Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 178

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 178
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 the quarter.

As of September 30, 2025, we had no outstanding warehouse financing exposure (recourse liabilities) backed by residential mortgage loans, other than a $114 million facility related to business purpose loans.

Investment Activity    

Agency RMBS Pass-throughs. Predominantly during the latter half of the quarter, we purchased approximately $1.2 billion of Agency RMBS Pass-throughs after deploying capital raised through Non-Agency RMBS sales, portfolio run-off and the issuance of unsecured senior notes. These investments diversify the portfolio and enable us to maintain liquidity available for future investments while generating attractive risk-adjusted returns.

We currently target return on equity from this Agency RMBS allocation in the 12% to 14% range, and in any case, expect the levered return to exceed our cost of capital and be accretive to our earnings.

MSR Investment. As previously announced, we gained exposure to a $6.5 billion pool of Fannie Mae mortgage servicing rights through a third-party servicing partnership. The weighted average interest rate on the loans at the time of acquisition was 4.02% and the weighted average loan-to-value ratio and borrower credit score was 71% and 754, respectively. The purchase price for this investment was $38 million which represented the net asset value after financing the MSR by the mortgage loan servicing counterparty. Because MSR valuations typically increase as interest rate rise, offsetting mark-to-market declines on our residential credit portfolio, the MSR allocation helps reduce book value volatility, stabilizes returns across rate cycles and serves as a natural book value hedge to our portfolio. In addition to the hedging characteristics, MSRs are also standalone, income generating assets. The recurring servicing fees, ancillary income, recapture income and float earnings associated with MSRs contribute to earnings while diversifying our interest rate exposure.

Asset Sales. During the quarter, we sold $237 million of retained bonds from previously issued RPL securitizations and $25 million from previously issued Non-QM and investor securitization for total proceeds of $231 million. Consequently, the retained positions sold will be added to securitized debt as a result of consolidation going forward. Net liquidity raised after payment of principal on a secured financing facility that held these retained bonds as collateral was $72 million.

We also sold $104 million of Non-Agency RMBS subordinate securities, $88 million of Non-Agency RMBS senior securities and $164 million of Agency CMBS IO positions during this quarter. Net