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

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 2
Chunk 25
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554)Total gains (losses) on derivative instruments, net$(141)$(15,441)

For the Nine Months Ended September 30, 2025September 30, 2024 (dollars in thousands)Periodic interest on derivatives, net$14,953 $19,237 Realized gains (losses) on derivative instruments, net:Interest rate swaps(9,930)— Swap futures(386)(17,317)Treasury futures82 (4,864)Swaptions(5,623)— Interest rate cap— — Total realized gains (losses) on derivative instruments, net(15,857)(22,181)Unrealized gains (losses) on derivative instruments, net:Interest rate swaps(3,640)6,429 Swap futures(6,081)— Treasury futures(117)— Swaptions(877)(3,742)Interest rate cap(6,217)— Total unrealized gains (losses) on derivative instruments, net:(16,932)2,687 Total gains (losses) on derivative instruments, net$(17,836)$(257)

During the quarters ended September 30, 2025 and June 30, 2025, we recognized total net losses on derivatives of $141 thousand and $15 million, respectively. During the nine months ended September 30, 2025 and September 30, 2024, we recognized total net losses on derivatives of $18 million and $257 thousand, 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 September 30, 2025 was 3.65% and the weighted average receive rate was 4.24%. At September 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.

During the quarter and nine months ended September 30, 2025, we entered