Chimera Investment Corporation (NYSE:CIM) Q1 2023 Results Conference Call May 4, 2023 8:30 AM ET

Company Participants

Victor Falvo - Head, Capital Markets

Phil Kardis - CEO

Choudhary Yarlagadda - President and Co-CIO

Dan Thakkar - Co-CIO

Subra Viswanathan - CFO

Conference Call Participants

Doug Harter - Credit Suisse

Trevor Cranston - JMP Securities

Bose George - KBW

Operator

Good day, ladies and gentlemen and welcome to the Chimera Investment Corporation First Quarter 2023 Earnings Call. All lines have been placed on a listen-only mode and the floor will be open for your questions and comments following the presentation. [Operator Instructions] 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.

Victor Falvo

Thank you, operator. And thank you, everyone, for participating in Chimera's first quarter 2023 earnings conference call. 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.

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.

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

Phil Kardis

Thank Vic. Good morning, and welcome to Chimera Investment Corporation's first 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.

The first quarter took us on quite a ride. Some would say like a roller coaster, I would say it was more like the slingshot ride at Coney Island. Despite the volatility, we accomplished quite a lot. We committed to purchase $1.25 billion of diversified mortgage loans, completed three securitizations, reduced the recourse leverage by $237 million and generated a 2% total economic return. And since the quarter ended, we have completed four securitizations including a securitization we expect to close later today, and reduced our recourse leverage by a further $400 million, including reducing our re-performing loan warehouse exposure to zero, all in a very challenging environment.