Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 8

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 2
Chunk 8
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 and borrower credit score was 71% and 754, respectively. The purchase price for this investment was $38 million which represented the net asset value after financing the MSR by the mortgage loan servicing counterparty. Because MSR valuations typically increase as interest rate rise, offsetting mark-to-market declines on our residential credit portfolio, the MSR allocation helps reduce book value volatility, stabilizes returns across rate cycles and serves as a natural book value hedge to our portfolio. In addition to the hedging characteristics, MSRs are also standalone, income generating assets. The recurring servicing fees, ancillary income, recapture income and float earnings associated with MSRs contribute to earnings while diversifying our interest rate exposure.

Asset Sales. During the quarter, we sold $237 million of retained bonds from previously issued RPL securitizations and $25 million from previously issued Non-QM and investor securitization for total proceeds of $231 million. Consequently, the retained positions sold will be added to securitized debt as a result of consolidation going forward. Net liquidity raised after payment of principal on a secured financing facility that held these retained bonds as collateral was $72 million.

We also sold $104 million of Non-Agency RMBS subordinate securities, $88 million of Non-Agency RMBS senior securities and $164 million of Agency CMBS IO positions during this quarter. Net liquidity raised after payment of principal on a secured financing facility that held these securities as collateral was $44 million. These sales generated a realized loss of $8.3 million during the quarter.

In addition, we also sold $911 million of previously purchased Agency RMBS pass-through securities as we prepared to raise liquidity for the pending acquisition of HomeXpress during the quarter. We received a total of $916 million in proceeds from this sale and a total of $216 million after paying the financing on these positions. These sales resulted in a net realized gain of $10 million during the quarter. Proceeds from the sales were largely re-invested in Agency RMBS toward the end of the quarter after completing strategic dispositions of certain Non-Agency RMBS and issued senior unsecured debt mentioned above.

Hedging transactions during the quarter ended September 30, 2025   

Residential Credit Portfolio. We continued to maintain our strategy of using interest rate derivatives to mitigate the impact of interest rates on our future financing costs and protect against the potential for higher interest rates eroding our earnings and dividend paying ability. Our hedging strategy in our residential credit portfolio seeks to limit the impact of