Chimera Investment Corp (CIM) 2023 Q2 法說會逐字稿

Good day, ladies and gentlemen, and welcome to the Chimera Investment Second Quarter 2023 Earnings Call. (Operator Instructions)

女士們、先生們，美好的一天，歡迎參加 Chimera Investment 2023 年第二季度財報電話會議。 （操作員說明）

At this time, it is my pleasure to turn the floor over to your host, Victor Falvo, Head of Capital Markets. Sir, the floor is yours.

這次，我很高興將發言權交給東道主資本市場主管 Victor Falvo。先生，地板是你的了。

Thank you, operator, and thank you, everyone, for participating in Chimera's Second Quarter 2023 Earnings Conference Call.

謝謝運營商，也謝謝大家參加 Chimera 2023 年第二季度收益電話會議。

Before we begin, I'd like to review the Safe Harbor statements. During this call, we will be making forward-looking statements, which are predictions, projections or other statements about future events. These statements are based on current expectations and assumptions that are subject to risks and uncertainties, which are outlined in the Risk Factors section in our most recent annual and quarterly SEC filings. Actual events and results may differ materially from these forward-looking statements. We encourage you to read the forward-looking statement disclaimer in our earnings release in addition to our quarterly and annual filings.

在我們開始之前，我想回顧一下安全港聲明。在本次電話會議中，我們將做出前瞻性陳述，即對未來事件的預測、預測或其他陳述。這些陳述基於當前的預期和假設，這些預期和假設受到風險和不確定性的影響，這些風險和不確定性在我們最近的年度和季度 SEC 文件的風險因素部分中進行了概述。實際事件和結果可能與這些前瞻性陳述存在重大差異。除了我們的季度和年度文件之外，我們鼓勵您閱讀我們的收益報告中的前瞻性聲明免責聲明。

During the call today, we may also discuss non-GAAP financial measures. Please refer to our SEC filings and investor presentation for reconciliation to the most comparable GAAP measures. Additionally, the content of this conference call may contain time-sensitive information that is accurate only as of the date of this earnings call. We do not undertake and specifically disclaim any obligation to update or revise this information.

在今天的電話會議中，我們還可能討論非公認會計準則財務指標。請參閱我們向 SEC 提交的文件和投資者演示文稿，了解與最具可比性的 GAAP 衡量標準的對賬情況。此外，本次電話會議的內容可能包含時間敏感信息，這些信息僅截至本次財報電話會議之日準確。我們不承擔並明確否認任何更新或修改此信息的義務。

I will now turn the conference over to our Chief Executive Officer, Phil Kardis.

我現在將會議交給我們的首席執行官菲爾·卡迪斯 (Phil Kardis)。

Thank you, Vic.

謝謝你，維克。

Good morning, and welcome to the Chimera Investment Corporation's Second Quarter 2023 Earnings Call. Joining me on the call are Choudhary Yarlagadda, our President and Co-Chief Investment Officer; Dan Thakkar, our Co-Chief Investment Officer; Subra Viswanathan, our Chief Financial Officer; and Vic Falvo, our Head of Capital Markets. After my remarks, Subra will review the financial results, and then we'll open the call for questions.

早上好，歡迎參加 Chimera Investment Corporation 2023 年第二季度財報電話會議。與我一起參加電話會議的還有我們的總裁兼聯席首席投資官喬杜里·亞拉加達 (Choudhary Yarlagadda)； Dan Thakkar，我們的聯席首席投資官； Subra Viswanathan，我們的首席財務官；以及我們的資本市場主管 Vic Falvo。在我發言後，蘇布拉將審查財務業績，然後我們將開始提問。

We continue to be active during the second quarter through securitizations, stock repurchase and liability management. We completed 5 securitizations during the second quarter, totaling nearly $1.4 billion. Let me describe our quarterly securitization activity at a high level.

