Company: CIMO
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023813
Chunk: 101

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-05-08
Form: 10-Q
Item: Item 8
Chunk 101
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26 basis points during the quarter, and our secured financing agreements (recourse liabilities) increased by a net $170 million. As of March 31, 2025, we had no outstanding warehouse financing exposure (recourse liabilities) backed by RPLs.

Securitization Activity during the quarter ended March 31, 2025

On January 31, 2025 we sponsored CIM 2025-I1, a $288 million securitization of residential mortgage investor loans. The loans had a weighted average coupon of 7.9%, with weighted average FICO scores of 748, and LTV ratio of 64%. Securities issued by CIM 2025-I1, with an aggregate balance of approximately $276 million, were sold in a private placement to institutional investors. These senior securities represented approximately 95.8% of the capital structure. We retained subordinate interests in securities with an aggregate balance of approximately $12 million and certain interest-only securities. We also retained an option to call the securitized mortgage loans on the earlier of (i) February 25, 2028, or (ii) 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 weighted average cost of debt on securities sold was 5.8%. The securitization is rated by Fitch and Morningstar DBRS. PAS is the asset manager for the securitization.

Asset purchases during the quarter ended March 31, 2025

Agency-issued pass-through securities – During the quarter, we purchased approximately $149 million of Pass-throughs, thereby expanding our liquidity securities bucket. These investments have added portfolio value and enable us to maintain liquidity while we seek to make future investments in residential loans and credit securities and pursue other strategic objectives.

We currently target low-to-mid teen levered returns on the Pass-throughs, and expect the levered return on this investment to exceed our cost of capital and be accretive to our earnings.

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Loans - We committed to purchase $32 million of residential transition loans during the first quarter, which we anticipate will settle in the second quarter. We will utilize leverage through our warehouse facilities on these loans and expect to achieve a mid-to-high teen levered return. In addition, $100 million of RTL loans settled during the quarter, which were originally purchased in 2024 with a weighted average purchase yield of 8.68%. 

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