Company: CIMO
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023813
Chunk: 166

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-05-08
Form: 10-Q
Item: Item 2
Chunk 166
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 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%. 

Hedging transactions during the quarter ended March 31, 2025

We continue to maintain our strategy in 2025 to use interest rate hedges to help mitigate the impact of higher interest rates on our future financing costs and protect against the impact of higher interest rates eroding our earnings and dividend paying ability. Our hedging strategies are dynamic. We 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 quarter, we converted $500 million of swaptions to a pay-fixed 1-year swap with a weighted average coupon of 3.45%. In addition, $500 million of pay fixed 3.45% swaps matured.

In addition, we executed on a total of $155 million pay fixed Eris Swap futures at a weighted average par equivalent pay fixed rate of  3.84%. In addition to providing interest rate protection, these Swap futures also provide a liquidity cushion with lower margin requirements relative to cleared interest rate swaps. We also entered into a $1 billion two-year Interest rate cap with a 3.95% strike, thereby providing protection against further rate movements as existing interest rate swaps mature.

As of March 31, 2025, we maintained open interest rate hedge positions in: (i) a $500 million 3.43% pay-fixed interest rate swap maturing in April 2025, (ii) a $500 million 3.49% pay-fixed interest rate swap maturing in April 2025, (iii) a $500 million 3.76% pay-fixed interest rate swap maturing in June 2025, (iv) a $500 million 3.45% pay-fixed interest rate swap maturing in January 2026, (v) a $90 million 3.90% par rate equivalent pay-fixed 2-year Eris swap futures maturing in March 2027, (vi) a $25 million 3.71% par rate equivalent pay-fixed 5-year Eris swap futures maturing in March 2030, (vii) a $40 million