CIM - Earnings call transcript Q2 2019 | Chimera Investment Corporation

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Operator

Ladies and gentlemen, thank you for standing by. Welcome to the Chimera Investment Corporation Second Quarter 2019 Earnings Conference Call and Webcast. [Operator Instructions] It is now my pleasure to turn the floor over to Emily Mohr of Investor Relations. Please go ahead.

Emily Mohr

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

like the I'd harbor begin, we to safe review statement. Before

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

discuss our to refer During financial non-GAAP measures. the comparable call SEC and reconciliation for measures. to today, the supplements most earnings GAAP also may filings Please we

this Additionally, and update is of this only as that the may We information. or content not information of call. of contain obligation time-sensitive to accurate disclaim earnings any do date conference the revise call this specifically undertake

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

Matthew Lambiase

second morning Investment welcome Chimera earnings Corporation. Good call and for XXXX quarter the to

call Investment Chief Afterwards, our Chief questions. the results. will activity for of are the financial on then will our me this Victor review I'll Rob of Colligan, Officer our Markets. Mohit Financial brief and will some Capital Chief discuss Falvo, comments, morning make open portfolio Joining and Marria, Officer, Officer, Mohit Operating Choudhary this our our Rob Yarlagadda, Chimera's Head call we up

the the of is X.X%, an posted rate the yield economic environment a and In of flatness a very Chimera interest quarter, solid considering result low challenging which curve. extremely second return

seen XX basis in into yields. Japanese are the hit basis November XX-year trillion XX lows the bonds since quarter, multi-decade negative also XX negative basis a period, of the not points and over points level $XX fall yield where the bonds XX second the During now Global XXXX. rates XX-year X% a yield, reportedly German negative interest to year fell treasury global points. at bonds add trading There on

happening a stubbornly high. LIBOR the X.X% higher financial yields. for closed remains yields short-term the One difficulty time a at with at quarter companies borrowing, bond rate are key that healthy asset underscoring borrowing Low when are maintaining a have, costs interest net most than month margin LIBOR

the lower bonds. XX-year agency securities mortgage not prepayment quarter. lower treasury outstanding perform backed rate increased expectations interest yields as in on market and well duration shorter did the mortgage environment, rallied The causing

longer our agency Historically, backed than our backed higher for the fell, costs funding securities costs yields mortgage margins the repo an In borrowing rates in points cost about put were pressure the costs second XX mortgage quarter repo rate. basis quarter. average While month Declining interest and for securities the one high. higher approximate LIBOR LIBOR. agency remained borrowing on second

of Ginnie there quarter. interest superior we're class some the Mae our has their we'll helped book two and On action call CMBS positive projection lack However, made originations project price our brighter outpaced U.S. in a of from of treasuries. $X and Chimera half Agency an attractive prices the over quarter. second one Their the the new billion in portfolio value their asset that or the CMBS now and the cuts. relief where Agency Federal Reserve rate hopeful in note, loan outperformed get are year

in senior in is mortgage we've XX favorable in significant added prices level. an we lowest because the mortgage and bonds yielding remain spreads, allowing for investments. across loans credit seen on prices the U.S. to it are for This Underlying to Tighter finding pools the America. an rise retain having opportunity creates on them, home success the tightening issue of in increase good is and economic credit saw us credit new securitize higher new rates Chimera of securities. housing bonds residential continue helpful to among national and years in on subordinate spreads non-agency amount fundamentals buy quarter strong a a unemployment we're senior a environment and

year. and the the quarter, purchase million loan quarter loans, In which loan end $X we of mortgage closed aim the And billion over post second of before has of securitize in to settle and funded second Mac end, investment investment support an team Freddie securitization investor we transaction XXXX. SLST committed $XXX identified to whole to and a our our

While ability we to create returns in this for meaningful adjusted risk portfolio navigate, difficult shareholders. environment is remain the confident to a of our our

$X seeing best income the are offers fixed portfolio. add be our residential announced successful per common quarter night intention in finding that pay market $X.XX some the our Board investments share team Last XXXX. and in of full year value for continues a dividends our to common the mortgage in Directors We of the to to to dividends and we reiterated for third credit

dividend We it shareholders produce continue I'll to income to Mohit portfolio over believe to in meaningful is into with well the turn our Chimera that quarters the to to discuss positioned quarter. the ahead. And

