Company: CIMO
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023813
Chunk: 180

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-05-08
Form: 10-Q
Item: Item 2
Chunk 180
---
,963 5,189 Total gains (losses) on derivative instruments, net$(2,252)$5,203 $10,665 

During the quarters ended March 31, 2025, December 31, 2024, and March 31, 2024, we recognized total net losses on derivatives of $2 million, total net gains on derivatives of $5 million and total net gains on derivatives of $11 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 March 31, 2025 was 3.53% and the weighted average receive rate was 4.41%. At March 31, 2025, the weighted average maturity on our interest rate swaps was less than one year.

The weighted average pay rate on our interest rate swap 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 swap was less than one year.

We had no swap terminations during the quarters ended March 31, 2025 and 2024.

During the year ended December 31, 2024, we exercised our 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, we exercised our 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, we exercised our 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 quarter ended March 31, 2025, we covered our open short position of 1,000 two-year U.S. Treasury Futures contracts for a net realized gain of $82 thousand. We did not have any Treasury futures contract positions or activity during