Company: CIMO
Filing Date: 2025-08-06
Form Type: 10-Q
Source: 0001628280-25-038345
Chunk: 22

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-08-06
Form: 10-Q
Item: Item 2
Chunk 22
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 and $2 million, respectively. During the six months ended June 30, 2025 and June 30, 2024, we recognized total net losses on derivatives of $18 million and net gains on derivatives of $12 million, respectively. 

Changes in market value are generally a result of changes in interest rates. We may or may not ultimately realize these unrealized derivative gains and losses depending on trade activity, changes in interest rates and the values of the underlying securities.

The weighted average pay rate on our interest rate swaps at June 30, 2025 was 3.61% and the weighted average receive rate was 4.14%. At June 30, 2025, the weighted average maturity on our interest rate swaps was less than 6 years. The weighted average pay rate on our interest rate swaps at December 31, 2024 was 3.56% and the weighted average receive rate was 4.49%. At December 31, 2024, the weighted average maturity on our interest rate swaps was less than one year.

58

We had a realized loss of $3 million related to the swap terminations during the quarter ended June 30, 2025. We had realized losses of $9 million related to the maturity of three swaps during the quarter and six months ended June 30, 2025. We had a realized loss of $17 million related to the maturity of one swap during the quarter and six months ended June 30, 2024.

During the quarter ended June 30, 2025, we had realized loss of $6 million on the sale of 29 swaption contracts. During the six months ended June 30, 2025, we exercised a swaption contract with $500 million notional and entered into a less than one-year swap with $500 million notional with a 3.45% fixed pay rate.  

During the quarter ended June 30, 2024, we exercised one swaption contract with a $500 million notional, and entered into a one-year swap with $500 million notional and a weighted average fixed pay rate of 3.76%. During the six months ended June 30, 2024, we exercised three swaption contracts, each with $500 million notional, and entered into three one-year swaps, each with $500 million notional and a weighted average fixed pay rate of 3.56%.

During the quarter and