Chimera Investment Corporation Sponsors Residential Mortgage Loan Securitizations

Rhea-AI Summary

Chimera Investment (NYSE: CIM) has sponsored two residential mortgage loan securitizations totaling $646 million on March 25, 2025. The first securitization, CIM 2025-R1, amounts to $391.8 million with loans having a 5.74% weighted average coupon, 636 FICO scores, and 50.80% LTV ratio. The second, CIM 2025-NR1, totals $254.4 million with a 5.67% weighted average coupon, 597 FICO scores, and 61.61% LTV ratio.

The company sold $333 million in senior securities for CIM 2025-R1 and $184.5 million for CIM 2025-NR1 to institutional investors, representing 85% and 72.50% of their respective capital structures. The net proceeds from both transactions exceeded $187 million. Palisades Advisory Services, Chimera's subsidiary, will serve as Asset Manager for both securitizations.

Positive

• Net proceeds of over $187 million from the transactions
• Successful placement of senior securities to institutional investors
• Relatively low LTV ratios (50.80% and 61.61%) indicating lower risk
• Retained call options providing flexibility for future portfolio management

Negative

• Below-average FICO scores (636 and 597) indicating higher credit risk
• High weighted average cost of debt (5.74% and 6.59%)

Insights

Financial Analyst

Chimera Investment 's dual securitization transactions represent a significant capital recycling maneuver, generating $187 million in net proceeds from a total portfolio of $646 million in residential mortgage loans. The company effectively repackaged loans from seven previous securitizations, demonstrating continued market access and execution capability.

The first transaction (CIM 2025-R1) involved $391.8 million of residential mortgages with 5.74% weighted average coupon, while selling 85% of the capital structure to institutional investors. The second transaction (CIM 2025-NR1) involved $254.4 million of loans with 5.67% weighted average coupon, with 72.5% of senior securities sold.

The differential in LTV ratios (CIM 2025-R1: 50.80% vs CIM 2025-NR1: 61.61%) and FICO scores (636 vs 597) reflects varying risk profiles, with the higher-risk portfolio commanding a higher funding cost (6.59% vs 5.74%). Notably, the second transaction shows negative carry on the senior portion, as the funding cost exceeds the loan coupon.

Chimera's retention of subordinate interests ($58.8 million and $70 million respectively) demonstrates confidence in the underlying assets while transferring senior risk to investors. The embedded call options provide flexibility for future portfolio management.

This transaction improves Chimera's liquidity position without significantly altering its risk profile, as the company maintains exposure to the same loan types through subordinated interests. The $187 million in freed capital gives management flexibility for reinvestment, debt reduction, or shareholder returns.

NEW YORK--(BUSINESS WIRE)-- Chimera Investment Corporation (NYSE: CIM) announced that on March 25, 2025 it had sponsored two securitizations of residential mortgage loans with an aggregate principal balance of $646 million. The mortgage loans for both securitizations were sourced from the redemption of prior Chimera-sponsored securitizations, including CIM 2021-NR1, CIM 2021-NR2, CIM 2021-NR3, CIM 2021-NR4, CIM 2022-NR1, CIM 2023-NR1, and CIM 2023-NR2. Net proceeds received from the transactions were in excess of $187 million.

Chimera sponsored CIM 2025-R1, a $391.8 million securitization of residential mortgage loans. The loans had a weighted average coupon of 5.74%, with weighted average FICO scores of 636, and LTV ratio of 50.80%. Securities issued by CIM 2025-R1, with an aggregate balance of approximately $333 million, were sold in a private placement to institutional investors. These senior securities represented approximately 85% of the capital structure. Chimera retained subordinate interests in securities with an aggregate balance of approximately $58.8 million and certain interest-only securities. Chimera also retained an option to call the securitized mortgage loans on the earlier of (i) March 25, 2027, or (ii) when the aggregate note amount of the offered notes is less than or equal to 10% of the aggregate note amount of the offered notes as of March 25, 2025. The weighted average cost of debt on securities sold was 5.74%. Palisades Advisory Services, a wholly owned subsidiary of Chimera Investment Corporation, will act as Asset Manager for the securitization.

Chimera also sponsored CIM 2025-NR1, a $254.4 million securitization of residential mortgage loans. The loans had a weighted average coupon of 5.67%, with weighted average FICO scores of 597, and LTV ratio of 61.61%. Securities issued by CIM 2025-NR1, with an aggregate balance of approximately $184.5 million, were sold in a private placement to institutional investors. These senior securities represented approximately 72.50% of the capital structure. Chimera retained subordinate interests in securities with an aggregate balance of approximately $70.0 million. Chimera also retained an option to call the securitized mortgage loans, at the direction of the majority class B1 certificateholder, beginning on March 25, 2026. The weighted average cost of debt on securities sold was 6.59%. Palisades Advisory Services, a wholly owned subsidiary of Chimera Investment Corporation, will act as Asset Manager for the securitization.