我們在第二季度繼續通過證券化、股票回購和負債管理積極活動。第二季度我們完成了 5 筆證券化，總額近 14 億美元。讓我概括地描述一下我們的季度證券化活動。

In April, we sponsored CIM 2023-I1, a rated securitization of non-QM investor loans totaling approximately $236 million. Approximately 87% of the capital structure was sold in a private placement to institutional investors. We retained a subordinate interest in securities with an aggregate principal balance of approximately $31 million and certain interest-only securities. Our average cost of debt of this securitization is 6.6%. We retain an option to call the securitized mortgage loans at any time beginning in April of 2026.

4 月份，我們發起了 CIM 2023-I1，這是一項非 QM 投資者貸款的評級證券化，總額約為 2.36 億美元。大約 87% 的資本結構通過私募方式出售給機構投資者。我們保留了本金餘額總額約為 3100 萬美元的證券和某些只付息證券的次級權益。我們這次證券化的平均債務成本是6.6%。我們保留從 2026 年 4 月開始隨時調用證券化抵押貸款的選擇權。

In May, we sponsored CIM 2023-R4, a rated securitization of seasoned reperforming residential mortgage loans totaling $394 million. We sold approximately 75% of the capital structure in a private placement to institutional investors. Chimera retained subordinate interest in securities with an aggregate principal balance of approximately $97 million and certain interest-only securities. Our average cost of debt of this securitization is 5.4%, and we retained an option to call the securitized mortgage loans at any time beginning in April of 2028.

5 月，我們發起了 CIM 2023-R4，這是一項對總額 3.94 億美元的經驗豐富的再表現住宅抵押貸款進行評級的證券化。我們以私募方式向機構投資者出售了約 75% 的資本結構。 Chimera 保留了本金餘額總額約為 9700 萬美元的證券和某些只付息證券的次級權益。我們此次證券化的平均債務成本為 5.4%，並且我們保留了從 2028 年 4 月開始隨時贖回證券化抵押貸款的選擇權。

In June, we sponsored CIM 2023-I2, our second rated securitization of non-QM investor loans this year totaling approximately $239 million. Approximately 85% of the capital structure was sold in a private placement to institutional investors. We retained interest and securities with an aggregate principal balance of approximately $36 million and certain interest-only securities. Our average cost of debt of this securitization is 7%. We retain an option to call the securitized mortgage loans at any time beginning in July 2026.

6 月，我們發起了 CIM 2023-I2，這是我們今年第二次獲得評級的非 QM 投資者貸款證券化，總額約為 2.39 億美元。大約85%的資本結構通過私募方式出售給機構投資者。我們保留了總本金餘額約為 3600 萬美元的利息和證券以及某些只付息證券。我們這次證券化的平均債務成本是7%。我們保留從 2026 年 7 月開始隨時調用證券化抵押貸款的選擇權。

We expect double-digit returns on the retained securities for these 3 securitizations.

我們預計這 3 項證券化的保留證券將獲得兩位數的回報。

And now regarding re-securitization, we terminated 2 existing trusts, CIM 2017-7 and CMLTI 2019-E. In addition to the loans from these 2 deals, Chimera added approximately 104 million loans from our warehouse facility. We then issued CIM Trust 2023-R3 and CIM Trust 2023-NR2. These re-securitizations allowed us to: one, avoid a step-up rate increase on the senior debt of 1 of these terminated trusts; two, convert short-term repo funding into long-term nonrecourse fixed rate financing; and three, to recapture approximately $43 million in cash from the terminated trust.

現在，關於再證券化，我們終止了 2 個現有信託：CIM 2017-7 和 CMLTI 2019-E。除了這 2 筆交易的貸款外，Chimera 還從我們的倉庫設施中增加了約 1.04 億筆貸款。隨後我們發行了 CIM Trust 2023-R3 和 CIM Trust 2023-NR2。這些再證券化使我們能夠：第一，避免對其中一個已終止信託的優先債務進行逐步加息；二、將短期回購融資轉換為長期無追索權固定利率融資；第三，從終止的信託中收回約 4300 萬美元現金。

Primarily as a result of our securitization activity this quarter, we reduced our recourse financing, primarily loan warehouse facilities, by more than $500 million. And in total, through the first half of the year, we reduced our recourse financing by approximately $750 million.