Mohit Marria

began and that flattening yield the in Thank treasury The last the you, recent curve continued trend rate of Matt. downward in late year quarter. the second interest the

basis and time points. U.S. XX-year XXX in difference of three X.X% borrowing basis and hedging below X%. is month over have past rates points a X.XX% LIBOR. a Not month one our for the negative cost the LIBOR XX-year impacted have treasury at increased swaps same by XX X at LIBOR basis which With decreased the interest XX-year quarters after LIBOR reaching points month swaps, of XX yields November. three basis period one and one rate fallen over Over LIBOR and for points between month peak only

interest economic Federal activity, the set much congressional expectations. domestic day Chairman and U.S. this for at meetings will stage discussion accommodations amount interest through the at a of which concludes cuts most inflation be two around the rate in meeting recent the We testimony, both wars the cut first a believe Market Open Committee of focus further will and trade easing. Reserve quantitative policy Powell The global potential rate afternoon. of discussion their and will At monetary Fed We interstate anticipate time rates, decade. any the send

can Consistent LIBOR yield the Agency with at a mortgage both we rates portfolio. that will has resulting their expectations consensus cut any repo basis easing by fallen believe prepayment by Any relief of time. value help duration rates. provide billion residential in we and duration in Like in some This an policy the rate homes mortgage manage our speeds. exposure rate X.X quarter, points. market, our should hedges, the on of increase XX reduced on lowered market net shortened swap loans Homeowners treasuries, agency refinance To and further interest notional portfolio of the has the of this

Chimera‘s $X these better an us securities, of CMBS. securities. agency our enabling Ginnie portfolio amongst protection, prepaid Mae portfolio project these portfolio attractive loans is of call slopped match the billion and differentiated duration our allocated closely true margin. net of lock explicit define XX% to holders the to interest carries approximately protection hedges up helps This or agency peers. agency of This is our benefiting

and additional The the as have in the embedded investors, Ginnie tighter demand in And spreads prices and rates better interest Matt quarter. resulting higher and recent call in from our quarter. protection convexity performance Mae capital represent loans residential assets. credit and to volatility for Agency positive helped attracted non-agency mentioned, project this combined benefit our equity book our of backed of XX% our CMBS mortgage value of credit, In overall XX% our securities and loans

Our has initial projections well, continues perform exceeded credit and across the investment. to portfolio made board our at

average have securitization loan-to-value XXX. a is of not securitized Freddie of Separately, funded balance we weighted XXX in well backed the did of the investment have seasoned million loan by the $X.X X.X% of and second and of quarter, balance loans. coupon WAC loans a weighted and is million but cycle an Mac, as weighted This investor is investment XXXX-INBX. average XXXX-X. X.X%, This a XXX,XXX. in a underlying a re-performing The we XXXX. CIM, close our consolidate average XX% XXX,XXX loan This The as loans loan average $XXX have in billion ratio on deal

helped points securities the income our of the rates have investors curve institutional bodes additional The securitization yield ratio quality we business. specifically new The FICO the course average on were for this The fixed and for in interest deal continue XXX. absolute million demand issue and generate $XX has tightened for yields spread deal. high of spread from a improve drop and XX% retained and an IO investment securitizations Chimera securities loan of over investor a bonds and of loan-to-value quarter, market the in subordinate products. short in senior well the to intermediate on

we whole order high phase yielding loan on loans. mortgage and have securitizations we've creating diligence successful our investment past settlement more Consistent purchases historical subordinate a due portfolio. of an the for been to in long-term investment additional purchase with continue the of committed transactions underwriting securities success, closing. give acquisition. these now X and and upon end, will our These characteristics Post are Chimera the quarter a in billion paramount to reporting, clarity Efficient enabling of

to results now the to I quarter. over the will discuss financial Rob the call turn for

Rob Colligan

the XXXX. second net million. X.X%, GAAP quarter $XX the second book the was million. quarter quarterly $XX.XX Economic basis, GAAP core the review a and for was $X.XX $XX common I'll share. second economic per income book quarter and was quarter in On the of second based the per quarter second second value or value Mohit. at share. our for per net Thanks, financial on income million return of end value $XXX GAAP for book highlights interest dividend on change share net the was income for the was the quarter

leverage leverage while at interest-earning the our was average funds quarter, For second our interest for yield on ended and quarter net average was the spread was Total to X, X.X of second quarter the cost X.X X.X% X.X%, recourse X. X%. to the was

XX.X%, primarily For for GAAP the compensation deal first were the offset second return to X%. expenses quarter, related on million, higher quarter, quarter, down was Expenses expenses, by lower average equity our fees on return economic and net was excluding our interest partially G&A. equity from servicing and the $XX

for we'll That call remarks, now the concludes open and questions. our

Operator

from is question first with Credit Your Suisse. Harter Doug Instructions] [Operator

Doug Harter

portfolio us or but acquisition? the you'll finish in Understanding you detail just to to leverage order next the that capital portfolio whether of through quarter, that loan adding talk fund reduce would just can your I you position about on whether Thanks. kind that hoping you was could give Agency and that do acquisition portfolio more

Mohit Marria

this morning, Good Doug, is Mohit.

