Chimera Investment Corp (CIM) 2024 Q1 法說會逐字稿

Greetings, and welcome to the Chimera Investment's 2024 earnings conference. I have here with me today Victor Flavo (sic - "Falvo").

您好，歡迎參加 Chimera Investment 2024 年收益會議。今天我和維克多·弗拉沃在一起（原文如此-「法爾沃」）。

(Operator Instructions) And as a reminder, this conference is being recorded. It is now my pleasure to introduce your host, Victor Flavo (sic - "Falvo"). You may begin.

（操作員說明）謹此提醒，本次會議正在錄製中。現在我很高興向大家介紹你們的主持人維克多‧弗拉沃 (Victor Flavo)（原文如此-「法爾沃」）。你可以開始了。

Thank you, operator. And thank you, everyone, for participating in Chimera's first-quarter 2024 earnings conference call. Before we begin, I'd like to review the Safe Harbor statements.

謝謝你，接線生。感謝大家參加 Chimera 2024 年第一季財報電話會議。在我們開始之前，我想回顧一下安全港聲明。

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.

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。

Actual events and results may differ materially from these forward-looking statements. We encourage you to read the forward-looking statement disclaimers in our earnings release and our quarterly and annual filings.

實際事件和結果可能與這些前瞻性陳述有重大差異。我們鼓勵您閱讀我們的收益報告以及季度和年度文件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 earnings supplement for reconciliation to the most comparable GAAP measures.

在今天的電話會議中，我們也可能討論非公認會計準則財務指標。請參閱我們向 SEC 提交的文件和收益補充資料，以了解與最具可比性的 GAAP 衡量標準的對帳情況。

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.

此外，本次電話會議的內容可能包含時間敏感訊息，這些資訊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資訊的義務。

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

我現在將會議交給我們的總裁兼執行長菲爾卡迪斯 (Phil Kardis)。

Good morning, and welcome to Chimera Investment Corporation's first-quarter 2024 earnings call. Joining me on the call are Subra Viswanathan, our Chief Financial Officer; Dan Thakkar, our Chief Investment Officer; and Vic Falvo, our Head of Capital Markets and Investor Relations. After my remarks, Subra will review the financial results, and then we'll open the call for questions.

早安，歡迎參加 Chimera Investment Corporation 的 2024 年第一季財報電話會議。與我一起參加電話會議的是我們的財務長 Subra Viswanathan； Dan Thakkar，我們的首席投資長；以及我們的資本市場和投資者關係主管 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。

The capital markets closed 2023 on a strong note, driven by investor expectations that the Federal Reserve would cut interest rates 7 times or 175 basis points during 2024, which was more than twice the number the Federal Reserve had indicated through their quarterly dot plot. Throughout the quarter and during April, economic data reflecting strong employment and an increasing inflation rate caused the market on several occasions to reduce its expectations of interest rate cuts, triggering increased rate volatility and a backup in long-term interest rates.

受投資者預期聯準會將在 2024 年降息 7 次或 175 個基點的推動，資本市場在 2023 年收盤表現強勁，這一數字是聯準會透過季度點陣圖顯示的數字的兩倍多。整個季度和4月份，反映就業強勁和通膨率上升的經濟數據導致市場多次降低降息預期，引發利率波動加劇和長期利率回升。

Today, market expectations are for one to two cuts before year-end. The four main themes that have emerged as we begin the second quarter are: inflation is still higher than the Federal Reserve's desired rate; economic data continues to indicate a strong economy; long-term interest rates may not have peaked; and interest rates will experience increased volatility.

如今，市場預期年底前將降息一到兩次。第二季開始時出現的四個主要主題是：通膨率仍高於聯準會的預期利率；經濟數據持續顯示經濟強勁；長期利率可能尚未見頂；利率將經歷更大的波動。

Despite the return of volatility, higher interest rates, and reduced rate cut expectations, since the beginning of the year, we've acquired approximately $50 million in subordinated tranches of new issue mortgage securitizations backed by collateral that included reperforming residential mortgage loans and small balance commercial loans. These investments have a weighted average coupon of 10.5% and inclusive of the purchase discount we anticipate earning low-teen unlevered returns.

