Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 196

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 196
---
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 into three swaps with cancellable features with an aggregate notional of $575 million.

66

We had net realized losses of $2 million related to swap terminations during the quarter ended September 30, 2025. We had no swap terminations during the quarter ended September 30, 2024. We had a realized loss of $17 million related to the maturity of one swap during the nine months ended September 30, 2024. 

During the quarter ended September 30, 2025, we bought two $300 million notional swaptions with 18-month expiries and 2-year underlying swap tenors. During the quarter and nine months ended September 30, 2025, we had net realized losses of $6 million related to the sale of 29 swaption contracts. During the nine months ended September 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 nine months ended September 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