Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 179

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 179
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 liquidity raised after payment of principal on a secured financing facility that held these securities as collateral was $44 million. These sales generated a realized loss of $8.3 million during the quarter.

In addition, we also sold $911 million of previously purchased Agency RMBS pass-through securities as we prepared to raise liquidity for the pending acquisition of HomeXpress during the quarter. We received a total of $916 million in proceeds from this sale and a total of $216 million after paying the financing on these positions. These sales resulted in a net realized gain of $10 million during the quarter. Proceeds from the sales were largely re-invested in Agency RMBS toward the end of the quarter after completing strategic dispositions of certain Non-Agency RMBS and issued senior unsecured debt mentioned above.

Hedging transactions during the quarter ended September 30, 2025   

Residential Credit Portfolio. We continued to maintain our strategy of using interest rate derivatives to mitigate the impact of interest rates on our future financing costs and protect against the potential for higher interest rates eroding our earnings and dividend paying ability. Our hedging strategy in our residential credit portfolio seeks to limit the impact of 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