主要由於本季度我們的證券化活動，我們減少了追索融資（主要是貸款倉庫設施）超過 5 億美元。今年上半年，我們總共減少了約 7.5 億美元的追索融資。

The short-term rates continue to increase this quarter. We prepared for a higher for longer rate environment. We added an additional $500 million one-by-one swaption, bringing our total swaption position to $1.5 billion with an average pay fixed interest rate of 3.56%. These swaptions give us optionality to hedge our NIM if rates remain elevated through 2024 and into mid-2025. In addition, our Board reauthorized our stock buyback plan and increased it to $250 million in the middle of June. Thereafter, we were able to repurchase more than 5.8 million shares for approximately $33 million at an average price of $5.66. The share repurchase was accretive to our shareholders.

本季度短期利率繼續上升。我們為更高、更長的利率環境做好了準備。我們額外增加了 5 億美元的一對一掉期期權，使我們的掉期期權頭寸總額達到 15 億美元，平均支付固定利率為 3.56%。如果利率在 2024 年和 2025 年中期保持高位，這些掉期期權使我們可以選擇對沖我們的淨息差。此外，我們的董事會重新批准了我們的股票回購計劃，並於 6 月中旬將其增加至 2.5 億美元。此後，我們以約 3300 萬美元、平均價格 5.66 美元的價格回購了超過 580 萬股股票。股票回購為我們的股東帶來了增值。

Our book value per share decreased by $0.12 or 1.6% quarter-over-quarter. The net change in book value plus dividends paid on our common shares resulted in an 80 basis point total economic return for the quarter and a 2.8% total economic return for the first half of 2023.

我們的每股賬面價值環比下降 0.12 美元，即 1.6%。賬面價值的淨變化加上普通股支付的股息，導致該季度的總經濟回報率為 80 個基點，2023 年上半年的總經濟回報率為 2.8%。

Looking ahead, while we believe it is likely the Fed will raise rates 1 more time this year, we believe the rate hike cycle is nearing an end. Inflation is coming down slowly, while the economy and job market remains strong. The Fed's own staff no longer predicts a recession in 2023, and the Fed may well engineer a soft landing. We're also buoyed by the residential -- by residential credit, which performed strongly during the quarter, as well as by the strength of the housing market in spite of affordability issues.

展望未來，雖然我們認為美聯儲今年可能會再加息一次，但我們認為加息週期已接近尾聲。通貨膨脹正在緩慢下降，而經濟和就業市場仍然強勁。美聯儲自己的工作人員不再預測 2023 年將出現衰退，美聯儲很可能會實現軟著陸。我們還受到住宅信貸的提振，住宅信貸在本季度表現強勁，儘管存在負擔能力問題，但房地產市場的強勁表現也給我們帶來了提振。

What does that mean for us? As we've discussed in the past, our portfolio continues to perform well. Our EAD challenges are primarily related to our cost of financing, not the credit quality of our portfolio. Once rates moderate and begin their decline, our portfolio is positioned to benefit. We expect that this rate moderation and stability will allow us to refinance some of our more expensive financings, which will be positive to our earnings. On the other hand, to the extent that rates stay elevated for longer, we have $1.5 billion in swaptions, which we can exercise to support our interest margins into 2025.

