Company: CIMO
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023813
Chunk: 80

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-05-08
Form: 10-Q
Item: Item 8
Chunk 80
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41%. At March 31, 2025, the weighted average maturity on the Company’s interest rate swaps was less than one year.The weighted average pay rate on the Company’s 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 the Company’s interest rate swaps was less than one year.The Company had no swap terminations during the quarters ended March 31, 2025 and 2024.During the quarter ended March 31, 2025, the Company exercised its one 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 March 31, 2024, the Company exercised its two swaption contracts with $1.0 billion notional and entered into two one-year swaps with $1.0 billion notional with a weighted average 3.46% fixed pay rate. During the year ended December 31, 2024, the Company exercised its 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 ended March 31, 2025, the Company covered its open short position of 1,000 two-year U.S. Treasury Futures contracts for a net realized gain of $82 thousand. The Company did not have any Treasury futures contract positions or activity during the quarter ended March 31, 2024. The Company was short 1,000 two-year U.S. Treasury futures contract at December 31, 2024. During the quarter ended March 31, 2025, the Company entered into short positions on Swap future contracts. The Company is short 400 10-year SOFR Swap future contracts, 900 two-year SOFR Swap future contracts and 250 five-year SOFR Swap future contracts. The net par equivalent pay fixed rate on the Company's Swap futures at March 31, 2025 was 3.84% and the weighted average receive rate was 4.41%. At March 31, 2024 Company held no Swap future contracts.

37

During the quarter ended March 31, 2025, the Company entered into an Interest rate cap