Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 153

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 153
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 maturity of one swap during the nine months ended September 30, 2024. During the quarter ended September 30, 2025, the Company bought two $300 million notional swaptions with 18-month expiries and 2-year underlying swap tenors. During the nine months ended September 30, 2025, the Company had net realized losses of $6 million related to the sale of 29 swaption contracts. During the nine months ended September 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 nine months ended September 30, 2024, the Company 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 3.56%.During the nine months ended September 30, 2025, the Company covered its open short position of 1,000 two-year U.S. Treasury Futures contracts for a net realized gain of $82 thousand. During the quarter ended September 30, 2025, the Company entered into $365 million notional amount of two-year SOFR swap future contracts, $230 million notional amount of five-year SOFR swap futures contracts, and $60 million notional amount of ten-year SOFR swap futures contracts. The weighted average par rate equivalent pay-fixed was 3.70% for the quarter end. During the nine months ended September 30, 2025, the Company entered into 705 million swap future contracts.During the quarter and nine months ended September 30, 2024, the Company entered into 1,391 short 5-year and 1,684 short 5-year U.S. Treasury futures contract with a notional of $139 million and $168 million, respectively, which it subsequently covered for a net realized loss of $4.9 million. The Company had no outstanding U.S. Treasury futures contract at September 30, 2024. During the nine months ended September 30, 2025, the Company entered into an interest rate cap. The Company paid $7 million for a $1 billion notional two-year interest rate cap with a strike rate of 3.95% on SOFR as the market reference