Our Strategy

Chimera seeks to make strategic investments in mortgage credit to generate an attractive stream of dividend income for our shareholders while maintaining stable book value. The focus of investment activities have been through acquiring Residential Loans, Non-Agency RMBS, Agency CMBS and Agency RMBS.

Dynamic Investment Strategy

Chimera’s income is generated primarily by the difference, or net spread, between the income we earn on our assets and the cost of our borrowing. Over time, our investment allocation strategy is modified, as market conditions change, to generate attractive risk-adjusted return from our investment portfolio. Investments include:

  • Residential Loans
  • Non-Agency
    • REMIC Securities
    • Residential Mortgage Backed Securities (RMBS)
    • Interest Only Securities
  • Agency
    • Multifamily and Project Loans issued by GNMA, FNMA and FHLMC from Construction period (CLC) through Permanent Long-term Funding (PLC)
    • RMBS of various coupons and loan characteristics issued by GNMA, FNMA and FHLMC
    • Interest-Only Securities

Funding Strategy

Chimera borrows money, or uses leverage, to finance the acquisition of mortgage assets and enhance returns on our investment portfolio. We monitor both GAAP leverage and Non-Recourse leverage to better understand and evaluate the leverage risk of Chimera’s investment portfolio. Funding sources have historically included:

  • Repurchase Agreements (Repo)
  • Term Funding
    • Risk Retention Securitization
    • Loan Securitization
    • Re-Remic Securitization
  • Warehouse Facilities

Hedging Strategy

Chimera manages debt and interest rate risk through interest rate hedges. Chimera’s risk management team complements the Portfolio Investment Team by employing in-depth financial models and risk metrics to help manage the overall risk inherent in Chimera’s Investment Portfolio. Hedging techniques have historically included:

  • Interest Rate Swaps, Caps, and Options
  • Futures Contracts
  • Structured Term Repo