Company: CIMO
Filing Date: 2025-02-19
Form Type: 10-K
Source: 0001628280-25-006426
Chunk: 429

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-02-19
Form: 10-K
Item: Item 7
Chunk 429
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 in rate cuts during 2024 in response to evolving economic conditions. Managing our floating rate liabilities through this period of uncertainty remained among the top priorities of management. Management was focused throughout the year on strengthening our portfolio’s liability structure through proactive portfolio management (selling certain assets, purchasing non-agency subordinate securities and Agency CMO floaters) and securitization, which provides long-term, fixed rate, non-recourse financing.

On a year-over-year basis, our secured financing agreements (recourse liabilities) increased by a net $392 million:

•Secured financing facilities backed by residential credit portfolio increased by $35 million.

•Secured financing backed by Agency CMO facilities increased by $403 million.

While our securitized debt (non-recourse liabilities) increased by $392 million during the third quarter as we closed on our CIM 2024-R1 securitization, our net securitized debt balance decreased by $617 million due to prepayments during the year. As of December 31, 2024, we had no outstanding warehouse financing exposure (recourse liabilities) backed by RPLs. Our repo funding costs decreased by 103 basis points during the year, consistent with decreases in the federal funds rates over the period. 

Securitization Activity during 2024

In July, we sponsored CIM 2024-R1, a $468 million securitization of seasoned RPLs. Securities issued by CIM 2024-R1, with an aggregate balance of approximately $352 million, were sold in a private placement to institutional investors. These senior securities represented approximately 75.15% of the capital structure. We retained subordinate interests in securities with an aggregate balance of approximately $116 million and certain interest-only securities. We also retained an option to call the securitized mortgage loans when their unpaid principal balance is less than or equal to 30% of the unpaid principal balance of the securitized mortgage loans as of the cut-off date. The advance rate was 75% with a 5.7% weighted average cost of debt.

Hedging transactions during 2024

We engaged in a series of interest rate hedges to help mitigate the impact of higher interest rates on our future financing and protect against the impact of higher interest rates on the overall portfolio value. Our hedging strategies are dynamic. In 2024, management focused on limiting the impact of higher interest rates, while maintaining optionality for our portfolio to benefit from potential lower interest rates in the future. Over the