Corporate debt fell from 3.2 times equity to 2.2 times equity. In addition, Chimera still holds $2 billion of non-agency residential mortgage-backed securities (RMBS) and $3 billion of agency commercial mortgage-backed securities. These loans are used to fund the cash flows for the securities Chimera sold to the market. Chimera also liquidated the hedges for them (the interest-rate swaps) because there was no longer a position to hedge.Ĭhimera dumped most of its interest rate risk and kept its credit riskĪt the end of March, Chimera's portfolio consisted mainly of $13 billion in loans, which are mainly held as collateral against securitizations. Here is what Marria is saying: Chimera sold its residential agency pass-throughs, which means it sold its mortgage backed securities guaranteed by the government because they had the lowest interest rate and the company needed the cash. Treasury note futures and $4.1 billion notional balance on interest rate swaps. We also terminated all our agency hedge positions comprised of U.S. These pass-throughs were the most liquid and lowest yielding assets in our portfolio and have always been part of our strategy to meet our liquidity needs. In response to the significant drop in interest rates, increased price volatility and repo margin calls, this quarter, we sold our entire portfolio of $5.7 billion residential agency pass-throughs. On the Q1 earnings conference call, chief investment officer Mohit Marria explained the strategy:

As a result of margin calls, Chimera liquidated its entire portfolio of agency mortgage-backed securities. Every mREIT dealt with this by selling assets and paying down debt. Book value fell from $4 billion to $3.2 billion.ĭuring the quarter, huge swaths of the mortgage markets seized up as mortgage-backed securities devalued relative to Treasuries (in trader parlance, as spreads widened). Investment banks that had provided leverage for REITs requested additional collateral against their loans, resulting in margin calls.

The balance sheet shrunk dramatically, with assets falling from $27.1 billion to $19.2 billion. The last two months have been awful for mREITsĬhimera had a rough first quarter, losing $2.08 per share, compared with a loss of $0.54 per share in the same quarter last year.

and Chimera Investment Corporation.Image source: Getty Images. The data presented on this page does not represent the view of Chimera Investment and its employees or that of Zippia.Ĭhimera Investment may also be known as or be related to CHIMERA INVESTMENT CORP, Chimera Investment, Chimera Investment Corp. None of the information on this page has been provided or approved by Chimera Investment. While we have made attempts to ensure that the information displayed are correct, Zippia is not responsible for any errors or omissions or for the results obtained from the use of this information. Sources of data may include, but are not limited to, the BLS, company filings, estimates based on those filings, H1B filings, and other public and private datasets. The data on this page is also based on data sources collected from public and open data sources on the Internet and other locations, as well as proprietary data we licensed from other companies. The employee data is based on information from people who have self-reported their past or current employments at Chimera Investment. Zippia gives an in-depth look into the details of Chimera Investment, including salaries, political affiliations, employee data, and more, in order to inform job seekers about Chimera Investment.

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