CHIMERA INVESTMENT CORP
For the period ended Mar 31, 2025. Filed May 8, 2025.
View on SEC.govAbout this filing
A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.
Mar 31, 2025 · Filed May 8, 2025
CIM$7.31-7.7%Stored close · as of Nov 6, 2026
What changed in Management’s Discussion and Analysis?
Read the current filingPrevious report: 10-Q
Period ended 2024-09-30; filed 2024-11-06.
0001628280-24-045708
Item 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONSCurrent report: 10-Q
Period ended 2025-03-31; filed 2025-05-08.
0001628280-25-023813
Item 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONSThe baseline is this issuer’s latest earlier reporting period of the same form that was filed before the current report. A previous 10-Q is a different quarter, not a year-over-year comparison. Amendments are excluded.
Compared 225 previous paragraphs and 251 current paragraphs.
82 unchanged; 86 reworded; 77 added; 56 removed; 1 previous and 6 current paragraphs rearranged.
Tables are not compared: 22 previous and 21 current tables excluded. Dates, whitespace, punctuation and numbering changes are ignored; changes to financial figures remain significant.
A changed paragraph is not evidence that risk increased or decreased. An unchanged paragraph does not establish that risk stayed the same.
Added paragraphs (77)
Current report
•our ability to obtain funding on favorable terms and access the capital markets;
Current report
•our ability to achieve optimal levels of leverage and effectively manage our liquidity;
Current report
•our ability to manage credit risk related to our investments and comply with the Risk Retention Rules;
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•the concentration of properties securing our securities and residential loans in a small number of geographic areas;
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•changes in our industry, the general economy or geopolitical conditions (such as the recent tensions in international trade);
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•our ability to successfully integrate and realize the anticipated benefits of any acquisitions, including the Palisades Acquisition (as defined below);
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•our ability to operate our investment management and advisory services and manage any regulatory rules and conflicts of interest;
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•our ability to compete with competitors and ability to source target assets at attractive prices;
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•the ability of servicers and other third parties to perform their services at a high level and comply with applicable law and expanding regulations;
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•our dependence on information technology and its susceptibility to cyber-attacks;
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•our ability to comply with extensive government regulation;
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•the volatility of the market price and trading volume of our shares; and
Current report
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.
Current report
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,
Current report
◦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 %.
Current report
◦Executed on a new $288 million securitization, CIM 2025-I1.
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◦Invested $149 million in Agency Pass-throughs, while expanding our Agency security liquidity bucket.
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◦Generated $9 million revenue from investment management and advisory services.
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◦Successfully executed on the re-financing of two maturing non-MTM financing facilities totaling $587 million.
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◦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.
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Interest Rates
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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 estimated risk of a recession to be 45%, with expectations of reduced GDP growth and heightened inflation. The Federal Reserve maintained its target range between 4.25% and 4.5% during its March meeting, citing persistent inflation above the 2% target and heightened uncertainty due to new tariffs and global economic conditions.
Current report
The yields on two-year and ten-year U.S. Treasury notes each declined by thirty six basis points during the quarter reflecting investor concerns about potential economic slowdown. Since April 2, interest rate volatility increased alongside the ten-year U.S. Treasury which has traded in a 50 basis point range, highlighting concerns with respect to the effects of policy execution.
Current report
Credit Spreads
Current report
Spreads on most credit products were wider throughout the first quarter. In Securitized Products spreads, the credit curve flattened, with yield hungry buyers providing substantial demand for mezzanine bonds which outperformed relative to their more senior parts of the capital structure.
Current report
Residential credit performance continued to remain strong in the first quarter of 2025, driven by robust fundamentals given by low defaults, rising home prices and record levels of homeowners’ equity. Mortgage loan yields tightened across Non-QM and jumbo products during the quarter between 25 and 50 basis points. Securitized product spreads, however, were wider across securitizations backed by Non-QM and RPL collateral. Non-investment grade corporate bond spreads and yields were also wider during the quarter, while investment grade yields were tighter by approximately 18 basis points in the quarter.
Current report
Housing Market
Current report
The spread between 30-year fixed mortgage rates and 10-year U.S. Treasury yields experienced notable fluctuations influenced by economic uncertainty and policy changes. The spread narrowed by fifteen basis points to 256 basis points over the 10-year Treasury in the first quarter. While mortgage rates decreased in early 2025, elevated credit spreads suggest that borrowing costs remained high compared to historical norms. Economic factors, including inflation concerns and policy uncertainties, contributed to this environment.
Current report
Home prices continued to rise modestly, with national year-over-year growth reported at approximately 3.9% as of February 2025.Despite modest price growth, elevated mortgage rates and high absolute levels of home prices continued to present affordability headwinds for would be homebuyers. In 97% of U.S. counties, median-priced homes were less affordable compared to historical averages. High mortgage rates and economic uncertainties led to cautious buyer behavior. Pending home sales in February dropped 3.6% year-over-year, indicating a slowdown in market activity.
Current report
The U.S. continued to face a significant housing shortage, estimated at 4.5 million homes. Tariffs on imported building materials may increase construction costs, adding to the already high cost of a new home. This, coupled with labor shortages and regulatory hurdles, continued to constrain new housing development so far this year.
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Q1 2025 Business Highlights
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Liquidity Enhancement Activity during the 1st quarter 2025
Current report
During the first quarter of 2025, we continued to seek to optimize our liabilities through securitization, enabling us to have long-term non-MTM financing on our residential mortgage loans. During the quarter, we exited a maturing $104 million non-MTM secured facility and separately entered into a new non-MTM secured facility with a principal amount of $167 million that will mature in 18 months in January 2027. The interest rate on the new facility was 412.5 basis points lower than the maturing facility.
Current report
In addition, we extended a maturing $407 million non-MTM secured facility by an additional 24 months to February 2027. The old facility had a spread of 375 basis points over SOFR with a cap rate of 8.75%. The new facility has two separate terms: (i) an approximately $283 million financing facility with a fixed rate of 8.15%, and (ii) an approximately $136 million floating-rate facility at a rate of SOFR +425 basis points.
