Company: CIMO
Filing Date: 2025-02-19
Form Type: 10-K
Source: 0001628280-25-006426
Chunk: 121

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-02-19
Form: 10-K
Item: Item 1A
Chunk 121
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For the Years Ended December 31, 2024December 31, 2023December 31, 2022 (dollars in thousands)Periodic interest income (expense) on interest rate swaps, net$23,780 $17,167 $(1,752)Realized gains (losses) on derivative instruments, net:Swaps(17,317)(45,226)(561)Treasury futures(4,223)(6,344)— Swaptions— 10,613 — Total realized gains (losses) on derivative instruments, net(21,540)(40,957)(561)Unrealized gains (losses) on derivative instruments, net:Interest rate swaps4,224 497 (10,358)Treasury futures117 — — Swaptions(1,378)(6,908)8,876 Total unrealized gains (losses) on derivative instruments, net:2,963 (6,411)(1,482)Total gains (losses) on derivative instruments, net$5,203 $(30,201)$(3,795)

During the years ended December 31, 2024 and 2023, we recognized total net gains on derivatives of $5 million and total net losses on derivatives of $30 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 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. The weighted average pay rate on our interest rate swap at December 31, 2023 was 3.26% and the weighted average receive rate was 5.40%. At December 31, 2023, the weighted average maturity on our interest rate swaps was less than one year.

We had no swap terminations during the year ended December 31, 2024. We had a realized loss of $17 million related to the maturity of one swap during the year ended December 31, 2024. We paid $45 million to terminate interest rate swaps with a notional value of $2