Company: CIMO
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023813
Chunk: 97

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-05-08
Form: 10-Q
Item: Item 8
Chunk 97
---
 take into consideration the long-term trends in the value of our assets and liabilities in assessing our investment strategy.

In the first quarter of 2025, U.S. investors attempted to acclimate to the new administration’s policy shifts aimed at immigration reform, restructuring trade partnerships, and reducing federal government inefficiencies. Volatility fluctuated within a moderate range during the quarter as markets sought to interpret the administration’s messaging, with equity and fixed income volatility rising between the last part of February through early March, only to retreat going into quarter end.

With this backdrop, we continue to approach portfolio management in a disciplined manner and are expecting to operate in an uncertain environment defined in part by higher interest rates and increased rate volatility for the foreseeable future. As a result, we took a number of actions during the quarter that put us in a well-balanced position. In summary, as noted above we,

◦Increased our liquidity by executing on our re-lever strategy, including through two resecuritizations CIM 2025-R1 and CIM 2025-NR1, and raising approximately $187 million in cash with a weighted average cost of 5.84 %.

◦Executed on a new $288 million securitization, CIM 2025-I1.

◦Invested $149 million in Agency Pass-throughs, while expanding our Agency security liquidity bucket. 

◦Generated $9 million revenue from investment management and advisory services. 

◦Successfully executed on the re-financing of two maturing non-MTM financing facilities totaling $587 million.

◦Added a 2-year $1 billion SOFR Interest rate cap, converted a $500 million notional swaption into a swap, and added $155 million Swap futures.

47

Market Conditions and our Strategy

Interest Rates

During the first quarter, the market began to adjust expectations with respect to the potential for increased inflation and slowing economic growth due to the administration’s stated policy initiatives (e.g. tariffs and trade) and actions (e.g. federal government staff reductions and illegal immigrant deportation activity). As of March 2025, the Consumer Price Index ("CPI") rose by 2.4% year-over-year, with a 0.1% month-over-month decline, indicating a cooling trend. Core CPI, excluding food and energy, increased by 2.8%, marking the smallest rise since March 2021. Since quarter end, the implementation of extensive tariffs has raised concerns about a potential stagflationary environment. Many economists have increased the