Barclays maintains an 'Overweight' on Chimera Investment (CIM); Down on Non-Agency MBS Weakness

Barclays maintains an 'Overweight' on Chimera Investment Corp (NYSE: CIM), PT $5.

Barclays analyst says, "Non-Agency Sell-Off Pushing Shares Lower: CIM was down 7.2% Wednesday vs. a 0.4% decline in the S&P 500, and is now down 12.0% in June vs. a 4.9% decline in the S&P 500 due, we believe, to weakness in non-Agency MBS that implies CIM's book value could be down significantly. A survey of several of the series of the ABX reveals that prices are down 10%-20% quarter-to-date (see Figure 1). While the ABX is focused exclusively on subprime bonds and CIM invests almost exclusively in Alt-A, our colleagues in Securitized Products research indicated that Alt-A mezzanine bonds are off almost as much as subprime seniors. Alt-A seniors have also been weaker, but are only off a few points, so their impact on book value should be limited. Still, given the movement in prices we've seen, we estimate CIM's book could be down 5%-10% from where it closed 1Q11 (to $3.10-$3.30). The more non-Agencies sell off, the more we'd expect to see CIM fall."

For more ratings news on Chimera Investment Corp click here and for the rating history of Chimera Investment Corp click here.

Shares of Chimera Investment Corp closed at $3.44 yesterday.

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