儘管波動性回歸、利率上升和降息預期降低，但自今年年初以來，我們已收購了約5,000 萬美元的新發行抵押貸款證券化次級部分，這些抵押品由抵押品支持，其中包括再履行住宅抵押貸款和小額餘額商業貸款。這些投資的加權平均票息為 10.5%，包括購買折扣，我們預計將獲得低青少年無槓桿回報。

In addition, we also settled on $78 million of residential transition loans. These loans have a weighted average coupon of 10.6% and we expect to receive mid-teen leverage returns. The unlevered securities will enable us to increase leverage over time.

此外，我們也解決了 7,800 萬美元的住宅過渡貸款問題。這些貸款的加權平均票面利率為 10.6%，我們預計將獲得中等程度的槓桿回報。無槓桿證券將使我們能夠隨著時間的推移提高槓桿率。

And the residential transition loans generate superior returns as compared to other short-duration investments while providing a significant amount of free cash flow for reinvestment. We believe these investments will provide accretive returns to the portfolio while preserving liquidity for future deployment.

與其他短期投資相比，住宅過渡貸款可產生更高的回報，同時為再投資提供大量自由現金流。我們相信這些投資將為投資組合帶來增值回報，同時為未來部署保留流動性。

On the liability side of the balance sheet, we continue to reduce some of our higher-cost repo borrowings. We believe the actions taken this quarter on both sides of the balance sheet will benefit our net interest income.

在資產負債表的負債方面，我們持續減少一些成本較高的回購借款。我們相信本季在資產負債表兩側採取的行動將有利於我們的淨利息收入。

And to further protect our liability cost against higher interest rates, this quarter, we added an additional $500 million in one-by-one pay fixed swaptions at a rate of 3.45% to help protect the borrowing cost of the portfolio on a go-forward basis. We continue to seek opportunities to finance our repaying notes from securitizations with long-term, limited, or non-mark-to-market financing facilities.

為了進一步保護我們的負債成本免受利率上升的影響，本季度，我們以 3.45% 的利率額外增加了 5 億美元的一對一支付固定掉期期權，以幫助保護投資組合的未來借貸成本基礎。我們繼續尋求機會，透過長期、有限或非以市值計價的融資便利，為我們的證券化償還票據融資。

We currently have about 60% of our recourse financings with these facilities. To further manage our interest rate risk, we intend to continue to use financial derivatives such as interest rate swaps and swaptions to hedge against net interest margin compression.

目前，我們約有 60% 的追索融資來自這些融資。為了進一步管理我們的利率風險，我們打算繼續使用利率掉期和掉期選擇權等金融衍生性商品來對沖淨利差壓縮。

Cash management is critical to our business. We monitor our ongoing needs for margin requirements, repo maturities, daily liquidity, and new investments. Over time, we expect to continue to acquire and securitize mortgage loans, as well as further implement the company's call optimization strategy on our securitizations.

現金管理對我們的業務至關重要。我們監控對保證金要求、回購期限、每日流動性和新投資的持續需求。隨著時間的推移，我們預計將繼續收購抵押貸款並將其證券化，並進一步實施公司對我們的證券化的贖回優化策略。

With available funds, we plan to evaluate the merits of any new investments and compare them with the merits of reducing higher-cost liabilities as they mature. Timing of these re-securitizations is impacted by many factors including credit performance, prepayment speeds, and interest rates.

利用可用資金，我們計劃評估任何新投資的優點，並將其與成熟時減少高成本負債的優點進行比較。這些再證券化的時機受到許多因素的影響，包括信用表現、預付款速度和利率。

In the near term, we are beginning to see some green shoots. As I mentioned on our last call, we are closely monitoring several of our outstanding NR or non-REMIC-eligible securitizations for potential re-securitization. With the spread tightening we have experienced this year, we believe our ability to re-securitize these loans in the second or third quarter has improved.

在短期內，我們開始看到一些萌芽。正如我在上次電話會議中提到的，我們正在密切關注幾項未完成的 NR 或不符合 REMIC 資格的證券化，以了解潛在的再證券化。隨著今年利差收緊，我們相信我們在第二或第三季將這些貸款再證券化的能力有所提高。

Our ability to execute this strategy will free up additional cash to invest in new opportunities that we expect will be accretive to future earnings. As we navigate current market conditions, we are focused on maintaining low recourse leverage and managing our liquidity with a proper balance of both cash and unencumbered assets.

我們執行這項策略的能力將釋放額外的現金來投資新的機會，我們預計這些機會將增加未來的收益。在應對當前市場狀況時，我們致力於保持低追索槓桿，並透過現金和未支配資產的適當平衡來管理我們的流動性。

The credit performance of our portfolio continues to be within or better than our original investment expectations on mortgage delinquencies, default rates, and recoveries. We have fully deployed the proceeds from our capital raise last year, and we continue to look to purchase new loan packages.

