Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 152

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 152
---
. Interest rate caps are used to protect against undesirable movement in a floating interest rate related to a portion of the Company’s current and anticipated payments on secured financing arrangements. interest rate caps act as a hedge against rising floating interest rates, with the Company purchasing interest rate caps for a set term and defined strike rate relative to a market reference rate such as SOFR.The Company’s derivatives are recorded as either assets or liabilities on the Consolidated Statements of Financial Condition and measured at fair value. These derivative financial instrument contracts are not designated as hedges for GAAP; therefore, all changes in fair value are recognized in earnings. The Company elects to net the fair value of its derivative contracts by counterparty when appropriate. These contracts contain legally enforceable provisions that allow for netting or setting off of all individual derivative receivables and payables with each counterparty and therefore, the fair values of those derivative contracts are reported net the counterparty.The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the contracts. In the event of a default by the counterparty, the Company could have difficulty obtaining its RMBS or cash pledged as collateral for these derivative instruments. The Company periodically monitors the credit profiles of its counterparties to determine if it is exposed to counterparty credit risk. See Note 16 for further discussion of counterparty credit risk.The weighted average pay rate on the Company’s 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 the Company’s interest rate swaps was less than 6 years. 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.During the quarter and nine months ended September 30, 2025, the Company entered into three swaps with cancellable features with an aggregate notional of $575 million.

42

The Company had net realized losses of $2 million related to swap terminations during the quarter ended September 30, 2025. The Company had no swap terminations during the quarter ended September 30, 2024. The Company had a realized loss of $17 million related to the