Company: CIMO
Filing Date: 2025-02-19
Form Type: 10-K
Source: 0001628280-25-006426
Chunk: 108

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-02-19
Form: 10-K
Item: Item 1A
Chunk 108
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. 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 year, we converted $1.5 billion of swaptions to a pay-fixed 1-year swap with a weighted average coupon of 3.56%. In addition, $1 billion of pay fixed 3.26% swaps matured .

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As of December 31, 2024, we maintained open interest rate swap 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, and (iii) a $500 million 3.76% pay-fixed interest rate swap maturing in June 2025. The company also has a long position in $500 million 1-year swaption on a 1-year pay-fixed interest rate swap with a fixed rate of 3.45% that we exercised in January 2025. 

Considering the velocity and magnitude