Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 5

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 2
Chunk 5
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” and “downside risks to employment have risen.” Further, the Federal Reserve maintained its policy to reduce its portfolio holdings under monthly caps of $5 billion for U.S. Treasuries and $35 billion for Agency RMBS. Overall, markets were resilient despite the disruptions as major indices hit record highs and interest rate volatility eased from the peak in the second quarter.   

Interest rates declined throughout much of the third quarter along the yield curve as markets adjusted to expectations for rate cuts and economic uncertainty increased alongside rising unemployment and higher inflation. 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.

Credit Spreads

Credit markets reflected a stable-to-positive risk sentiment in the third quarter. Nominal MBS spreads remained flat as volatility subsided and demand stabilized, after the initial tightening of 21 basis points earlier in the quarter. Corporate spreads tightened by 9 basis points for investment grade and 23 basis points for high yield. In securitized products, credit spreads tightened moderately, supported by strong collateral performance and broad investor demand, as year-to-date residential credit issuance volume surpassed full-year 2024 levels.

Residential credit fundamentals remained robust, underpinned by low defaults, continued strength in home prices, and historically high homeowner equity, sustaining strong performance and investor demand.

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Housing Market

Mortgage rates fell in the third quarter, with the Freddie Mac 30-year survey rate decreasing from 6.77% to 6.30%. The spread between 30-year mortgage rates and the ten-year Treasury yield narrowed to 215 basis points by quarter end, down from 254 basis points at the end of the second quarter. Economic factors, including inflation concerns and a weaker employment environment, contributed to the decline in mortgage rates.

After rising 2.57% in the first half of 2025, the S&P CoreLogic Case-Shiller U.S. National Home Price Index fell 0.2% and 0.3% in July and August, respectively. The National Association of Retailers (“NAR”) Housing Affordability Index improved modestly in the third quarter as housing prices and mortgage rates both declined. Existing home sales in the U.S. saw a 1.5% month-over-month increase in September 2025 to a seasonally adjusted annual rate of 4.06