Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 9

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 2
Chunk 9
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 higher interest rates, while maintaining optionality in the event interest rates decline in the future. During the quarter, we entered into two swaptions, each with $300 million notional amounts.   

As of September 30, 2025, we maintained open interest rate hedge positions attributable to the residential credit portfolio that included: (i) a $500 million 3.45% pay-fixed interest rate swap maturing in January 2026, (ii) a $1 billion interest rate cap with a strike rate of 3.95% maturing in February 2027, (iii) $50 million 4.05% par rate equivalent pay-fixed two-year Eris swap futures maturing in March 2027, (iv) a $300 million two-year 3.40% pay fixed rate swaption that expires in January 2027, and (v) a $300 million two-year 3.17% pay fixed rate swaption that expires in February 2027.

Agency RMBS Portfolio. Interest rate swaps and swaptions are valuable tools for managing the interest rate and prepayment risks associated with levered Agency RMBS. By strategically using these derivatives, we seek to mitigate these risks, stabilize cash flows, and potentially enhance the overall risk-adjusted returns of the Agency RMBS portfolio. During the quarter, we executed 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 

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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