Current report
As a normal discipline of our business operation, we routinely evaluate the potential economic and portfolio benefits of exercising our redemption rights with respect to our sponsored securitizations.
Current report
We have discussed on previous earnings calls the potential to effectively alter borrowing costs and/or organically raise liquidity by tactically exercising these call rights. Through this strategy, this quarter we redeemed securities in seven outstanding CIM securitizations and sponsored two new CIM securitizations as further detailed below. The net result of these transactions enabled the company to organically generate in excess of $187 million in capital for new investments, while moderately lowering our cost of financing by 17 basis points from a weighted average cost of 6.21% from the seven terminated securitizations to a 6.04% weighted average cost on the two new securitizations. Below we describe these transactions in more detail.
Current report
On March 25, 2025, we 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.
Current report
CIM 2025-R1 was a $392 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. We retained subordinate interests in securities with an aggregate balance of approximately $59 million and certain interest-only securities. We also retained an option to call the securitized mortgage loans on the earlier of (i) March 25, 2027, or (ii) when the aggregate principal amount of the offered notes is less than, or equal to, 10% of the aggregate principal amount of the offered notes as of March 25, 2025. The weighted average cost of debt on securities sold was 5.74%. Our subsidiary, PAS, is the asset manager for the securitization.
Current report
CIM 2025-NR1 was a $254 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 million, were sold in a private placement to institutional investors. These senior securities represented approximately 72.50% of the capital structure. We retained subordinate interests in securities with an aggregate balance of approximately $70 million. We also retained an option to call the securitized mortgage loans, at the direction of the majority class B1 certificate holder, beginning on March 25, 2026. The weighted average cost of debt on securities sold was 6.59%. PAS is the asset manager for the securitization.
Current report
Secured Financing Activity during the quarter ended March 31, 2025
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Removed paragraphs (56)
Previous report
•our ability to accurately forecast the payment of future dividends on our common and preferred stock, and the amount of such dividends;
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•availability of investment opportunities in real estate-related and other securities, including our valuation of potential opportunities that may arise as a result of current and future market dislocations;
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•our expected investments;
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•changes in the value of our investments, including negative changes resulting in margin calls related to the financing of our assets;
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•prepayments of the mortgage and other loans underlying our mortgage backed securities, or MBS, or other asset backed securities, or ABS;
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•general volatility of the securities markets in which we invest;
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•our ability to maintain existing financing arrangements and our ability to obtain future financing arrangements;
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•interest rate mismatches between our investments and our borrowings used to finance such purchases;
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•effects of interest rate caps on our adjustable-rate investments;
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•the impact of and changes to various government programs;
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•market trends in our industry, interest rates, the debt securities markets or the general economy;
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•our understanding of our competition;
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•our expectations regarding materiality or significance;
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•the effectiveness of our disclosure controls and procedures;
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•delays and/or unforeseen events that could cause our proposed acquisition of Palisades (as defined below) to be delayed or not consummated; and
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•the potential that we may not fully realize the expected benefits of the acquisition of Palisades, including the potential financial impact
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Business Update
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During the third quarter of 2024, the Federal Reserve started the process of normalizing interest rates after more than a two-year period of increasing interest rate hikes and sustained high interest rates. Due to recent reports indicating the rate of inflation has decreased, the Federal Reserve has shifted its focus to its other mandate: supporting the labor market. By the end of third quarter, the markets had priced in a more rapid interest rate decrease than originally indicated by the Federal Reserve. We believe the actual timing and amount of rate cuts will be data dependent as the Federal Reserve seeks to guide the economy towards sustainable lower inflation while maintaining full employment. The yields on the two-year and ten-year Treasury Notes ended the quarter at 3.64% and 3.79%, respectively, materially lower than the end of the previous quarter, with the yield difference showing a positive slope in the yield curve for the first time since the middle of 2022. We believe lower interest rates and a steeper yield curve are beneficial to the operating performance of the Company.
Previous report
Since the beginning of the fourth quarter, Treasury yields have risen by 44 and 46 basis points across the two-year and ten-year segments of the yield curve. The market sentiment has shifted due to stronger economic data and concerns over post-election needs for increased federal funding. With the shift in sentiment, the market anticipates one or perhaps two more rate cuts in 2024, but in smaller, quarter percentage point increments.
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Against this market backdrop, we increased our common stock dividend and remained active in the third quarter of 2024 with our portfolio. Highlights during the quarter include:
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•Increased common stock dividend for the second consecutive quarter to $0.37.
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•$75 million public unsecured corporate debt issuance.
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•$50 million purchase of Non-Agency CMO securities.
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•$543 million purchase of Agency CMO securities
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•$118 million commitment to purchase of residential transition loans.
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•$468 million securitization of Re-Performing loans.
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Third Quarter Capital Raising Activity
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Debt Issuance - in August, we issued $75 million of unsecured senior notes due August 15, 2029. Net of underwriting fees, we received a total of $72 million in proceeds. These notes may be redeemed, in whole or in part, at any time, from time to time, at our option on or after August 15, 2026. While we continue to favor securitized debt as a favorable source of financing for our assets, the ability to issue unsecured debt helps us to further diversify our capital structure and provides long-term financing for our mortgage credit portfolio. We invested the proceeds from the capital raise in Agency CMO’s which we expect will provide accretive returns to our shareholders. This was our second unsecured bond offering for 2024, resulting in a combined total of approximately $140 million in issuance.
Previous report
Third Quarter Investment, Financing, Securitization, and Hedging Activity
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Non-Agency Subordinate Bonds - We purchased and settled on four bonds totaling approximately $50 million during the third quarter. These bonds are subordinated tranches of new-issue mortgage securitizations backed by collateral that included re-performing mortgage loans, or RPLs and small balance commercial properties. We purchased these investments at discounts to their par value and expect to achieve low double-digit unlevered returns while maintaining liquidity, as the notes are unencumbered securities.
