Company: CIMO
Filing Date: 2025-08-06
Form Type: 10-Q
Source: 0001628280-25-038345
Chunk: 181

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-08-06
Form: 10-Q
Item: Item 8
Chunk 181
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$(2,252)

For the Six Months Ended June 30, 2025June 30, 2024 (dollars in thousands)Periodic interest on derivatives, net$9,202 $12,448 Realized gains (losses) on derivative instruments, net:Interest rate swaps(11,941)— Swap futures(390)(17,317)Treasury futures82 — Swaptions(5,623)— Interest Rate Cap— — Total realized gains (losses) on derivative instruments, net(17,872)(17,317)Unrealized gains (losses) on derivative instruments, net:Interest rate swaps(3,896)19,480 Swap futures(641)— Treasury futures(117)(2,605)Swaptions— 269 Interest Rate Cap(4,370)— Total unrealized gains (losses) on derivative instruments, net:(9,024)17,144 Total gains (losses) on derivative instruments, net$(17,694)$12,275 

During the quarters ended June 30, 2025 and March 31, 2025, we recognized total net losses on derivatives of $15 million 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.

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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