Chimera Investment Corporation Sponsors Residential Mortgage Loan Securitization

Rhea-AI Summary

Chimera Investment (NYSE: CIM) has sponsored CIM 2025-I1, a $287.7 million securitization of residential mortgage investor loans on January 31, 2025. The loan portfolio features a 7.9% weighted average coupon, 748 weighted average FICO scores, and 64% LTV ratio.

The company sold securities worth $275.7 million (95.8% of capital structure) to institutional investors through private placement. Chimera retained subordinate interests of approximately $11.9 million and certain interest-only securities. The weighted average cost of debt on securities sold was 5.8%.

The securitization, rated by Fitch and Morningstar DBRS, includes a call option exercisable by Chimera either on February 25, 2028, or when the unpaid principal balance reaches 30% of the initial balance. Palisades Advisory Services, Chimera's subsidiary, will serve as Asset Manager.

Positive

• Successfully completed $287.7M securitization with high-quality loans (748 FICO)
• Favorable 2.1% spread between 7.9% weighted average coupon and 5.8% cost of debt
• Conservative 64% loan-to-value ratio indicates lower risk profile
• 95.8% of securities successfully placed with institutional investors

Negative

• None.

Insights

Securitization Expert

This securitization transaction represents a strategically important move for Chimera Investment , showcasing the company's ability to execute complex financial structuring in the current market environment. The $287.7 million deal exhibits robust credit metrics with a 748 weighted average FICO score and 64% LTV ratio, positioning it favorably in the residential mortgage-backed securities (RMBS) market.

The economics of the deal are particularly noteworthy, with a 210 basis point spread between the 7.9% weighted average coupon and 5.8% cost of debt. This spread provides attractive potential returns while maintaining conservative risk parameters. The retention of $11.9 million in subordinate interests demonstrates Chimera's commitment to alignment with investor interests and confidence in the portfolio's performance.

The callable feature after February 2028 or at 30% of initial principal balance provides valuable optionality, allowing Chimera to optimize its portfolio management in response to market conditions. The dual rating from Fitch and Morningstar DBRS enhances the deal's credibility and marketability to institutional investors.

The successful placement of 95.8% of the capital structure to institutional investors indicates strong market acceptance and validates Chimera's origination and securitization capabilities. The involvement of Palisades Advisory Services as Asset Manager ensures continuity in servicing and monitoring of the underlying assets, potentially enhancing the long-term performance of the securitization.

NEW YORK--(BUSINESS WIRE)-- Chimera Investment Corporation (NYSE: CIM) announced that on January 31, 2025 it had sponsored CIM 2025-I1, a $287.7 million securitization of residential mortgage investor loans. The loans had a weighted average coupon of 7.9%, with weighted average FICO scores of 748, and LTV ratio of 64%. Securities issued by CIM 2025-I1, with an aggregate balance of approximately $275.7 million, were sold in a private placement to institutional investors. These senior securities represented approximately 95.8% of the capital structure. Chimera retained subordinate interests in securities with an aggregate balance of approximately $11.9 million and certain interest-only securities. Chimera also retained an option to call the securitized mortgage loans on the earlier of (i) February 25, 2028, or (ii) 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 weighted average cost of debt on securities sold was 5.8%. The securitization is rated by Fitch and Morningstar DBRS. 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 size of Chimera Investment's (CIM) January 2025 mortgage securitization?

Chimera Investment's CIM 2025-I1 securitization is $287.7 million in residential mortgage investor loans.

What is the weighted average coupon rate for CIM's 2025-I1 securitization?

The weighted average coupon rate for the CIM 2025-I1 securitization is 7.9%.

How much of the CIM 2025-I1 securitization was sold to institutional investors?

Approximately $275.7 million, representing 95.8% of the capital structure, was sold to institutional investors through private placement.

When can Chimera Investment (CIM) exercise its call option for the 2025-I1 securitization?

Chimera can exercise the call option either on February 25, 2028, or when the unpaid principal balance is 30% or less of the initial balance.

What is the credit quality of the loans in CIM's 2025-I1 securitization?

The loans have a weighted average FICO score of 748 and a loan-to-value (LTV) ratio of 64%, indicating high credit quality.