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“First, I thank my God through Jesus Christ for all of you, because your faith is proclaimed in all the world.” -Romans 1:8
The use of the word first is sort of a trademark of the Apostle’s writing. It’s possible he means that before he addresses anything else, he wants to start with thanksgiving.
But given he dictates most of his letters using a scribe, scholars suggest his letters can appear to be more in the form of “streams of consciousness” (i.e., a first without a second) than a formally outlined letter. That said, this letter to the Romans is quite well structured, so my conclusion is the former explanation is more weighty.
I further suggest the following chiastic structure of chapters best informs us of Paul’s ultimate purpose in writing to the Romans.
1:1-17 Introduction
1:18-3:30 Chaos (Devolution of Humanity)
4-5 Faith Saves
6-7 Two Regimes
8 The Glory of the Gospel
9-11 Two Branches
12-13 Faith Works
14-15 Cosmos (Evolution of Humanity)
16 Farewell
Paul thanks God for all of them through Jesus Christ because without Christ, we have no access to the throne room of God (Ephesians 2:18, 3:12 Cf. Romans 5:2 and Hebrews 4:16).
He is thankful to God for them because they possess the same faith he is preaching. And they being in Rome, the epicenter of the known world, possess a faith that is not obscure. Their reputation of faith in Christ is known throughout the world (of that day).