這對我們意味著什麼？正如我們過去所討論的，我們的投資組合繼續表現良好。我們的 EAD 挑戰主要與我們的融資成本有關，而不是與我們投資組合的信用質量有關。一旦利率放緩並開始下降，我們的投資組合就會受益。我們預計，這種利率的適度和穩定將使我們能夠為一些更昂貴的融資進行再融資，這將對我們的收益產生積極影響。另一方面，如果利率在較長時間內保持高位，我們有 15 億美元的掉期期權，我們可以運用這些期權來支撐我們的息差直至 2025 年。

We continue to see interesting investment opportunities, and we think, with the proposed bank capital regulations, that additional investment opportunities will arise over the second half of 2023. We will continue to evaluate those opportunities along with our stock price relative to our book value with respect to continued stock repurchases. We have a number of tools in our toolkit, from reducing our financing costs to repurchasing our stock to making accretive investments to drive shareholder value. We remain optimistic about our future.

我們繼續看到有趣的投資機會，我們認為，根據擬議的銀行資本監管規定，額外的投資機會將在 2023 年下半年出現。我們將繼續評估這些機會以及相對於我們賬面價值的股價繼續回購股票。我們的工具包中有很多工具，從降低融資成本到回購股票，再到進行增值投資以提高股東價值。我們對未來保持樂觀。

I would now like to turn to Subra to give a more detailed overview of our financial results.

我現在想請 Subra 更詳細地介紹我們的財務業績。

Thank you, Phil. I will review Chimera's financial highlights for the second quarter 2023.

謝謝你，菲爾。我將回顧 Chimera 2023 年第二季度的財務亮點。

GAAP book value at the end of second quarter was $7.29 per share, and our economic return on GAAP book value was 80 basis points based on the quarterly change in book value and the second quarter dividend per common share. And for first half of the year, our economic return was 2.8%. GAAP net income for the second quarter was $18 million or $0.08 per share.

第二季度末的 GAAP 賬面價值為每股 7.29 美元，根據賬面價值的季度變化和第二季度每股普通股股息，我們的 GAAP 賬面價值經濟回報率為 80 個基點。上半年，我們的經濟效益是2.8%。第二季度 GAAP 淨利潤為 1800 萬美元，即每股 0.08 美元。

On an earnings available for distribution basis, net income in the second quarter of approximately $28 million or $0.12 per diluted common share. Our economic net interest income for the second quarter was $67 million.

根據可供分配的收益，第二季度淨利潤約為 2800 萬美元，即每股稀釋普通股 0.12 美元。我們第二季度的經濟淨利息收入為 6700 萬美元。

For the second quarter, the yield on average interest-earning assets was 5.6%, our average cost of funds was 4.4%, and our net interest spread was 1.2%. Total leverage for the second quarter was 4.2:1, while recourse leverage ended the quarter at 1.0:1.

第二季度，平均生息資產收益率為5.6%，平均資金成本為4.4%，淨利差為1.2%。第二季度的總槓桿率為 4.2:1，而本季度末的追索槓桿率為 1.0:1。

For financing and liquidity, the company had $670 million total cash and unencumbered assets at quarter end. We had $1.5 billion of either non or limited mark-to-market features on our outstanding repo agreements. We had $2 billion floating rate exposure on our outstanding repo liabilities. We had $1 billion pay fixed interest rate swap at a rate of 3.26% as a hedge position for our liabilities, and we had 1.5 billion swaptions to pay fixed for 1 year, beginning in the second quarter of 2024, at an average rate of 3.56% as a hedge position for liabilities.

在融資和流動性方面，截至季度末，該公司的現金和未支配資產總額為 6.7 億美元。我們未償還的回購協議中有 15 億美元的非或有限按市值計價的功能。我們的未償還回購負債有 20 億美元的浮動利率風險。我們以3.26% 的利率支付10 億美元的固定利率互換，作為我們負債的對沖頭寸，並且從2024 年第二季度開始，我們有15 億美元的互換期權支付一年期固定利率，平均利率為3.56% %作為負債的對沖頭寸。

For the quarter, our economic net interest income return on equity was 10.2%, and our GAAP return on average equity was 5.5%. And lastly, our second quarter 2023 expenses, excluding servicing fees and transaction expenses, were $14 million, modestly lower from the first quarter.