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Financing activity - our secured financings increased by $529 million, during the quarter predominantly because of our investments in Agency CMOs made during the quarter.
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Balance Sheet Hedging Activity – As of September 30, 2024, we maintained open interest rate swap positions in $1.5 billion 3.56% pay-fixed interest rate swap maturing March 2025. We also have a long position in a $500 million 1-year swaption on a 1-year pay-fixed interest rate swap (1 X 1 swaption) with a blended fixed rate of 3.45 %.
Previous report
Securitization Related Hedging Activity – as discussed in the investment activity section, we closed our CIM 2024-R1 securitization in the third quarter. As part of our strategy to mitigate securitization execution risk, we closed out $307 million of a short 5-year treasury futures contract position to protect the net interest spread of the CIM 2024-R1 securitization.
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Palisades Acquisition
Previous report
On October 16, 2024, we entered into a definitive agreement to acquire Palisades Group (“Palisades”), a U.S.-based alternative asset manager specializing in residential real estate credit (the “Palisades Acquisition”). Under the terms of the agreement, we will acquire Palisades for cash consideration of $30 million at closing, plus an additional potential earnout of up to $20 million over five years contingent upon achieving certain financial targets, with the option for us to pay 50% of the earnout payments in common shares, aligning interests with those of our shareholders. We expect to close the Palisades Acquisition during the fourth quarter of 2024, subject to the satisfaction of customary closing conditions
Previous report
Housing credit fundamentals remain strong in the residential mortgage market with low delinquencies and default rates, and home prices are higher by approximately 5% on a year-over-year basis. While existing home inventories have increased recently and are at their highest levels in the past four years, they remain low relative to pre-pandemic levels. On a more macro-level, the shortage of housing supply should continue to support home prices, albeit at a slower pace. Housing affordability continues to remain challenging, given high mortgage rates and substantial increases in home prices.
Previous report
Non-Agency RMBS issuance for 2024 are projected to be approximately $100 billion, up by approximately 40% as compared to 2023 levels, and we expect investor demand for these securities to remain strong. While spreads in the residential market have tightened significantly since the end of 2023, they remain attractive from a relative value perspective when compared to investment-grade and high-yield corporate bond markets, where spreads are hovering near their tightest levels since the great financial crisis. We believe these market conditions align well with our loan securitization strategy.
Previous report
While our financing costs increased during the third quarter due to additional leverage, the weighted average financing rate decreased for the first time in two years. Early in the quarter, we managed the portfolio consistent with our belief that short-term interest rates remain high for longer, and we have adjusted our strategy as new economic data warranted a shift in view. We continue to seek opportunities to finance a portion of our retained notes from securitizations with long-term non-mark-to-market facilities, but are mindful of changing, more favorable market conditions and the potential for lower interest rates in the future. To further manage interest rate risk, we are currently using financial derivatives such as interest rate swaps and swaptions to hedge against near-term net interest margin compression.
Previous report
Overall, tighter spreads and lower interest rates during the quarter resulted in higher valuation of our residential credit portfolios and our book value per common share increased to $22.35 as of September 30, 2024, as compared to $21.27 as of June 30, 2024.
Previous report
Cash management is critical to our business, and we monitor our ongoing needs for margin (including variable margin on our hedge portfolio and the ongoing margin requirements of our secured financing arrangements), repurchase agreement maturities and operating needs on a continuous basis. Over time, we expect to continue to acquire and securitize mortgage loans as well as further implement our call optimization strategy on securitizations. With available funds, we plan to evaluate the merits of any new investments, as well as other potential uses of capital, such as repurchasing outstanding common and preferred stock or reducing higher cost liabilities as they mature.
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Reworded paragraphs (86)
Previous wording
The following discussion of our financial condition and results of operations should be read in conjunction with the consolidated financial statements and notes to those statements included in Item 1 of this Quarterly Report on Form 10-Q. All per share amounts, common shares outstanding and restricted shares for all periods presented reflect our 1-for-3 reverse stock split, which was effective after the close of trading on May 21, 2024.
Current wording
The following discussion of our financial condition and results of operations should be read in conjunction with the consolidated financial statements and notes to those statements included in Item 1 of this Quarterly Report on Form 10-Q.
Previous wording
In this Quarterly Report on Form 10-Q, references to “we,” “us,” “our” or “the Company” refer to Chimera Investment Corporation and its subsidiaries unless specifically stated otherwise or the context otherwise indicates. The following defines certain of the commonly used terms in this Quarterly Report on Form 10-Q: Agency refers to a federally chartered corporation, such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government, such as Ginnie Mae; MBS refers to mortgage-backed securities secured by pools of residential or commercial mortgage loans; RMBS refers to mortgage-backed securities secured by pools of residential mortgage loans; CMBS refers to mortgage-backed securities secured by pools of commercial mortgage loans; Agency RMBS and Agency CMBS refer to MBS that are secured by pools of residential and commercial mortgage loans, respectively, and are issued or guaranteed by an Agency; ABS refers to asset-backed securities; Agency MBS refers to MBS that are issued or guaranteed by an Agency and includes Agency RMBS and Agency CMBS collectively; Agency CMO refers to collateralized mortgage obligations guaranteed by an Agency and are included in Agency RMBS; Non-Agency RMBS refers to residential MBS that are not guaranteed by any agency of the U.S. Government or any Agency; IO refers to Interest-only securities.
