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We retained subordinated notes and interest-only securities for investment with an aggregate balance of approximately $128 million. These securities had a 3.75% fixed rate coupon and an average cost of debt of 4.4%. The senior securities were rated AAA by Fitch and DBRS and represented approximately 75% of the capital structure. Securities with an aggregate balance of approximately $380 million were sold in a private placement to institutional investors. These loans had a weighted average coupon of 4.48% and are a 162-month season. In May, we sponsored CIM 2022-R2, collateralized by seasoned reperforming residential mortgage loans with a principal balance of $508 million. Over the quarter, we completed 2 securitizations with $727 million of loans from our existing warehouse facilities. Securitization remains the primary source of long-term funding for our portfolio. Given this market backdrop of higher rates and increased volatility, Chimera maintained its commitment to optimize its liability and capital structure with the objective to maximize our net interest spread for the benefit of our shareholders over the long run. We believe higher primary mortgage rates will severely impact new mortgage origination volumes and consequently improve spreads in the securitization market in the second half of 2022. Wider spreads on these assets spilled over to other mortgage products, including reperforming loans. And specific to mortgage credit, newly originated prime jumbo loans and nonqualified mortgages all performed poorly, which put added pressure on the new issue securitization market. Higher interest rates and increased volatility call spreads on all fixed income products to widen substantially during the quarter. While many believe that the Fed is still in catch-up mode, lenders have become more cautious and the rate of 30-year fixed rate mortgages ended the quarter at 5.83%, an increase of 327 basis points since the start of the year and the highest in over a decade. The velocity of these policy moves have been faster than previously communicated by its governors. They increased the federal funds rate by 125 basis points during the second quarter and again by another 75 basis points last week. The persistence of high inflation has forced the Federal Reserve to alter its outlook on the economy and its open market policies. This was the highest level recorded in the last 40 years. This quarter, inflation, as measured by the Consumer Price Index, continued to climb, reaching 9.1% on a year-over-year basis. After my remarks, Subra will review the financial results, and then we will open the call up for questions. Joining me on the call today are Choudhary Yarlagadda, our President and Chief Operating Officer Subra Viswanathan, our Chief Financial Officer and Vic Falvo, our Head of Capital Markets. Good morning, and welcome to the Second Quarter 2022 Earnings Call for Chimera Investment Corporation. I will now turn the conference over to our CEO and Chief Investment Officer, Mohit Marria.
Chimera securities update#
We do not undertake and specifically disclaim any obligation to update or revise this information. Additionally, the content of this conference call may contain time-sensitive information that is accurate only as of the date of this earnings call. Please refer to our SEC filings and earnings supplement for reconciliation of the most comparable GAAP measures. During the call today, we may also discuss non-GAAP financial measures. We encourage you to read the forward-looking statement disclaimer in our earnings release in addition to our quarterly and annual filings. Actual events and results may differ materially from these forward-looking statements.
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These statements are based on current expectations and assumptions that are subject to risks and uncertainties, which are outlined in the Risk Factors section in our most recent annual and quarterly SEC filings. During this call, we will be making forward-looking statements, which are predictions, projections or other statements about future events. Before we begin, I'd like to review the safe harbor statements.
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Thank you, operator, and thank you, everyone, for participating in Chimera's Second Quarter 2022 Earnings Conference Call. Īt this time, it is my pleasure to turn the floor over to your host, Head of Capital Markets, Victor Falvo. All lines have been placed on a listen-only mode and the floor will be open for questions and comments following the presentation. Good day, ladies and gentlemen, and welcome to the Chimera Investment Conference Call. Subra Viswanathan - Chief Financial Officer
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Mohit Marria - Chief Executive Officer and Chief Investment Officer Chimera Investment Corporation ( NYSE: CIM) Q2 2022 Results Conference Call Aug8:30 AM ET