本季度，我們的經濟淨利息收入股本回報率為 10.2%，GAAP 平均股本回報率為 5.5%。最後，我們 2023 年第二季度的支出（不包括服務費和交易費用）為 1,400 萬美元，略低於第一季度。

That concludes our remarks. We will now open the call for questions.

我們的發言到此結束。我們現在開始提問。

We will now conduct the question-and-answer session. (Operator Instructions)

我們現在將進行問答環節。 （操作員說明）

Your first question comes from George Bose (sic) [Bose George] of KBW.

你的第一個問題來自 KBW 的 George Bose（原文如此）[Bose George]。

This is Bose. Actually, I had a couple of questions.

這是博斯。事實上，我有幾個問題。

First on the expenses, it did come down this quarter. Can you just sort of talk about the outlook for expenses going forward?

首先是費用，本季度確實有所下降。您能談談未來的支出前景嗎？

We expect the expenses to remain constant. Obviously, some of the -- variable expenses such as servicing fees and transaction expenses would vary, depending on if we increase the number of loans. But as pay down happens, some of these variable expenses will continue to go down. But otherwise, our G&A expenses, we expect it to be pretty benign or pretty consistent as we have.

我們預計費用將保持不變。顯然，一些可變費用（例如服務費和交易費用）會有所不同，具體取決於我們是否增加貸款數量。但隨著工資下降，其中一些可變費用將繼續下降。但除此之外，我們的一般行政費用預計會像我們現在這樣相當溫和或相當穩定。

Okay. Great.

好的。偉大的。

And then just in terms of the current returns, so you show that economic ROE, I think, it was 10.2%. How does that compare to the incremental ROEs that you're getting on stuff, that loans you're buying and securitizing currently?

然後就當前回報而言，我認為經濟股本回報率為 10.2%。與您目前購買和證券化的貸款所獲得的增量 ROE 相比如何？

So -- okay. So I just want to make sure.

所以——好吧。所以我只是想確定一下。

So what we project right now, the 10.2%. Our scenarios, we expect our top line interest income to stay consistent with what we have. Expenses, really, it depends on where the rate is. If we expect an additional 25 basis point increase in interest expense, so that will somewhat offset some of that. But what we focus right now is to have a consistent economic return based on our net income or our interest income being -- projecting to be consistent across quarters.

所以我們現在的預測是 10.2%。我們的情景是，我們預計我們的頂線利息收入將與我們現有的保持一致。費用，實際上，取決於費率在哪裡。如果我們預計利息支出將額外增加 25 個基點，那麼這將在一定程度上抵消其中的一部分。但我們現在關注的是根據我們的淨收入或利息收入獲得一致的經濟回報 - 預計各季度保持一致。

And so when I take that number and sort of the expenses, run rate expenses as a percentage of equity, I mean for you guys to get to kind of a double-digit ROE on a net basis, does it require like either more scale or rates to come down? Or what kind of scenarios -- like how do you get from here to sort of that run rate double-digit net ROE?

因此，當我將這個數字和費用排序時，運行率費用佔股本的百分比，我的意思是，對於你們來說，要在淨額基礎上達到兩位數的股本回報率，是否需要更大的規模或利率要下降嗎？或者什麼樣的場景——比如你如何從這裡獲得兩位數的淨股本回報率？

This is Phil.

這是菲爾.

That's correct. I mean we -- as we look for accretive investments, we'll have to -- we need to increase our size, and we'll need some rates to come down as well. Both.

這是正確的。我的意思是，當我們尋求增值投資時，我們必須擴大規模，同時也需要降低一些利率。兩個都。

Your next question comes from Doug Harter of Credit Suisse.

您的下一個問題來自瑞士信貸銀行的道格·哈特。

Can you talk about the decision on the dividend, and in light of kind of where earnings are and kind of the expectation?