About Chimera Investment Corporation

We are a publicly traded real estate investment trust, or REIT, that is primarily engaged in the business of investing for ourselves and for unrelated third parties through our investment management and advisory services in a diversified portfolio of real estate assets, including residential mortgage loans, Non-Agency RMBS, Agency RMBS, business purpose and investor loans, including RTLs, MSRs, and other real estate-related assets such as Agency CMBS, junior liens and HELOCs, equity appreciation rights, and reverse mortgages.

Forward-Looking Statements

This press release includes “forward-looking statements” within the meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act of 1995. Actual results may differ from expectations, estimates and projections and, consequently, readers should not rely on these forward-looking statements as predictions of future events. Words such as “goal,” “target,” “assume,” ‘‘believe,’’ ‘‘expect,’’ ‘‘anticipate,’’ ‘‘estimate,’’ “project,” “budget,” “forecast,” “predict,” “potential,” ‘‘plan,’’ ‘‘continue,’’ ‘‘intend,’’ ‘‘should,’’ ‘‘may,’’ “could,” ‘‘would,’’ ‘‘will’’ or similar expressions are intended to identify such forward-looking statements. These forward-looking statements involve significant risks and uncertainties that could cause actual results to differ materially from expected results, including, among other things, those described in our most recent Annual Report on Form 10-K, and any subsequent Quarterly Reports on Form 10-Q and Current Reports on Form 8-K, under the caption “Risk Factors.” Factors that could cause actual results to differ include, but are not limited to: our ability to obtain funding on favorable terms and access the capital markets; our ability to achieve optimal levels of leverage and effectively manage our liquidity; changes in inflation, the yield curve, interest rates and mortgage prepayment rates; our ability to manage credit risk related to our investments and comply with the Risk Retention Rules; rates of default, delinquencies, forbearance, deferred payments or decreased recovery rates on our investments; the concentration of properties securing our securities and residential loans in a small number of geographic areas; our ability to execute on our business and investment strategy; our ability to determine accurately the fair market value of our assets; changes in our industry, the general economy or geopolitical conditions; our ability to successfully integrate and realize the anticipated benefits of any acquisitions; our ability to operate our investment management and advisory services and manage any regulatory rules and conflicts of interest; the degree to which our hedging strategies may or may not be effective; our ability to effect our strategy to securitize residential mortgage loans; our ability to compete with competitors and source target assets at attractive prices; our ability to find and retain qualified executive officers and key personnel; the ability of servicers and other third parties to perform their services at a high level and comply with applicable law and expanding regulations; our dependence on information technology and its susceptibility to cyber-attacks; our ability to comply with extensive government regulation; the impact of and changes in governmental regulations, tax law and rates, accounting guidance, and similar matters; our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended; our ability to maintain our classification as a real estate investment trust for U.S. federal income tax purposes; the volatility of the market price and trading volume of our shares; and our ability to make distributions to our stockholders in the future.

Readers are cautioned not to place undue reliance upon any forward-looking statements, which speak only as of the date made. Chimera does not undertake or accept any obligation to release publicly any updates or revisions to any forward-looking statement to reflect any change in its expectations or any change in events, conditions, or circumstances on which any such statement is based. Additional information concerning these, and other risk factors, is contained in Chimera’s most recent filings with the Securities and Exchange Commission (SEC). All subsequent written and oral forward-looking statements concerning Chimera or matters attributable to Chimera or any person acting on its behalf are expressly qualified in their entirety by the cautionary statements above.

Readers are advised that any financial information in this press release is based on company data available at the time of this presentation and, in certain circumstances, may not have been audited by the Company’s independent auditors.

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Investor Relations

888-895-6557

www.chimerareit.com

Source: Chimera Investment Corporation

FAQ

What is the total value of Chimera Investment's (CIM) March 2025 securitizations?

Chimera Investment sponsored two securitizations totaling $646 million in aggregate principal balance on March 25, 2025.

What are the key metrics of CIM's 2025-R1 securitization?

CIM 2025-R1 ($391.8M) has a 5.74% weighted average coupon, 636 FICO scores, 50.80% LTV ratio, and 5.74% weighted average cost of debt.

How much did Chimera (CIM) retain in subordinate interests for both securitizations?

Chimera retained $58.8M in subordinate interests for CIM 2025-R1 and $70.0M for CIM 2025-NR1.

What are the call options terms for CIM's 2025 securitizations?

CIM 2025-R1 can be called on March 25, 2027 or when notes reach 10% of initial amount. CIM 2025-NR1 can be called beginning March 25, 2026.