomeXpress and MSR transactions.

**CFO Financial Commentary**
- Q2 2025 GAAP net income: $14 million ($0.17 per share); book value: $20.91 per share.
- Economic net interest income: $69 million; net interest spread: 1.5%.
- Liquidity: $561 million in cash and unencumbered assets; recourse leverage: 1.8:1.
- Transaction expenses down $5 million due to reduced securitization activity.

**Portfolio & Investment Update**
- Deployed $2.3 billion in Agency RMBS with 6.5x leverage, targeting low-teens ROE.
- Acquired $6.5 billion Fannie Mae MSR with 4% average rate, 750 FICO score borrowers.
- MSR and Agency RMBS positions expected to deliver low-teens levered ROE.
- Callable securitization analysis: 18 deals ($6 billion) with potential for accretive redeployment.

**Q&A Highlights**
- **Acquisition Strategy**: Open to residential credit-related M&A; HomeXpress expected to be 'materially accretive' in 2026+.
- **Portfolio Mix**: Long-term target for 15-25% MSR allocation; Agency RMBS as liquidity tool.
- **Dividend Policy**: Balancing near-term payout with reinvestment for future growth.
- **Market Outlook**: Fed rate cuts could improve net interest margin and MSR economics.
- **HomeXpress Production**: 50%+ of loans sold to third parties, 50%+ retained for balance sheet or funds.

**Risk Management**
- 58% of non-Agency RMBS repo ($1.4 billion) non-mark-to-market, stabilizing funding during volatility.
- Agency RMBS hedged with $2 billion swaps, protecting against rate risk.
- Callable securitization redeployment subject to breakeven ROE thresholds and payback periods.


Chimera Investment (CIM)-6 Aug 25-2025 Q2 Earnings call transcript

- **Q1 Growth**: 11% increase in distributable earnings, 7.4% book value rise, 9.2% economic return
- **$187M Capital Deployment**: Refinanced non-Remic securitizations, targeting low-teen returns
- **Resilient Balance Sheet**: Withstood April volatility with <$20M margin calls, $253M cash buffer
- **Strategic Expansion**: $37B AUM across residential mortgage products, +$1.5B in third-party loans Q1
- **Hedging Effectiveness**: Agency MBS/MSR allocation offsets credit portfolio duration risk
- **Dividend Decision**: Board to evaluate in next 1-2 months, cautious on macro volatility

**【CEO Summary Section】**
- **Strong Q1 Results**: Earnings available for distribution increased 11%, book value rose 7.4%, and economic return reached 9.2%. 
- **Palisades Integration Success**: Third-party loans under management grew 43% YoY to $24B, with $1.5B added in Q1. Combined assets under management now total $37B.
- **Balance Sheet Optimization**: 
  - Refinanced $610M in repo lines, reducing costs and extending maturities
  - Exercised call rights on $312M of non-Remic securitizations, freeing $187M in cash
  - Acquired $288M in non-QM loans and $149M in agency RMBS
- **Resilient Portfolio**: Withstood April's volatility with <$20M margin calls, maintaining $253M in cash and $444M in unencumbered assets.
- **2025 Strategy**: Focus on diversifying into agency MBS/MSRs, growing fee income, and adding accretive platforms.

**【CFO Financial Commentary】**
- **Q1 Financial Highlights**: 
  - GAAP net income: $145.9M ($1.77/share)
  - Economic net interest income: $72.3M
  - Net interest spread: 1.5%
  - Leverage: 3.9x (recourse: 1.2x)
  - Liquidity: $697M in cash/unencumbered assets
- **Hedging Activity**: 
  - Short 2Y Treasury futures to protect securitization spread
  - $1B 2Y interest rate cap with 3.95% strike
  - $155M pay-fixed swap futures
- **Cost Management**: Transactional expenses $5.7M (securitization-related)

**【Portfolio & Securitization Review】**
- **Market Conditions**: 
  - 2s10s Treasury spread widened 36bps
  - Non-QM AAA spreads +25bps, BBB +10bps
  - Housing starts down 14%, home sales at 4M/yr pace
- **Portfolio Performance**: 
  - Reperforming loan delinquency stable at 8.9%
  - Book value growth driven by yield compression in performing loans
- **Capital Deployment**: 
  - $187M from securitization refinancing
  - $100M from repo line refinancing
  - 40% of freed capital deployed to date in agency MBS

**【Q&A Highlights】**
- **Book Value Outlook**: Q2 book value flat to down ~40bps due to credit spread widening offset by securitized debt gains
- **Dividend Policy**: Board will evaluate in next 1-2 months, considering market volatility
- **Third-Party Growth**: Potential for continued expansion, but dependent on market conditions
- **Hedge Roll-Off**: Duration risk managed through agency MBS/MSR allocation, not hedged
- **Delinquency Sensitivity**: RPL portfolio stable at 10% delinquency, non-QM equity cushion provides resilience