Current wording
In this Quarterly Report on Form 10-Q, references to “we,” “us,” “our” or “the Company” refer to Chimera Investment Corporation and its subsidiaries unless specifically stated otherwise or the context otherwise indicates. The following defines certain of the commonly used terms in this Quarterly Report on Form 10-Q: Agency refers to a federally chartered corporation, such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government, such as Ginnie Mae; MBS refers to mortgage-backed securities secured by pools of residential or commercial mortgage loans; RMBS refers to mortgage-backed securities secured by pools of residential mortgage loans; CMBS refers to mortgage-backed securities secured by pools of commercial mortgage loans; Agency RMBS and Agency CMBS refer to MBS that are secured by pools of residential and commercial mortgage loans, respectively, and are issued or guaranteed by an Agency; ABS refers to asset-backed securities; Agency MBS refers to MBS that are issued or guaranteed by an Agency and includes Agency RMBS and Agency CMBS collectively; Non-Agency RMBS refers to residential MBS that are not guaranteed by any agency of the U.S. Government or any Agency; IO refers to Interest-only securities.
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•changes in inflation, interest rates and mortgage prepayment rates;
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•changes in inflation, the yield curve, interest rates and mortgage prepayment rates;
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•our business and investment strategy;
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•our ability to execute on our business and investment strategy;
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•the degree to which our hedging strategies may or may not protect us from interest rate volatility;
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•the degree to which our hedging strategies may or may not be effective;
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•our ability to find and retain qualified personnel;
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•our ability to find and retain qualified executive officers and key personnel;
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•our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended, or 1940 Act;
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•our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended (the “1940 Act”);
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•our ability to maintain our classification as a real estate investment trust, or REIT, for U.S. federal income tax purposes;
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•our ability to maintain our classification as a real estate investment trust (“REIT”) for U.S. federal income tax purposes;
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•estimates relating to our ability to make distributions to our stockholders in the future;
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•our ability to make distributions to our stockholders in the future.
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We are a publicly traded REIT that is primarily engaged in the business of investing in a diversified portfolio of mortgage assets, including residential mortgage loans, Non-Agency RMBS, Agency RMBS, Agency CMBS, business purpose and investor loans, and other real estate-related assets. Our investments may be direct or indirect, including through one or more limited partnerships managed by a registered investment advisor. We may make other similar investments as well as invest in entities that originate or service mortgage loans. The mortgage-backed securities, or MBS, and other real estate-related securities we purchase may include investment-grade, non-investment grade, and non-rated classes. We use leverage to increase potential returns from our investments. Our principal business objective is to provide attractive risk-adjusted returns through the generation of distributable income and through asset performance linked to mortgage credit fundamentals. We selectively invest in residential mortgage assets with a focus on credit analysis, projected prepayment rates, interest rate sensitivity and expected return.
Current wording
We are a publicly traded REIT that is primarily engaged in the business of investing for itself and for unrelated third parties through its investment management and advisory services in a diversified portfolio of mortgage assets, including residential mortgage loans, Non-Agency RMBS, Agency RMBS, business purpose and investor loans, including RTLs, and other real estate-related assets such as Agency CMBS. Our investments may be direct or indirect, including through one or more limited partnerships managed by a registered investment advisor. We may make other similar investments as well as invest in entities that originate or service mortgage loans. The MBS and other real estate-related securities we purchase may include investment-grade, non-investment grade, and non-rated classes. We use leverage to increase potential returns from our investments. Our principal business objective is to provide attractive risk-adjusted returns through the generation of distributable income and through asset performance linked to mortgage credit fundamentals. We selectively invest in residential mortgage assets with a focus on credit analysis, projected prepayment rates, interest rate sensitivity and expected return.
Previous wording
We currently focus our investment activities primarily on acquiring residential mortgage loans. In addition, we acquire and own Non-Agency RMBS and Agency MBS. At September 30, 2024, based on the fair value of our interest earning assets, approximately 84% of our investment portfolio was residential mortgage loans, 8% of our investment portfolio was Non-Agency RMBS, and 8% of our investment portfolio was Agency MBS. At December 31, 2023, based on the fair value of our interest earning assets, approximately 91% of our investment portfolio was residential mortgage loans, 8% of our investment portfolio was Non-Agency RMBS, and 1% of our investment portfolio was Agency MBS.
Current wording
We currently focus our investment activities primarily on acquiring residential mortgage loans. In addition, we acquire and own Non-Agency RMBS and Agency MBS. At March 31, 2025, based on the fair value of our interest earning assets, approximately 87% of our investment portfolio was residential mortgage loans, 8% of our investment portfolio was Non-Agency RMBS, and 5% of our investment portfolio was Agency MBS. At December 31, 2024, based on the fair value of our interest earning assets, approximately 88% of our investment portfolio was residential mortgage loans, 8% of our investment portfolio was Non-Agency RMBS, and 4% of our investment portfolio was Agency MBS.
Previous wording
Our investment strategy is intended to take advantage of opportunities in the current interest rate and credit environment. We adjust our strategy in response to changing market conditions by shifting our asset allocations across various asset classes as interest rate and credit cycles change over time. We believe that our strategy will provide us an opportunity to pay dividends throughout changing market cycles. We expect to take a long-term view of assets and liabilities.
Current wording
Our investment strategy is intended to take advantage of opportunities in the current interest rate and credit environment. We adjust our strategy in response to changing market conditions by shifting our asset allocations across various asset classes as interest rate and credit cycles change over time. We believe that our strategy will enhance our ability to pay dividends on our common shares throughout changing market cycles. We expect to take into consideration the long-term trends in the value of our assets and liabilities in assessing our investment strategy.
Previous wording
Securitizations - In July, we sponsored CIM 2024-R1, a $468 million securitization of seasoned reperforming residential mortgage loans. 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. Chimera retained subordinate interests in securities with an aggregate balance of approximately $116 million and certain interest-only securities. Chimera 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.
Current wording
On January 31, 2025 we sponsored CIM 2025-I1, a $288 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 $276 million, were sold in a private placement to institutional investors. These senior securities represented approximately 95.8% of the capital structure. We retained subordinate interests in securities with an aggregate balance of approximately $12 million and certain interest-only securities. We 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. PAS is the asset manager for the securitization.
