Chimera Management Estimates 16%-17% Agency Investment Returns

Management at Chimera Investment Corporation estimated 16%-17% returns on Agency investments and said it was directing marginal liquidity-bucket capital toward them to preserve flexibility for Prism settlement needs.

Management characterized the third quarter as a difficult stretch for mortgage markets, with interest rates climbing sharply, volatility rising and monetary-policy direction growing less certain.

Loans held ahead of securitization faced higher rates and wider spreads, and management expects them to affect fourth-quarter financial results.