Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 198

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 198
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 these arrangements, the licensed servicer holds legal title to the MSRs and is responsible for performing all servicing activities, while we provide financing or capital support and, in return, receive the economic benefits of a base and excess servicing spread. 

We entered into a Reference Spread Agreement for Agency Loans (“RESPA”) to purchase the base servicing fee on the mortgage servicing loans at a rate of 12.5 basis points less the cost of servicing and other ancillary fees and income. We also entered into a True Excess Spread Agreement for FNMA Loans (“TESPA”) entitling us to monthly distributions of the servicing fees collected by the mortgage loan servicer in excess of 12.5 basis points per annum and other related servicing cash flows.

Recurring servicing fees, ancillary income, recapture income, and float earnings associated with MSRs are recognized on a cash basis when earned and received.  We recognized interest income on our investments in MSR financing receivables of $500 thousand for the quarter ended September 30, 2025.

Net Unrealized Gains (Losses) on Financial Instruments at Fair Value

During the quarter ended September 30, 2025, the yield on two-year Treasury notes fell by 11 basis points to 3.61%, while the yield on ten-year Treasury notes dropped by 8 basis points to 4.15%. Meanwhile, interest rate volatility eased to its lowest level since early 2022. We recorded net unrealized losses on financial instruments at fair value of $37 million and net realized gains on financial instruments at fair value of $7 million for the quarters ended September 30, 2025 and June 30, 2025, respectively. 

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We recorded net unrealized gains on financial instruments at fair value of $99 million and $192 million for the nine months ended September 30, 2025 and September 30, 2024, respectively. 

Gains and Losses on Sales of Assets 

We do not forecast sales of investments as we generally expect to invest for long-term gains. However, from time to time, we may sell assets to create liquidity necessary to pursue new opportunities, to achieve targeted leverage ratios, as well as for gains when prices indicate a sale is most beneficial to us, or is the most prudent course of action to maintain a targeted risk adjusted yield for our investors.

During the quarter ended September 30, 2025, we rebalanced a portion of our investment portfolio and sold certain of our Agency CMO