Previous wording
Due to these changes in our portfolio, our interest income on Loans held for investment, and Agency CMBS decreased by $20 million and $5 million, respectively, during the nine months ended September 30, 2024, as compared to the nine months ended September 30, 2023. This decrease was offset in part by an increase in interest income of $13 million on our Agency RMBS portfolio driven by our Agency CMO purchases during the nine months ended September 30, 2024, as compared to the nine months ended September 30, 2023.
Current wording
Asset purchases during the quarter ended March 31, 2025
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Agency CMO securities -Following the notes offering in August, we purchased $543 million of Agency CMOs with floating rate coupons. We expect that the levered return on this investment will exceed our cost of capital from the capital raise. As these investments have added portfolio value, while allowing us to maintain the liquidity we seek to make future investments in residential loans and credit securities. We expect to achieve low-to-mid teen levered returns on the CMOs.
Current wording
We currently target low-to-mid teen levered returns on the Pass-throughs, and expect the levered return on this investment to exceed our cost of capital and be accretive to our earnings.
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Loans -We committed to purchase $118 million of residential transition loans during the third quarter. These loans have a 9.25% net weighted average coupon, 79% weighted average LTV, and an average 740 FICO score. We will utilize leverage through our warehouse facilities on these loans and expect to achieve a mid-to-high teen levered return. These loans are expected to settle in the fourth quarter.
Current wording
Loans - We committed to purchase $32 million of residential transition loans during the first quarter, which we anticipate will settle in the second quarter. We will utilize leverage through our warehouse facilities on these loans and expect to achieve a mid-to-high teen levered return. In addition, $100 million of RTL loans settled during the quarter, which were originally purchased in 2024 with a weighted average purchase yield of 8.68%.
Previous wording
We declared a $0.37 dividend per common share in the third quarter of 2024, representing a 6% increase from the most recent dividend declared in the second quarter of 2024, and a 12% increase from the first quarter of 2024. Our Economic Return (as measured by the change in book value per common share plus common stock dividend) was 6.82% for the third quarter of 2024 and 15.56% year to date.
Current wording
We declared a $0.37 dividend per common share in the first quarter of 2025. Our economic return (as measured by the change in book value per common share plus common stock dividend) was 9.20% for the first quarter of 2025.
Previous wording
The table below presents our net income (loss) on a GAAP basis for the quarters ended September 30, 2024, June 30, 2024, and the nine months ended September 30, 2024 and September 30, 2023.
Current wording
The table below presents our net income (loss) on a GAAP basis for the quarters ended March 31, 2025, December 31, 2024, and March 31, 2024.
Previous wording
(1) Includes interest income of consolidated VIEs of $146,007 and $144,027 for the quarters ended September 30, 2024 and June 30, 2024, respectively, and $436,950 and $443,286 for the nine months ended September 30, 2024 and 2023, respectively. See Note 9 for further discussion.
Current wording
(1) Includes interest income of consolidated VIEs of $144,402, $142,921, and $146,917 for the quarters ended March 31, 2025, December 31, 2024, and March 31, 2024, respectively.
Previous wording
(2) Includes interest expense of consolidated VIEs of $71,668 and $69,692 for the quarters ended September 30, 2024 and June 30, 2024, respectively, and $214,483 and $208,678 for the nine months ended September 30, 2024 and 2023, respectively. See Note 9 for further discussion.
Current wording
(2) Includes interest expense of consolidated VIEs of $69,651, $70,083, and $73,123 for the quarters ended March 31, 2025, December 31, 2024, and March 31, 2024, respectively.
Previous wording
Results of Operations for the Quarters Ended September 30, 2024 and June 30, 2024, and for the nine months ended September 30, 2024 and September 30, 2023.
Current wording
Results of Operations for the quarters Ended March 31, 2025, December 31, 2024, and March 31, 2024.
Previous wording
For the quarter ended September 30, 2024, our net income available to common shareholders was $114 million, or $1.41 per average basic common share, as compared to a net income of $34 million, or $0.42 per average basic common share for the quarter ended June 30, 2024. During the quarter ended September 30, 2024, we had net interest income of $66 million, unrealized gains on financial instruments at fair value of $104 million, and net losses on derivatives of $13 million, offset in part by operating expenses of $22 million and preferred stock dividend of $23 million.
Current wording
For the quarter ended March 31, 2025, our net income available to common shareholders was $146 million, or $1.79 per average basic common share, as compared to a net loss available to common shareholders of $168 million, or $2.07 per average basic common share for the quarter ended December 31, 2024. As discussed earlier, the yields on two-year and ten-year U.S. Treasury Notes declined and residential credit spreads remained relatively flat during the quarter ended March 31, 2025, which resulted in market pricing gains on our investment portfolio and increased the net income available to common shareholders. During the quarter ended March 31, 2025, we had unrealized gains on financial instruments at fair value of $129 million, net interest income of $69 million, and investment and asset management fees of $9 million, offset in part by operating expenses of $34 million and preferred stock dividend of $21 million.
Previous wording
For the nine months ended September 30, 2024, our net income available to common shareholders was $259 million, or $3.20 per average basic common share, compared to a net income of $40 million, or $0.52 per average basic common share for the nine months ended September 30, 2023. The increase in net income available to common shareholders for the nine months ended September 30, 2024, as compared to the nine months ended September 30, 2023 was primarily driven by an increase in unrealized gains on financial instruments at fair value of $164 million, a decrease in net losses on sales of investments of $24 million, an increase in net gains on derivatives of $19 million, and a decrease in deal expenses of $13 million.
Current wording
For the quarter ended March 31, 2025, our net income available to common shareholders was $146 million, or $1.79 per average basic common share, compared to a net income of $111 million, or $1.37 per average basic common share for the quarter ended March 31, 2024. The increase in net income available to common shareholders for the quarter ended March 31, 2025, as compared to the quarter ended March 31, 2024 was primarily driven by an increase in net unrealized gains on financial instruments at fair value of $52 million, and an increase in investment management and advisory fees of $9 million. This increase was offset in part by a decrease on net gains on derivatives of $13 million, an increase in transaction expense of $6 million due to higher securitization activity, and an increase in compensation expense of $4 million, due to the Palisades Acquisition during the quarter ended March 31, 2025, as compared to the quarter ended March 31, 2024.
