Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 180

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 180
---
 a variety of interest rate derivative transactions across a range of tenors, including $1.0 billion in pay-fixed interest rate swaps, $575 million in pay-fixed interest rate swaps with cancellable features, and $655 million in ERIS swap futures. We 

57

also closed out interest rate swaps with a range of maturities and underlying swap tenors representing notional balances of $1.7 billion that resulted in net realized gain of $2 million.

As of September 30, 2025, we maintained open interest rate hedge positions attributable to the Agency RMBS portfolio that included: (i) $1.1 billion 3.47% average pay-fixed interest rate swaps with varying maturities, (ii) $575 million interest rate swaps with cancellable features with average pay-fixed rate of 4.16% with maturities in July 2032 and July 2035, (iii) $60 million 3.87% par rate equivalent pay-fixed ten-year Eris swap futures maturing in June 2035, $230 million 3.60% par rate equivalent pay-fixed five-year Eris swap futures maturing in June 2030 and $365 million 3.69% par rate equivalent pay-fixed two-year Eris swap futures maturing in June 2027.  

Loan Acquisitions. Considering the velocity and magnitude of interest rate movements, we maintain a hedging program to manage the interest rate risk for the time differential between loan purchase commitment and the closing of loans into securitization. We use a combination of various U.S. Treasury futures contracts to hedge our exposure to future financing costs. Our hedging techniques attempt to mitigate the interest rate risk but do not capture the impact of credit spread risk. We did not have any loan commitments or related futures hedges as of the end of the quarter.

Investment and third-party asset management and advisory fees   

Palisades generated third-party investment, asset management and advisory fees in the amount of $9 million during the quarter and $26 million for the nine months ended September 30, 2025. We continue to see interest from investors in residential asset management and advisory services that offer a solution for investors that want exposure to residential loans but may lack the infrastructure to manage the complexities of the strategy. We were formally engaged to provide transaction advisory services during the quarter related to a mandate executed in June 2025.

Operating expenses    

Compensation, general and administrative, and servicing expenses were higher during the third quarter as compared