Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 26

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 2
Chunk 26
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 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 3.56%.

During the nine months ended September 30, 2025, we covered our 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, we entered into $365 million notional amount of two-year SOFR swap future contracts, $230 million notional amount of five-year SOFR swap future contracts, and $60 million notional amount of ten-year SOFR swap future contracts. The weighted average par rate equivalent pay-fixed was 3.70% for the quarter end. During the nine months ended September 30, 2025, we entered into $705 million swap futures. 

During the quarter and nine months ended September 30, 2024, we 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. We had no outstanding U.S. Treasury futures contract at