Company: CIMO
Filing Date: 2025-08-06
Form Type: 10-Q
Source: 0001628280-25-038345
Chunk: 144

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-08-06
Form: 10-Q
Item: Item 8
Chunk 144
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 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 15 for further discussion of counterparty credit risk.The weighted average pay rate on the Company’s interest rate swaps at June 30, 2025 was 3.61% and the weighted average receive rate was 4.14%. At June 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.The Company had net realized losses of $3 million related to swap terminations during the quarter ended June 30, 2025. The Company had realized losses of $9 million related to the maturity of three swaps during the quarter and six months ended June 30, 2025. The Company had a realized loss of $17 million related to the maturity of one swap during the quarter and six months ended June 30, 2024.During the quarter ended June 30, 2025, the Company had net realized losses of $6 million related to the sale of 29 swaption contracts. During the six months ended June 30, 2025, the Company 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 quarter ended June 30, 2024, the Company exercised one swaption contract with a $500 million notional, and entered into a one-year swap with $500 million notional and a weighted average fixed pay rate of 3.76%. During the six months ended June 30, 2024, the Company exercised three swaption contracts, each with $500 million notional, and entered