Chimera Investment Corporation (CIM) Q1 2025 Earnings Call Transcript

- **Market Shifts**: 2024 saw record-long rates and housing market challenges, but home prices rose 4.3% Y/Y. 2025 strategy emphasizes agency RMBS diversification and MSR acquisitions.
- **Financial Resilience**: Despite Q4 GAAP loss, economic net interest income of $69.2M reflects stable 6% asset yield. 69% of floating-rate liabilities hedged via swaps.
- **Portfolio Strength**: $10.7B loan portfolio with 40% LTV and 9.1% delinquency rate. Q1 2025 securitization sold senior securities at 5.8% cost, retaining high-yield subordinates.
- **Growth Catalysts**: Palisades acquisition adds fee-based income; re-leveraging securitizations to redeploy $62M into higher-yielding assets.
- **Risk Management**: Mitigated wildfire exposure with minimal expected impact; 48% of funding in non-mark-to-market facilities.


**【CEO Summary Section】**
- **Market Environment Overview**: 2024 saw interest rate volatility, with the 10-year Treasury rising to 4.6% despite Fed rate cuts. The housing market faced challenges, including declining home sales and elevated mortgage rates, though home prices rose 4.3% year-over-year.
- **Strategic Adjustments**: Increased liquidity through floating-rate agency CMOs and diversification into non-QM loans. Acquired Palisades Group to expand fee-based income via third-party asset management.
- **2025 Outlook**: Focus on growing the agency RMBS portfolio for stability, exploring MSR acquisitions, and leveraging re-leveraging opportunities to redeploy capital into higher-yielding assets.

**【CFO Financial Commentary】**
- **Q4 2024 Financials**: GAAP net loss of $168.3M ($2.07/share), driven by mark-to-market impacts. Economic net interest income of $69.2M, with a 6% yield on interest-earning assets and 4.5% cost of funds.
- **Leverage and Liquidity**: Total leverage of 4x, with 48% of secured funding in non-mark-to-market facilities. Hedged 69% of floating-rate liabilities using swaps, reducing interest rate risk.
- **Cost Management**: Transaction expenses down year-over-year, excluding Palisades-related costs. Compensation and G&A expenses remained stable.

**【Investment Portfolio Review】**
- **Loan Portfolio Performance**: $10.7B in residential loans, with 9.1% serious delinquency rate (stable Q/Q). Re-performing loans average 17 years old, LTV 40%, and 6% interest rate.
- **Securitization Activity**: Closed $287M securitization in Q1 2025, selling senior securities at 5.8% cost. Retained subordinate tranches for higher yields.
- **Risk Management**: Mitigated wildfire exposure through asset management and servicer collaboration, expecting minimal impact on portfolio.

**【Q&A Key Themes】**
- **ROE and Book Value**: Target mid-teens ROE on new investments; book value volatility driven by rate movements, with plans to stabilize via MSR allocation.
- ** MSR Strategy**: Seeking current coupon MSRs for negative duration hedge; deployment scale dependent on capital availability and market conditions.
- **GSE Reform**: Potential opportunities in non-agency RMBS if GSEs focus on core products; cautious on regulatory impact.
- **Liquidity and Margin Calls**: Minimal margin calls in Q4; $610M cash and unencumbered assets provide liquidity buffer.


Chimera Investment Corporation (CIM) Q4 2024 Earnings Call Transcript

Chimera Investment (CIM)-6 Nov 24-2024 Q3 Earnings call transcript

Chimera Investment (CIM)-7 Aug 24-2024 Q2 Earnings call transcript

Chimera Investment (CIM)-9 May 24-2024 Q1 Earnings call transcript

Chimera Investment (CIM)-14 Feb 24-2023 Q4 Earnings call transcript

Chimera Investment (CIM)-2 Nov 23-2023 Q3 Earnings call transcript

Chimera Investment (CIM)-3 Aug 23-2023 Q2 Earnings call transcript

Chimera Investment (CIM)-4 May 23-2023 Q1 Earnings call transcript

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Chimera Investment (CIM)-3 Nov 22-2022 Q3 Earnings call transcript

Chimera Investment (CIM)-5 Aug 22-2022 Q2 Earnings call transcript

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Chimera Investment (CIM)-17 Feb 22-2021 Q4 Earnings call transcript

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Chimera Investment (CIM)-4 Aug 21-2021 Q2 Earnings call transcript

Chimera Investment (CIM)-5 May 21-2021 Q1 Earnings call transcript

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Chimera Investment (CIM)-5 Aug 20-2020 Q2 Earnings call transcript

Chimera Investment (CIM)-6 May 20-2020 Q1 Earnings call transcript

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Chimera Investment (CIM)-31 Jul 19-2019 Q2 Earnings call transcript

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Chimera Investment (CIM)-31 Oct 18-2018 Q3 Earnings call transcript

Chimera Investment (CIM)-1 Aug 18-2018 Q2 Earnings call transcript

Chimera Investment (CIM)-3 May 18-2018 Q1 Earnings call transcript

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Chimera Investment (CIM)-2 Nov 17-2017 Q3 Earnings call transcript

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