Doug Harter

Good morning.

Mohit Marria

happening to be third We the that'll in quarter. fund acquisitions have ample the liquidity

have we are tools We both disposable we assets, selling have on flow, cash so of ample availability agencies purchases. fund and that depending are further to

Doug Harter

Thanks, of to Can Mohit. source a you've of kind And done property couple be of your investments outlook the that of now investment? kind Great. securitizations. about talk you continuing for

Mohit Marria

as think future, on I well. in so it mean, ample Agency we’ve at supply mentioned there's We the opportunity. I there. the a ample do is going as we space. looked calls, in securitized done Yes. deal side private LTV label investor to to loans We've a loans quarter we prior the We've an be eligible think hope think in

Doug Harter

Thanks, Mohit. right. All

Operator

next with Hagen Your is Eric KBW. from question

Eric Hagen

two leverage that Thanks, down, but you of two portfolio understand coming I the quarter-over-quarter. the and that one, well, same of items. number sense to Number like after ticked nature behind Thanks. basically good was housekeeping to jump a morning. looked the that. give down. kind couple leverage actually wanted if A I'll just size – Number it

Rob Colligan

Eric, Rob. this is

Even balance we trade – but agency what quarter, or the have deal April. last right dramatically I sheet look end end think doesn't the pay first had quarter settling some at the trade did quarter where repo after had end. repo on, of we at off settled end we over happened some early the different, quarter the the though

Eric Hagen

identify from it. you. the portfolio, million on almost in where me? quarter. or from just that credit – – Can the quarter from housekeeping. $XX the Got Thank And in the reserve The question came transfer transfer in then, the second excuse the the you

Rob Colligan

still we of generally it nonagency That’s improvement part every and in points quarter. as to update cash our them flows the portfolio and run book on

Eric Hagen

RMBS that non- loan Was the it Agency it. was the Got legacy in portfolio or portfolio? securitized

Rob Colligan

legacy Primarily, RMBS. the

Eric Hagen

Got it.

the borrower deals. Okay. WAC Great. to presumed those if property on to they loans the the How investor then on the GSEs? does that get And those loans follow-up compared the rate a would finance

Mohit Marria

The GSE loans originated deliverability. for execution

require we of reset origination WAC WACs the WACs. So start down, be given I different, the the don't higher significantly that also over decreased and think the the rates necessarily rates obviously but lower the should year, future as have quite and

Matthew Lambiase

pools. clear, put the just into to are be originated could And agency loans that be Yes.

So but than the agencies into guarantees, they private are worse for that execution fee the originators security. eligible charge the for agency guarantee label them is a putting

these mortgages high-quality is So it very private execution in the agencies. and label through do better are the than

Eric Hagen

But execution to the difference that Okay. in that in just market just the of the be is… wouldn't to actual the because clear, It's rate actually secondary change. borrower the GSE,

Matthew Lambiase

right. exactly Yes. That's

Eric Hagen

it. Got

you. great. you that'd Okay, some light returns spreads the And your of be Agency shine if just are current on great. can within portfolio Thank where and buckets

Mohit Marria

Sure.

with bucket. So agency pass-through start I'll the

going double-digits. widening spread think we the are that occurred net single hedges QX, be digits, levered Given there of low probably in returns to high

Agency Actually, however, the and sort of that. as financing, quarter-over-quarter WAC tighter. some remarks, the spreads we've Given on opening lagged has of discussed were repo CMBS, the

are QX anticipate we originations, weren't acquire much, to originations, there be be which to more to to levered add XX%. an should to more slow to have portfolio some between so assets but we and So opportunity returns there. XX% accretive in able going some was QX the

Eric Hagen

Great. if don't rate Thanks. the me of you margin on point? for color. fixed rate One at please? is your floating more versus floating this that percentage debt actually What what's the securitized Thanks for And and index debt, that mind.

