Company: CIMO
Filing Date: 2025-02-19
Form Type: 10-K
Source: 0001628280-25-006426
Chunk: 442

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-02-19
Form: 10-K
Item: Item 7
Chunk 442
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 on Derivatives

We use derivatives to economically hedge the effects of changes in interest rates on our portfolio, specifically our secured financing agreements. Unrealized gains and losses include the change in market value, period over period, on our derivatives portfolio. 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 net gains and losses on our derivatives include both unrealized and realized gains and losses. Realized gains and losses include the net cash paid and received on our interest rate swaps during the period as well as sales, terminations and settlements of our swaps, swaptions and U.S. Treasury futures.

The table below shows a summary of our net gains (losses) on derivative instruments, for the years ended December 31, 2024, 2023, and 2022, respectively.

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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