Previous wording
Our Economic net interest income is a non-GAAP financial measure that equals GAAP net interest income adjusted for net periodic interest cost of interest rate swaps and excludes interest earned on cash. For the purpose of computing economic net interest income and ratios relating to cost of funds measures throughout this section, interest expense includes net payments on our interest rate swaps, which is presented as a part of Net gains (losses) on derivatives in our Consolidated Statements of Operations. Interest rate swaps are used to manage the increase in interest paid on secured financing agreements in a rising rate environment. Presenting the net contractual interest payments on interest rate swaps with the interest paid on interest-bearing liabilities reflects our total contractual interest payments. We believe this presentation is useful to investors because it depicts the economic value of our investment strategy by showing all components of interest expense and net interest income of our investment portfolio. However, Economic net interest income should not be viewed in isolation and is not a substitute for net interest income computed in accordance with GAAP. Where indicated, interest expense, adjusting for any interest earned on cash, is referred to as Economic interest expense. Where indicated, net interest income reflecting net periodic interest cost of interest rate swaps and any interest earned on cash, is referred to as Economic net interest income.
Current wording
Our Economic net interest income is a non-GAAP financial measure that equals GAAP net interest income adjusted for net periodic interest cost of derivatives and excludes interest earned on cash. For the purpose of computing economic net interest income and ratios relating to cost of funds measures throughout this section, interest expense includes net payments on our derivatives, which is presented as a part of Net gains (losses) on derivatives in our Consolidated Statements of Operations. Interest rate swaps and Swap futures are used to manage the increase in interest paid on secured financing agreements in a rising rate environment. Presenting the net contractual interest payments on interest rate derivatives with the interest paid on interest-bearing liabilities reflects our total contractual interest payments. We believe this presentation is useful to investors because it depicts the economic value of our investment strategy by showing all components of interest expense and net interest income of our investment portfolio. However, Economic net interest income should not be viewed in isolation and is not a substitute for net interest income computed in accordance with GAAP. Where indicated, interest expense, adjusting for any interest earned on cash, is referred to as Economic interest expense. Where indicated, net interest income reflecting net periodic interest cost of interest rate swaps and any interest earned on cash, is referred to as Economic net interest income.
Previous wording
The following table shows our average earning assets held, interest earned on assets, yield on average interest earning assets, average debt balance, economic interest expense, economic average cost of funds, economic net interest income and net interest rate spread for the periods presented.
Current wording
The following tables shows our average earning assets held, interest earned on assets, yield on average interest earning assets, average debt balance, economic interest expense, economic average cost of funds, economic net interest income and net interest rate spread for the periods presented.
Previous wording
Our Economic net interest income (which is a non-GAAP measure, see “Economic net interest income” discussion earlier for details) decreased by $883 thousand to $72 million for the quarter ended September 30, 2024 from $72 million for the quarter ended June 30, 2024. Our net interest rate spread, which equals the yield on our average interest-earning assets less the economic average cost of funds, decreased by 10 basis points for the quarter ended September 30, 2024, as compared to the quarter ended June 30, 2024. The net interest margin, which equals the Economic net interest income as a percentage of the net average balance of our interest-earning assets less our interest-bearing liabilities, increased by 10 basis points to 2.2% for the quarter ended September 30, 2024 compared to 2.3% for the quarter ended June 30, 2024. Our Average net interest-earning assets remained relatively unchanged at $2.0 billion for the quarters ended September 30, 2024 and June 30, 2024.
Current wording
Our Economic net interest income (which is a non-GAAP measure, see “Economic net interest income” discussion earlier for details) increased by $3 million to $72 million for the quarter ended March 31, 2025 from $69 million for the quarter ended December 31, 2024. The net interest margin, which equals the Economic net interest income as a percentage of the net average balance of our interest-earning assets less our interest-bearing liabilities, remained steady at 1.50% for the quarter ended March 31, 2025, as compared to the quarter ended December 31, 2024. Our Average net interest-earning assets remained relatively unchanged at $2.0 billion for the quarters ended March 31, 2025, and December 31, 2024 . Our net interest rate spread, which equals the yield on our average interest-earning assets less the economic average cost of funds, remained unchanged at 1.18 for the quarter ended March 31, 2025, as compared to the quarter ended December 31, 2024.
Previous wording
Our Economic net interest income (which is a non-GAAP measure, see “Economic net interest income” discussion earlier for details) increased by $10 million to $212 million for the nine months ended September 30, 2024 from $202 million for the nine months ended September 30, 2023. Our net interest rate spread, which equals the yield on our average interest-earning assets less the economic average cost of funds, increased by 20 basis points for the nine months ended September 30, 2024, as compared to the nine months ended September 30, 2023, primarily driven by lower secured financing agreement interest expense. The net interest margin, which equals the Economic net interest income as a percentage of the net average balance of our interest-earning assets less our interest-bearing liabilities, incr eased by 20 basis points for the nine months ended September 30, 2024, as compared to the same period of 2023. Our Average net interest-earning assets decreased by $141 million to $2.0 billion for the nine months ended September 30, 2024, compared to $2.2 billion for the same period of 2023.
Current wording
Our Economic net interest income (which is a non-GAAP measure, see “Economic net interest income” discussion earlier for details) increased by $4 million to $72 million for the quarter ended March 31, 2025 from $68 million for the quarter ended March 31, 2024. The net interest margin, which equals the Economic net interest income as a percentage of the net average balance of our interest-earning assets less our interest-bearing liabilities, increased by 20 basis points for the quarter ended March 31, 2025, as compared to the quarter ended March 31, 2024. Our Average net interest-earning assets decreased by $77 million to $2.0 billion for the quarter ended March 31, 2025, compared to $2.1 billion for the same period of 2024. Our net interest rate spread, which equals the yield on our average interest-earning assets less the economic average cost of funds, increased by 10 basis points for the quarter ended March 31, 2025, as compared to the quarters ended March 31, 2024. The increase in our net interest spread was primarily driven by higher interest income in our Agency RMBS portfolio due to Agency CMO and Agency Pass-through purchases.