Mohit Marria

breakout XX/XX. the around fixed I floating between think is and still

you have month I anywhere number. The the we is I but issued think DM, the on and a debt ranges blended could XXX XX/XX. get the that to index XXX. all rate, one don’t from margin LIBOR

Eric Hagen

No, helpful. so much, you guys. Thank that’s

Mohit Marria

Thank you.

Matthew Lambiase

Eric. Thanks,

Operator

Your Laws is with next from Stephen James. Raymond question

Stephen Laws

to to ago, let The Consumer – weeks expire January. just and macro first QM Hi, Protection touch in Financial they're guess, the I good on want couple morning. the side. XXXX Bureau patch stated of going a

talk government to I some invest in to looks private talk grow months, types that the going much private look that could opportunity? billion XX would transition side about provide of you like type about guess, market here loans holds to $XXX it's to the loans, and roughly. of shift of forward? that of the from – product about going pool you or So think can How of Can obtain the you opportunity the fees credit but that behind market continue as you

Mohit Marria

good Yes. removes GSEs I anything capital. private that assets be mean for the from more acquiring would

at it if we're financing mean, fruition, but we're We GSE the as label mentioned stuff eligible we've I is the that will side, see private on that you to comes earlier, GSE. already looking given

to that side, deploy opportunities non-QM think are QM I in private GSEs be currently the the issuance part some of market. a on mean, accretive us the And significant to think the a the there become seen market of near-miss more has there's capital I I stuff has and earnings. taken lot for

Stephen Laws

and new but I I from you in shifting continue about discussion did to you All Doug's think how late shifting the if focus to maybe mirror on hopefully, out raising we'll – right. away the versus the capital? get Well, – fund investments as new would internal do deal, I But you'll investments a question see to first, – funding raise need last know near-view prefer capital between remember on reallocating What follow-up year. what it color – more portfolio? to Agency from – that there is actually near-view Agency.

Matthew Lambiase

of in us Matt. I to say the at of just I months. have it's we moment that there, the Well, think capital for next hi like we transactions front plenty to six execute the have

mortgage-backed get to out credit. desire our into our residential probably deploy residential capital mortgage it's and Agency the that securities, think pass-throughs of slowly I

in credit people people residential good prices too. up. credit. actually I fundamentals their is prices, the think seeing are for mortgage residential housing very they we're which And for low, housing good slowly, more very The for is means up the unemployment coming country More rate really working are terrific. And coming are credit mortgage the loans. although paying that's

of amount tremendous a been money flow there's the into think I And cash managers.

be these to money they're States imagine money home to from would the come to growing best underscores facing mortgage for other I that our the returns managers, looking to the for getting and there and income is into dynamic it's in year. credit returns. pretty their are listen the to And going rest are it think into I really in into these calls credit. securitization just is got mortgage fixed comes United market residential some And strong think opinion, it's some And – their earnings investors to and foreign you of that year. strong rest is be of is managers, for significant my money If that I be the to markets that place and the the positive going the negative conviction big And funds. BlackRock's of influence they're going

of think the short I is So answer capital. plenty we have

I deploy to think securities subordinate securitize. stuff we mortgage-backed Agency would securitize, deals the we come it and pieces deals that that out of we into XX-year our residential and

Stephen Laws

color. into the your Great, Matt, lead a question. of kind couple next of appreciate comments my

their How payments is, impacting of of book, legacy impact RPLs? their that mean type I value the how the may rates people or product see what resetting is and nonagencies where of think lower they're some I the that I rate their performance financing on talk – does just if lower there. color you rates high guys the of costs may sensitivity and legacy the I second thinking is provided think comments the level you for kind at on could about disclosure be the a – to how well and the But depending – mortgage Just disclosed. appreciate rates in but delinquency on is, and loans?

going in these portfolio? credit-sensitive the little maybe the how bit type more higher your talk to lower impact a are level about rates And assets

Matthew Lambiase

interesting thing. it's an Well.

very all sheet, deals. have we amount think we And on are. we rates that our lower those of don't if into know which that financings we rates negative we consolidate go And our environment, on think balance sheet. calls in a on I have loans large I the you embedded lower, trend balance

happening. see lower debt the think interest I those able that refinance lower can't if is be to it But deals to call rates. going trend at economy I and our strong. rates we're lower and means

our all embedded So we and that's high financings. be return able of our up the I to big environment people and low don't that calls I loans a sheet these be to on all rate very may we keep rate that consolidate, have we've we'll into still in benefit And a think interest produce understand. a balance because XXX% balance sheet think

Stephen Laws

Well, that. Great. highlighting I you appreciate

Mohit Marria

think far as are I be the goes, collateral performance borrower. to going for the As lower of the rates beneficial

I think it'll performing. continue

the of loan bond continue think the to form hold, securities mentioned opening do whether rates our in As supportive that. has will of we the remarks, exceeded assumptions. performance be that assets And and purchase in I overall lower legacy

Stephen Laws

thanks Matt. color Great, for taking that. Appreciate my on a the lot you questions.