我們投資組合的信用表現持續符合或優於我們對抵押貸款拖欠、違約率和回收率的最初投資預期。我們已充分利用去年籌集的資金，並將繼續尋求購買新的貸款方案。

We were successful in accomplishing our investment objectives this quarter. And we believe the increased rate volatility will enable us to continue to add accretive investments for the remainder of the year.

本季我們成功實現了投資目標。我們相信，利率波動性的增加將使我們能夠在今年剩餘時間內繼續增加增值投資。

I'd like to now 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表現。

Thank you, Phil. I will review Chimera's financial highlights for the first quarter of 2024.

謝謝你，菲爾。我將回顧 Chimera 2024 年第一季的財務亮點。

GAAP net income for the first quarter was $111 million or $0.45 per share. GAAP book value at the end of first quarter was $7.11 per share. The appreciation in value this quarter was mostly driven by a tightening of spreads on our re-performing loans.

第一季 GAAP 淨利潤為 1.11 億美元，即每股 0.45 美元。第一季末的 GAAP 帳面價值為每股 7.11 美元。本季價值的升值主要是由於我們的重新履約貸款利差收緊所推動的。

For the first quarter, our economic return on GAAP book value was 7% based on the quarterly change in book value and the first quarter dividend per common share. On an earnings available for distribution basis, net income for the fourth quarter was $31 million or $0.12 per share. Our economic net interest income for the fourth quarter was $68 million.

根據帳面價值的季度變化和第一季每股普通股股息，第一季我們的 GAAP 帳面價值經濟回報率為 7%。根據可供分配收益計算，第四季淨利為 3,100 萬美元，即每股 0.12 美元。我們第四季的經濟淨利息收入為 6,800 萬美元。

For the first quarter, the yield on average interest-earning assets was 5.8%. Our average cost of funds was 4.4%, and our net interest spread was 1.4%. Total leverage for the first quarter was 3.7:1, while recourse leverage ended the quarter at 0.9:1.

第一季生息資產平均收益率為5.8%。我們的平均資金成本為 4.4%，淨利差為 1.4%。第一季的總槓桿率為 3.7:1，而本季末的追索槓桿率為 0.9:1。

For financing and liquidity, the company ended the quarter with $587 million in total cash and unencumbered assets. For hedging, during first quarter, the company exercised its two swaption contracts for $1 billion notional and entered into two separate one-year swaps for a total of $1 billion notional at a weighted average 3.46% fixed pay rate.

在融資和流動性方面，該公司本季末的現金和未支配資產總額為 5.87 億美元。為了對沖，該公司在第一季執行了兩份名義價值10 億美元的掉期合約，並簽訂了兩份單獨的一年期掉期合約，名目價值總計10 億美元，加權平均固定利率為3.46 %。

We added a new swaption contract with $500 million notional for the option to pay fixed at 3.45% for one year beginning in January 2025. We had $1.7 billion floating rate exposure on our outstanding repo liabilities. We had $2 billion pay fixed interest rate swaps at a weighted average fixed pay rate of 3.36% as a hedge position for our floating rate liabilities.

我們新增了名目價值 5 億美元的互換選擇權合約，可選擇從 2025 年 1 月開始一年內支付固定利率 3.45%。我們的未償還回購負債有 17 億美元的浮動利率風險。我們有 20 億美元的固定利率互換，加權平均固定利率為 3.36%，作為我們浮動利率負債的對沖部位。

$1 billion of these swaps matured in May, and $1 billion pay fixed swaps remained with 3.46% weighted average fixed pay rate. We had $1.4 billion of either non- or limited mark-to-market features on our outstanding repo agreements, representing 60% of our total repos funding.

其中 10 億美元的掉期已於 5 月到期，還有 10 億美元的支付固定掉期仍維持在 3.46% 的加權平均固定支付利率。我們未完成的回購協議中有 14 億美元的非以市價或有限以市值計價的功能，占我們回購融資總額的 60%。

For the first quarter of 2024, our economic net interest income return on equity was 10.5%. Our GAAP return on average equity was 19.9%, and our EAD return on average equity was 7.3%. And lastly, for the first-quarter 2024 expenses, excluding servicing fees and transaction expenses, we're $15 million, down $1.3 million from same period last year, a reduction of 8%.

