Question-and-Answer Session
Operator
(Operator instructions) Your first question comes from Steve Delaney – JMP Securities.
Steve Delaney – JMP Securities
I noticed when you gave your spot spread at the end of the quarter that your weighted average cost of repo borrowings at the end of the quarter was actually about 40 basis points above the average for the quarter. So I was just curious, as part of the chaos in the month of March, that would imply that maybe the lenders raised their pricing relative to LIBOR in the second half of March. Was that the case?
Alex Denahan
It’s largely related to the swaps. Swaps are as you know, the floating leg is tied to LIBOR. And although our rate of repo financing has come down as you would expect during the quarter and would expect in relation to the Fed activity, the swaps are adjusting to LIBOR. And so that has not leveled out as yet and this is a snapshot at the quarter end. So I would expect movement in that number as rates move around.
Steve Delaney – JMP Securities
In terms of the repo financing on the triple-As, I mean are you finding that that financing is available in the repo market on sort of an ad hoc basis outside of your two established lines of credit or are you pretty much just using the two lenders that you’ve disclosed for your triple-A repo?
Matthew Lambiase
Well actually the two warehouse binds that we disclosed are for the purchase of [Polum]. We have several repo agreements on it. We have 12 repo agreements for securities and we’re using about half of them.
Steve Delaney – JMP Securities
Your securitization that you were able to do in April, is that a new shelf that Chimera created or did you borrow a shelf for that transaction?
Matthew Lambiase
We borrowed Deutsche’s A shelf and [BHHMC’s] ticker.
Steve Delaney – JMP Securities
And that was a public deal so we’ll be able to get the terms on that?
Matthew Lambiase
Yes.
Operator
Your next question comes from Bose George – KBW.
Bose George – KBW
I had a question on the assets you guys sold in the quarter, the $394 million. Your leverage seemed very low throughout the quarter, so just wondering what caused you to sell those assets.
Matthew Lambiase
I think the turmoil that was happening in the credit markets was pretty severe in March, especially after March 17. You know Bear Stearns looked like it was going down the second week in March and certainly March 17 you saw Lehman Brothers, looked like Lehman and Merrill Lynch, both their stocks took a huge hit in the marketplace and I think there was widespread panic in the lending market.
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