Matthew Lambiase

Thank you.

Operator

is Your from Cranston with next Trevor JMP question Securities.

Trevor Cranston

Alright. Thanks.

color what guys the you of on I legacy loan the the seeing originated how much was of whole terms in in the and investor and in loan investment maybe newly returns any the to see you'd on seeing issued now you're available loans newer loans. legacy loans could right wondering how gave Thanks. investor whole market? compared what market in you're some good opportunity on You and specifically contrast compare supply

Mohit Marria

the have a this RPL north This already the that. GSEs. will come said space up comment periodic be and Overall the we've once July, happened space, of there's sales supply a are out $X earnings They sales is we our billion Mohit. I'll sale is QX ample another in start quarter. the probably robust has call. billion the as going sales We've still of space seen expect estimate, be for in RPL Legacy of to $XX we prior to on that, think before year-end. for going our year seen

finance about loans, put pressure still given opportunity funds on has We return said attractive think the some Matt's RPL pieces the residential yields through opportunity on low securitization, chasing to we you think the side earlier those So on different legacy remarks but deals. still is can it’s retain of profile assets the mid-X%, an probably if those in yields. loans there, are those

new loans, we pieces think you pockets the investor our think we double stuff, well is the on jumbo loans there what routine some issues whether the opportunity depending returns return on be digits on And the would it's set or there accretive and profiles as in pick, well. as

Trevor Cranston

great. Thank you. Okay,

the speeds On you as speeds, see next the where obviously Can those agency maybe couple you picked well? trending and on over the months saw during specifically comment portfolio, prepayment of second in amount up quarter. July you where healthy

Matthew Lambiase

Sure.

term, So lag about will dip than what typically speeds in you We speeds remain July in seasonalities, June. six given will reflective were what where just speeds our in be the slightly bond near think will from experienced to the are slower a elevated where rates side. – one in was given rates, the week the on

could So speeds remain October that the and carry Fed August, elevated in we remainder and where to less winter seasonality for months. turnover those will depending are year. we than housing on again, the action rates think through and September, But post-summer more be fall have of near-term then the going

Trevor Cranston

the Okay, Thank great. I you. appreciate comments.

Matthew Lambiase

you. Thank

Operator

Hallett question Nomura. Matthew with Your next is from

Matthew Hallett

Thanks guys.

refinance loan of have of legacy and pickup is credit our in sort question, of activity. whole nature that sort on of balances any follow-up low and seen Just some because it loan legacy preventing those prepayment impairment a a loan you whole pools – the or in speeds of

Matthew Lambiase

with has And in digits our still on seasoning. the low the portfolio up way irrespective turnover the balance of to between a we've We're pretty consistent the No, X whole. and level high-single the that's beauty CPR of XX loan portfolio loan rates. of portfolio the been the the set experiencing on

of are prepayments. accretive both to think the those I

Matthew Hallett

come where into before are on seen people rates Is low mortgage level any play it that there is just or the rate that and… these fixed would

Mohit Marria

Well, it’s a very interesting thing.

really story plays out think loan the low balance here. I

or think the our basis back the fees you the to of Right points lower – points by those now, to rate people XXX have have a haven't XXX $XX portfolio. upfront to a costs in these a refinanced homeowners You costs. than upfront I XXX long time upfront outweigh the payment the of It's $XX And want mortgage basis breakeven benefit. get lower average points to their probably benefits don't just because very basis to mortgage month. pay who

And so slow, very that as it's we've very they been to surprisingly they for are, have the been and been over it's us paying as been slow years be would even that's consistent but they that think owned these loans.

Matthew Hallett

interesting. $X Okay, stuff coming on whole moving Then you doesn't referenced that good. Freddie That's the along but separately that the loan, out, billion that in that's put that include is rights correct? you

Mohit Marria

in new new. all that's purchases is hope and year-end, this securitize the all – next this settle brand No, to before that we is months few all

Matthew Hallett

you Mac quarter… in the on Freddie want second deal the So,

Mohit Marria

RPLs There’s new enough and they of packages There brand new our loans are company. loans. are but investments to

Matthew Hallett

come the Okay. as deals that they But out? the on does you anticipate that winning pipeline Freddy include

Matthew Lambiase

No.

