Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 197

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 197
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3.56%.

During the nine months ended September 30, 2025, we covered our open short position of 1,000 two-year U.S. Treasury Futures contracts for a net realized gain of $82 thousand. 

During the quarter ended September 30, 2025, we entered into $365 million notional amount of two-year SOFR swap future contracts, $230 million notional amount of five-year SOFR swap future contracts, and $60 million notional amount of ten-year SOFR swap future contracts. The weighted average par rate equivalent pay-fixed was 3.70% for the quarter end. During the nine months ended September 30, 2025, we entered into $705 million swap futures. 

During the quarter and nine months ended September 30, 2024, we entered into 1,391 short 5-year and 1,684 short 5-year U.S. Treasury futures contract with a notional of $139 million and $168 million, respectively, which it subsequently covered for a net realized loss of $4.9 million. We had no outstanding U.S. Treasury futures contract at September 30, 2024. 

During the nine months ended September 30, 2025, we entered into an interest rate cap. We paid $7 million for a two year interest rate cap with a strike rate of 3.95% on SOFR as the market reference rate. At September 30, 2024, we held no interest rate caps.

Changes in our derivative positions were primarily a result of changes in our secured financing composition and changes in interest rates.

Investment management and advisory fees

During the fourth quarter of 2024, we started earning investment management and advisory fees through certain investment management agreements entered into with our investment partnerships and privately offered pooled investment vehicles, insurance companies, and other institutional clients. We recognized investment management and advisory fees of $9 million for the quarters ended September 30, 2025 and June 30, 2025, respectively. We recognized investment management and advisory fees of $26 million during the nine months ended September 30, 2025.

Interest Income from investment in MSR financing receivables

During the quarter ended September 30, 2025, we entered into purchase agreements to acquire base and excess servicing compensation rights, also known as MSRs, associated with a $6.5 billion portfolio of mortgage loans from a licensed, GSE-approved residential mortgage loan servicer. In