2024年第一季度，我們的經濟淨利息收入股本報酬率為10.5%。我們的 GAAP 平均股本回報率為 19.9%，我們的 EAD 平均股本回報率為 7.3%。最後，2024 年第一季的費用（不含服務費和交易費用）為 1,500 萬美元，比去年同期減少 130 萬美元，減少 8%。

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。

(Operator Instructions) Doug Harter, UBS.

（操作員說明）Doug Harter，UBS。

Good morning. You mentioned that you're getting closer on calling some of your deals. Can you just talk about what type of capital you think you might be able to free up in the coming quarters and how you would view the relative return on redeploying that capital versus what you're calling?

早安.您提到您即將達成一些交易。您能否談談您認為您可以在未來幾季釋放哪些類型的資本，以及您如何看待重新部署該資本與您所說的資本的相對回報？

Doug, this is Phil. So yes, I think we believe we're getting closer. We're not there yet. We're looking at a variety of factors. Partly, that comes down to issues like how much are we actually going to get.

道格，這是菲爾。所以，是的，我認為我們相信我們已經越來越接近了。我們還沒到那兒。我們正在考慮多種因素。在某種程度上，這取決於我們實際上能得到多少等問題。

We think it's significant enough that we're willing to really look at this seriously. But the actual amount, again, will depend on factors. And we look at what the hurdle rates are and the like.

我們認為這夠重要，我們願意認真看待這個問題。但實際金額又取決於因素。我們會看看最低門檻是多少等等。

And so I think we can say that there's a fair amount of opportunities out there for -- kind of low-to-mid-teen returns. And it currently looks like we can beat the hurdle for reinvestment. That's why I mentioned it -- I mentioned on the prior call that we thought that was possible.

因此，我認為我們可以說，有相當多的機會，可以實現青少年中低迴報。目前看來我們可以克服再投資的障礙。這就是我提到它的原因——我在之前的電話會議上提到我們認為這是可能的。

We think it's now -- given where the spreads have gone, that it's more possible. We need some further improvement before we're there. But we're hopeful that we get something done in the next period or so.

我們認為現在——考慮到價差的去向，這種情況更有可能發生。在我們到達那裡之前，我們需要一些進一步的改進。但我們希望在接下來的一段時間內能夠完成一些工作。

Great. And I was hoping you could give us an update as to how book value has trended so far in the second quarter.

偉大的。我希望您能為我們提供有關第二季迄今為止帳面價值趨勢的最新資訊。

Yeah. So you -- so far in the second quarter. So I'm going to turn this over to Dan Thakkar, our Chief Investment Officer.

是的。所以你——第二季度到目前為止。因此，我將把這個問題交給我們的首席投資長 Dan Thakkar。

Yeah, yeah. So Doug, this quarter, we've had a sell-off in rates in the range of 25 to 30 basis points. Spreads have tightened a bit more, especially post the FOMC and the soft payroll last week. Our estimate at this point is that we are lower by close to 1.5% to 2%.

是啊是啊。道格，本季度，我們的利率出現了 25 至 30 個基點的拋售。利差進一步收窄，尤其是在上週聯邦公開市場委員會 (FOMC) 和就業疲軟之後。我們目前的估計是下降了近 1.5% 至 2%。

Great. Appreciate that. Thank you, guys.

偉大的。感謝。感謝你們。

Bose George, KBW.

博斯·喬治，KBW。

Hey, guys. Good morning. Just to follow up to the book value question. Just in terms of the improvement this quarter, can you just walk through the drivers?

大家好。早安.只是為了跟進帳面價值問題。就本季的改進而言，您能簡單介紹一下驅動程式嗎？

Yeah. So Bose, look, I think, as Subra said, we had positive mark-to-market changes in the investment portfolio, which was primarily driven by the tightening in the loan portfolio.

是的。因此，Bose，我認為，正如 Subra 所說，我們的投資組合按市值計價發生了積極的變化，這主要是由貸款組合收緊推動的。

Look, spreads tightened a fair bit, commensurate with the tightening in the non-agency subs in the last quarter. We saw roughly $3 billion to $4 billion trading in loans.

看起來，利差收緊了一點，與上個季度非機構子公司收緊的情況相稱。我們看到大約 30 億至 40 億美元的貸款交易。

Fannie Mae sold $500 million in early February. That traded pretty well. There is another list out today, that expected to trade even better than that. So in addition, there was a fair amount of issuance in the securitization market close to $5 billion.