您能否談談關於股息的決定，以及收益狀況和預期的情況？

So -- sorry, you broke up a little bit. I think you were asking about the dividend? Hello?

所以——抱歉，你們分手了一點。我想你問的是股息？你好？

Yes. Sorry. I think I cut out there for a second. So just -- sorry, just repeat.

是的。對不起。我想我暫時停了下來。所以只是——抱歉，重複一遍。

Can you talk about the Board's decision around the dividend in light of where current earnings are, and your expectations around kind of getting back to covering the new dividend?

您能否談談董事會根據當前收益情況對股息做出的決定，以及您對重新支付新股息的期望？

Yes.

是的。

So as we've said in the past, the EAD is 1 of the metrics the Board looks at. It's a useful guide. It is exact in terms of what our dividend paying capacity is, and we look at what that capacity is. We look at kind of, as we mentioned, looking forward into the future. As rates are moderating, we believe we'll be able to refinance some of our more expensive financings which will help us on our earnings, and so we think there are opportunities to continue to grow into that by the same token. Right now, what portfolio is generating, the Board feels comfortable at paying that dividend.

正如我們過去所說，EAD 是董事會關注的指標之一。這是一個有用的指南。就我們的股息支付能力而言，我們會關注這種能力。正如我們提到的，我們展望未來。隨著利率的放緩，我們相信我們將能夠為一些更昂貴的融資進行再融資，這將有助於我們的收入，因此我們認為有機會以同樣的方式繼續增長。目前，無論投資組合產生什麼，董事會都願意支付股息。

(Operator Instructions) Your next question comes from Trevor Cranston with JMP.

（操作員說明）您的下一個問題來自 JMP 的 Trevor Cranston。

Can you elaborate a little bit on the type of opportunities that you think could emerge coming out of the banks as a result of the capital requirement changes? And what you think the timing of opportunities emerging there could be over the second half of the year?

您能否詳細說明一下您認為銀行因資本要求變化而可能出現的機會類型？您認為下半年機會出現的時間是什麼？

Sure. We'll turn this over to Dan, who can address that.

當然。我們會將這個問題交給 Dan，他可以解決這個問題。

Yes. So Trevor, so as you said, there is a strong likelihood that mortgage banks will have to work more capital against residential mortgage pools, so this should push more residential mortgage origination to nonbank originators and result in more private label securitization.

是的。 Trevor，正如您所說，抵押貸款銀行很可能不得不為住宅抵押貸款池投入更多資金，因此這應該會推動更多的住宅抵押貸款發放給非銀行發起人，並導致更多的私人標籤證券化。

We will see those opportunities in the future, as you said. One thing I will say that even without that, we have been shown large inventories of discounted underwater mortgages, given the consolidation going on in the banking space. At this point, the opportunity that we are seeing is primarily in the prime jumbo, low LTV kind of paper.

正如您所說，我們將來會看到這些機會。我要說的一件事是，即使沒有這一點，考慮到銀行業領域正在進行的整合，我們也看到了大量的水下抵押貸款貼現庫存。目前，我們看到的機會主要集中在優質大宗、低生命週期價值的紙張上。

At this time, there are no questions. I'd like to turn the call back over to management for any closing remarks.

此時，沒有任何疑問。我想將電話轉回管理層以供結束語。

This is Phil Kardis.

這是菲爾·卡迪斯。

Thank you for participating in Chimera Investment Corporation's second quarter earnings call, and we look forward to discussing our third quarter earnings call in November. Thank you.

感謝您參加 Chimera Investment Corporation 第二季度財報電話會議，我們期待在 11 月份討論我們的第三季度財報電話會議。謝謝。

Thank you, everyone, for attending the Chimera earnings call. That does conclude today's call. Have a wonderful rest of your day.

感謝大家參加 Chimera 財報電話會議。今天的電話會議到此結束。祝您度過愉快的一天。