Previous wording
The borrowing rate at which we are able to finance our assets using secured financing agreements is typically correlated to SOFR and the term of the financing. The borrowing rate on the majority of our securitized debt is fixed and correlated to the term of the financing. The table below shows our average borrowed funds, Economic interest expense, average cost of funds (inclusive of periodic interest costs on swaps), average one-month SOFR, average three-month SOFR and average one-month SOFR relative to average three-month SOFR.
Current wording
The borrowing rate at which we are able to finance our assets using secured financing agreements is typically correlated to SOFR and the term of the financing. The borrowing rate on the majority of our securitized debt is fixed and correlated to the term of the financing. The table below shows our average borrowed funds, Economic interest expense, average cost of funds (inclusive of periodic interest on swaps and Swap futures), average one-month SOFR, average three-month SOFR and average one-month SOFR relative to average three-month SOFR.
Previous wording
Average interest-bearing liabilities increased by $164 million for the quarter ended September 30, 2024, as compared to the quarter ended June 30, 2024. Economic interest expense increased by $10 million for the quarter ended September 30, 2024, as compared to the quarter ended June 30, 2024 driven by the decrease in average interest-bearing liabilities.
Current wording
Average interest-bearing liabilities increased by $140 million for the quarter ended March 31, 2025, as compared to the quarter ended March 31, 2024. Economic interest expense decreased by $1 million for the quarter ended March 31, 2025, as compared to the quarter ended March 31, 2024, primarily due to Fed rate cuts.
Previous wording
For the quarter ended September 30, 2024, we recorded an increase in provision for credit losses of $358 thousand, as compared to an increase in provision of credit losses of $4 million for the quarter ended June 30, 2024. For the nine months ended September 30, 2024, we recorded an increase in provision for credit losses of $5 million, as compared to an increase in provision of credit losses of $9 million for the nine months ended September 30, 2023.
Current wording
For the quarter ended March 31, 2025, we recorded an increase in provision for credit losses of $3 million, as compared to an increase in provision of credit losses of $4 million for the quarter ended December 31, 2024. For the quarter ended March 31, 2025, we recorded an increase in provision for credit losses of $3 million, as compared to an increase in provision of credit losses of $1 million for the quarter ended March 31, 2024. The changes in provision for credit losses for the quarter ended March 31, 2025 as compared to the quarter ended December 31, 2024 and March 31, 2024, are primarily due to a deterioration in cashflows on certain investments.
Previous wording
We use derivatives to economically hedge the effects of changes in interest rates on our portfolio, specifically our secured financing agreements. Unrealized gains and losses include the change in market value, period over period, on our derivatives portfolio. Changes in market value are generally a result of changes in interest rates. We may or may not ultimately realize these unrealized derivative gains and losses depending on trade activity, changes in interest rates and the values of the underlying securities. The net gains and losses on our derivatives include both unrealized and realized gains and losses. Realized gains and losses include the net cash paid and received on our interest rate swaps during the period as well as sales, terminations and settlements of our swaps, swaptions and U.S. Treasury futures.
Current wording
We use derivatives to economically hedge the effects of changes in interest rates on our portfolio, specifically our secured financing agreements. Unrealized gains and losses include the change in market value, period over period, on our derivatives portfolio. Changes in market value are generally a result of changes in interest rates. We may or may not ultimately realize these unrealized derivative gains and losses depending on trade activity, changes in interest rates and the values of the underlying securities. The net gains and losses on our derivatives include both unrealized and realized gains and losses. Realized gains and losses include the net cash paid and received on our interest rate swaps and Swap futures during the period as well as sales, terminations and settlements of our swaps, swaptions and U.S. Treasury futures.
Previous wording
The table below shows a summary of our net gains (losses) on derivative instruments, for the quarters ended September 30, 2024 and June 30, 2024, and nine months ended September 30, 2024 and September 30, 2023, respectively.
Current wording
The table below shows a summary of our net gains (losses) on derivative instruments, for the quarters ended March 31, 2025, December 31, 2024, and March 31, 2024, respectively.
Previous wording
Changes in market value are generally a result of changes in interest rates. We may or may not ultimately realize these unrealized derivative gains and losses depending on trade activity, changes in interest rates and the values of the underlying securities.
Current wording
During the quarters ended March 31, 2025, December 31, 2024, and March 31, 2024, we recognized total net losses on derivatives of $2 million, total net gains on derivatives of $5 million and total net gains on derivatives of $11 million, respectively. Changes in market value are generally a result of changes in interest rates. We may or may not ultimately realize these unrealized derivative gains and losses depending on trade activity, changes in interest rates and the values of the underlying securities.
Previous wording
The weighted average pay rate on our interest rate swap at September 30, 2024 was 3.56% and the weighted average receive rate was 4.96%. At September 30, 2024, the weighted average maturity on our interest rate swaps was less than one year. The weighted average pay rate on our interest rate swap at December 31, 2023 was 3.26% and the weighted average receive rate was 5.40%. At December 31, 2023, the weighted average maturity on our interest rate swaps was less than one year.
Current wording
The weighted average pay rate on our interest rate swap at December 31, 2024 was 3.56% and the weighted average receive rate was 4.49%. At December 31, 2024, the weighted average maturity on our interest rate swap was less than one year.
Previous wording
We had no swap terminations during the quarters ended September 30, 2024 and 2023, respectively. We had a realized loss of $17 million related to the maturity of one swap during the nine months ended September 30, 2024. We paid $45 million to terminate interest rate swaps with a notional value of $2.5 billion during the nine months ended September 30, 2023. The terminated swaps had original maturities ranging from 2025 to 2028.
Current wording
We had no swap terminations during the quarters ended March 31, 2025 and 2024.