房利美 (Fannie Mae) 2 月初出售了 5 億美元。那交易相當不錯。今天還有另一份清單，預計交易會比清單更好。此外，證券化市場的發行量相當接近50億美元。

So we saw that spread tightening as far as the trading is concerned in the markets and what we saw in the supply. So that's how we tighten our loan portfolio.

因此，就市場交易和供應而言，我們看到價差收緊。這就是我們收緊貸款組合的方式。

Yeah. Okay. Makes sense. Thanks. And then, if the forward curve is right, and we're in a higher for longer, can you just talk about the outlook for EAD? And just talk about the path to a double-digit ROE if we remain in a higher for longer?

是的。好的。說得通。謝謝。然後，如果遠期曲線是正確的，而我們處於較高水平的時間更長，您能談談 EAD 的前景嗎？如果我們長時間保持較高的 ROE 水平，那麼如何實現兩位數的 ROE？

Yes. Hi, Bose. This is Subra. The EAD, at this point, based on the hedges we have and the forward rate projections, we are expecting EAD to be consistent along where we have reported. If you actually look at our EAD trend the last three or four quarters, we have remained very stable, and we expect that to continue.

是的。嗨，博斯。這是蘇布拉。此時，根據我們所擁有的對沖和遠期利率預測，我們預計 EAD 將與我們報告的情況保持一致。如果你實際上看看我們過去三、四個季度的 EAD 趨勢，你會發現我們一直非常穩定，我們預計這種情況會持續下去。

Obviously, if you add more assets and if you raise more capital and add more assets, that could change the scenario a little bit. But the trend so far is that we're maintaining consistent EAD.

顯然，如果你增加更多的資產，如果你籌集更多的資本並增加更多的資產，這可能會稍微改變這種情況。但迄今為止的趨勢是我們保持一致的 EAD。

Okay. Yes. And the second part? Yeah.

好的。是的。那麼第二部分呢？是的。

Sorry. Say that again. Your second part?

對不起。再說一次。你的第二部分？

The second part was really -- if we remain in a higher for longer, what's the path to a double-digit ROE?

第二部分實際上是——如果我們長時間保持較高水平，實現兩位數 ROE 的途徑是什麼？

Okay.

好的。

So if you think about the ROE today, in my prepared statements, I said that average return on equity was 10.9%. Now, that's before the expenses.

因此，如果你考慮今天的 ROE，在我準備好的報表中，我說平均股本回報率為 10.9%。現在，這是在費用之前。

So we are generating double-digit ROEs today. And obviously, how we manage our hedges and additional investments that we make on capital rates would contribute further on top of that.

因此，我們今天的淨資產收益率達到了兩位數。顯然，我們如何管理對沖和根據資本利率進行的額外投資將在此基礎上做出進一步貢獻。

Okay. Great. Thanks.

好的。偉大的。謝謝。

Trevor Cranston, Citizens JMP.

特雷弗·克蘭斯頓 (Trevor Cranston)，公民 JMP。

Hey, thanks. Good morning. Can you talk about how you guys are evaluating the potential to buy back shares versus making other new types of loan investments, given where the stock is trading relative to book value? Thanks.

嘿，謝謝。早安.您能否談談，考慮到股票相對於帳面價值的交易情況，您如何評估回購股票與進行其他新型貸款投資的潛力？謝謝。

Sure. I mean, I think as we said in the past, we look at all those factors. Right now, I think we view acquiring assets in this environment as a better long-term investment for our shareholders.

當然。我的意思是，我認為正如我們過去所說，我們會考慮所有這些因素。目前，我認為我們認為在這種環境下收購資產對我們的股東來說是更好的長期投資。

Okay. Thank you.

好的。謝謝。

This concludes our question-and-answer session. I would like to turn the floor back over to Phillip Kardis for closing comments.

我們的問答環節到此結束。我想把發言權交還給菲利普·卡迪斯（Phillip Kardis）徵求結束意見。

I would like to thank everyone for participating in our first-quarter earnings call. And we look forward to speaking to you at the end of next quarter.

我要感謝大家參加我們的第一季財報電話會議。我們期待在下個季度末與您交談。

This concludes today's teleconference. You may disconnect your lines at this time. Thank you for your participation.

今天的電話會議到此結束。此時您可以斷開線路。感謝您的參與。