Mohit Marria

own deal The We been has closed. Freddie Mac it.

Matthew Hallett

that guys it want I like deals Freddie what's well But them bidding and come for of your on Right. sounds mean, you out Fannie that it. them? these was continue bid, appetite

Matthew Lambiase

financing structure the execution And that with, very risks a the to costs think think accretive we securitizations offered it's come ourselves. by out are lot like that the do it We GSEs we has faced Freddie that market to I on other takes accretive, that sub-holders. we the of Mac

Matthew Hallett

curious doesn't us but I whether you and the of loans step off? Investor speaking, that it to it hear just grow on on forward, balance Got correctly not going it, sheet the or your balance in sheet retained just terms economically matter piece it, deals can you'll know okay. Day consolidated, really what just, no you I just then on and have have tell whether the did wasn't And you'll

Matthew Lambiase

things have we down that don't we don't It It's and from generally consistent pretty when deals but nature consolidation investor what rates do. depends have. deal-by-deal, it to that the the NPL rights we look these RPL consolidate, typically a deals, the deals, agencies comes on and at of it perspective we

Matthew Hallett

efficiently, preferred, seems what's then last Great. to – the like preferred getting on, just you've access than I really And been the deal mean market one, better question last the they're able each legacy – you the even some and that deals, can the legacy call securitization. the of obviously call there's some what's some but – legacy can these pipeline of of for

curious So costs? existing can with terms lowering you about of in do what of just the funding some sheet the balance

Mohit Marria

the security do securitizations, to are three go, as we side, so some in in calls mentioned decrease ability four have of embedded on optimize as the some all call the Matt rates we earlier, years, there. financing the and Matt, are have our years,

our the loan at depending XXXX the side, first becomes to we optimize at would in have lower investment other On with that time – couple we that and preferred opportunities. callable look on conditions market the it's time if rates

Matthew Hallett

Got it.

Thanks Okay, great. guys.

Mohit Marria

Thank you.

Operator

[Operator Instructions] [indiscernible] Your next question is from Jim Partners.

Unidentified Analyst

outside GAAP what's is and steadily quarter, agency heard just rates it your being bonds, regular there Ginnie about the where portfolio Mae when it DUS me it follow calls kind Hi to grounding and described people that Guys. can assessment of hiccup talk Matt, what we interesting an in middle was I've you like a wider you risk quarter, was quarter that like the certainly used pass on as challenging prepayment sounds the without the was – in term second over as far? going from with spreads for a the of commercial even exactly, other backed the well so fair quarter,

Mohit Marria

were of this XXX has at is the started since spreads, the tighter year the assessment. they're year loan the north of Jim, that's and project to XXX-ish Mohit. a start down of Hey The currently. end fair Yes, probably around

Unidentified Analyst

Alright.

obviously interesting really to would it what gets this happened connect it me. be is seem to trying So like where to there,

over the widening expectations the of of sure Some surge. been I'm of affect some it bond. certainly DUS was, shouldn't that a but the past could've prepaid

tightening, widening something Ginnie DUS bonds are a Mae the agencies percentage while on have the assessment. been fair without the would government some also suggest that implied going about a Mae, of the which there middle might the So whisperings of and little pass through be of bit is of kind in the Ginnie that would guarantee a up away quarter, concern heard that

Matthew Lambiase

answer I has I haven't, person first don't I had you I on who an immediately. for the that up know. brought that. wish you're

Mohit Marria

on and talking then on of bogey long bonds, bonds on the so that DUS some think that material just yield our light was retracement given that overall have, the those, there And I we nothing and rates spreads buyers there but is noticed creation about I the widening lower an yields, think all-in DUS portfolio.

Unidentified Analyst

Okay.

tip explicit concern hearing implied to versus guess the the credit of the quarter. at about this people I was is sphere in guarantees no GSEs really I'm So on the there

Mohit Marria

well. Sounds

Unidentified Analyst

you Thank very much.

Operator

the are time. no now any back questions remarks. to like at turn over Lambiase closing for further to Matthew call this I’d There

Matthew Lambiase

I call. like to earnings we'll you thank you. our XXXX for second talk November. Thank to in And you just in quarter participating

Operator

the Corp. XXXX earnings concludes QX Chimera This call. Investment

You may disconnect. now

Chimera Investment (CIM) 31 Jul 192019 Q2 Earnings call transcript