Company: CIMO
Filing Date: 2025-08-06
Form Type: 10-Q
Source: 0001628280-25-038345
Chunk: 146

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-08-06
Form: 10-Q
Item: Item 8
Chunk 146
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ollars in thousands)   Interest Rate Swaps$2,534,000 Derivatives, at fair value$— Derivatives, at fair value$— Swap futures50,000 Derivatives, at fair value— Derivatives, at fair value(301)Swaptions— Derivatives, at fair value— Derivatives, at fair value— U.S. Treasury futures— Derivatives, at fair value— Derivatives, at fair value— Interest Rate Cap$1,000,000 Derivatives, at fair value— Derivatives, at fair value— Total$3,584,000  $—  $(301)  December 31, 2024  Derivative AssetsDerivative LiabilitiesDerivative InstrumentsNotional Amount OutstandingLocation on Consolidated Statements of FinancialConditionNet Estimated Fair Value/Carrying ValueLocation on Consolidated Statements of FinancialConditionNet Estimated Fair Value/Carrying Value  (dollars in thousands)   Interest Rate Swaps$1,500,000 Derivatives, at fair value, net$— Derivatives, at fair value, net$— Swaptions500,000 Derivatives, at fair value, net— Derivatives, at fair value, net— U.S. Treasury futures200,000 Derivatives, at fair value, net117 Derivatives, at fair value, net— Total$2,200,000  $117  $— The effect of the Company’s derivatives on the Consolidated Statements of Operations for the quarter and six months ended June 30, 2025 and 2024 is presented below.

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Net gains (losses) on derivativesFor the Quarter EndedDerivative InstrumentsLocation on Consolidated Statements ofOperations and Comprehensive IncomeJune 30, 2025June 30, 2024    (dollars in thousands)Interest Rate SwapsNet unrealized gains (losses) on interest rate swaps$(26)$15,801 Interest Rate SwapsNet realized gains (losses) on interest rate swaps(11,941)(17,317)Interest Rate SwapsPeriodic interest on derivatives, net 3,756 6,971 Swap futuresNet unrealized gains (losses) on derivatives(400)— Swap futuresNet realized gains (losses) on derivatives