Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 151

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 151
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 related to distributions (cash received) as “Interest income from investment in MSR financing receivables” in the accompanying Consolidated Statements of Operations. The Company recognized interest income from investment in MSR financing receivables of $500 thousand for the quarter ended September 30, 2025.As of September 30, 2025, the fair value of the Company’s interests in MSR financing receivables was $36 million. The following table presents activity related to the carrying value of the Company’s investments in MSR financing receivables for the periods indicated:

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For the Nine Months EndedSeptember 30, 2025(dollars in thousands)Balance at period beginning$— Purchases38,221 Capital distribution— Interest income from investment in MSR financing receivables1,888 Amortization of MSR loan pool(1,388)Changes in unrealized gains (losses)(5,205)Servicer advances2,012 Balance at period end$35,528 

11. Derivative Instruments

In connection with the Company’s interest rate risk strategy, the Company may economically hedge a portion of its interest rate risk by entering into derivative financial instrument contracts in the form of interest rate swaps, swaptions, U.S. Treasury futures, Swap futures and interest rate caps. Swaps are used to lock in a fixed rate related to a portion of the Company's current and anticipated payments on secured financing agreements. The Company typically agrees to pay a fixed rate of interest, or pay rate, in exchange for the right to receive a floating rate of interest, or receive rate, over a specified period of time. Interest rate swaptions provide the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. The Company’s swaptions are not centrally cleared. U.S. Treasury futures are derivatives that track the prices of generic benchmark U.S. Treasury securities with identical maturity and are traded on an active exchange. It is generally the Company’s policy to close out any U.S. Treasury futures positions prior to delivering the underlying security. U.S. Treasury futures lock in a fixed rate related to a portion of its current and anticipated payments on its secured financing agreements. Swap futures are exchange-traded contracts that mirror the economics of an interest rate swap, where one party pays a fixed rate and the other pays a floating rate based on the SOFR. Swap futures are marked-to-market daily, with prices published by the CME Group