Previous wording
During the nine months ended September 30, 2024, we exercised three swaption contracts, each with $500 million notional, and entered into three one-year swaps, each with $500 million notional and a weighted average fixed pay rate of 3.56%.
Current wording
During the year ended December 31, 2024, we exercised ourthree swaption contracts, each with $500 million notional, and entered into three one-year swaps, each with $500 million notional and a weighted average fixed pay rate of 3.56%.
Previous wording
We did not acquire any securitized debt collateralized by Non-Agency RMBS during the quarters ended September 30, 2024 and June 30, 2024, and nine months ended September 30, 2024 and September 30, 2023.
Current wording
We did not acquire any securitized debt collateralized by Non-Agency RMBS during the quarters ended March 31, 2025, December 31, 2024 and March 31, 2024.
Previous wording
Interest expense decreased by $13 million, or 3%, to $370 million for the nine months ended September 30, 2024, as compared to $383 million for the nine months ended September 30, 2023.This decrease in interest expense for the nine months ended September 30, 2024, as compared to the nine months ended September 30, 2023, was primarily driven by our de-levering efforts, which included reducing our secured financing agreements and securitized debt and the Federal Reserve's 50 basis points rate cut. Our average secured financing agreements balance decreased by $64 million to $2.9 billion for the nine months ended September 30, 2024 as compared to $2.9 billion for the nine months ended September 30, 2023. As a result, our interest expenses on secured financing agreements collateralized by Loans held for investments, Non-Agency RMBS and Agency CMBS decreased by $16 million, $17 million, and $4 million, respectively, during the nine months ended September 30, 2024, as compared to the nine months ended September 30, 2023. This decrease was offset by an increase in interest expense on securitized debt of $5 million, as the average borrowing rates on our securitizations increased by 30 basis points, and an increase in interest expense of $9 million on our secured financing agreement collateralized by Agency RMBS driven by Agency CMO purchase financing, and long term debt interest expense increase of $3 million.
Current wording
Securitized Debt Collateralized by Loans Held for Investment
Previous wording
We did not acquire any securitized debt collateralized by loans held for investment during the nine months ended September 30, 2024. During the nine months ended September 30, 2023, we acquired securitized debt collateralized by Loans held for investment with an amortized cost balance of $551 million for $545 million. These transactions resulted in net gain on extinguishment of debt of $6 million.
Current wording
We acquired securitized debt collateralized by Loans held for investment with an amortized cost balance of $314 million for $312 million during the quarter ended March 31, 2025. This transaction resulted in net gain on extinguishment of debt of $2 million. We did not acquire any securitized debt collateralized by Loans held for investment during the quarters ended March 31, 2024 and December 31, 2024.
Previous wording
During the second quarter of 2024, we issued $65 million aggregate principal amount of 9.00% unsecured senior notes due 2029 that pays quarterly interest. After deducting the underwriting discount and other debt issuance costs, we received approximately $62 million of proceeds.
Current wording
During the second quarter of 2024, we issued $65 million aggregate principal amount of 9.00% unsecured senior notes due 2029 that pay quarterly interest. After deducting the underwriting discount and other debt issuance costs, we received approximately $63 million of proceeds.
Showing the first 40 of 86 pairs. Open the source sections for the rest.
Rearranged current paragraphs (6)
Current report — wording carried from elsewhere
The increase in net income available to common shareholders for the quarter ended March 31, 2025, as compared to the quarter ended December 31, 2024, was primarily driven by an increase in unrealized gains on financial instruments at fair value of $310 million, and an increase in net interest income of $3 million, offset in part by an increase in net losses on derivatives of $8 million.
Current report — wording carried from elsewhere
The weighted average pay rate on our interest rate swaps at March 31, 2025 was 3.53% and the weighted average receive rate was 4.41%. At March 31, 2025, the weighted average maturity on our interest rate swaps was less than one year.
Current report — wording carried from elsewhere
Securitized Debt Collateralized by Non-Agency RMBS
Current report — wording carried from elsewhere
Earnings available for distribution is a non-GAAP measure and is defined as GAAP net income excluding (i) unrealized gains or losses on financial instruments carried at fair value with changes in fair value recorded in earnings, (ii) realized gains or losses on the sales of investments, (iii) gains or losses on the extinguishment of debt, (iv) changes in the provision for credit losses, (v) unrealized gains or losses on derivatives, (vi) realized gains or losses on derivatives, (vii) transaction expenses, (viii) stock compensation expenses for retirement eligible awards, (ix) amortization of intangibles and depreciation expenses, (x) non-cash imputed compensation expense related to business acquisitions, and (xi) other gains and losses on equity investments.
Current report — wording carried from elsewhere
At December 31, 2024, the weighted average borrowing rates for our secured financing agreements collateralized by Agency RMBS was 4.8%, Agency CMBS was 4.8% and Non-Agency MBS and Loans held for investment was 6.8%.
Current report — wording carried from elsewhere
PSU awards are designed to align compensation with our future performance. The PSU awards granted during the three months ended March 31, 2025 and 2024, include a three-year performance period ending on December 31, 2026 and December 31,
Rearranged previous paragraphs (1)
Previous report — wording carried elsewhere
Because the fair value of the Non-Agency MBS is more difficult to determine in current financial conditions, as well as more volatile period to period than Agency MBS, the Non-Agency MBS typically requires a larger haircut. In addition, when financing assets using the standard form of SIFMA Master Repurchase Agreements, the counterparty to the agreement typically nets its exposure to us on all outstanding repurchase agreements and issues margin calls if movement of the fair values of the assets in the aggregate exceeds their allowable exposure to us. A decline in asset fair values could create a margin call or may create no margin call depending on the counterparty’s specific policy. In addition, counterparties consider a number of factors, including their aggregate exposure to us as a whole and the number of days remaining before the repurchase transaction closes prior to issuing a margin call. To minimize the risk of margin calls, as of September 30, 2024, we have entered into