Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 154

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 154
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 rate. At September 30, 2024, the Company held no interest rate caps.The Company also maintains collateral in the form of cash margin from its counterparties to its derivative contracts. In accordance with the Company's netting policy, the Company presents the fair value of its derivative contracts net of cash margin received. See Note 16 for additional details on derivative netting.

The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of September 30, 2025 and December 31, 2024.  September 30, 2025  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)$2,221,000 Derivatives, at fair value$2,112 Derivatives, at fair value$(1,160)Swap futures705,000 Derivatives, at fair value— Derivatives, at fair value(4,200)Swaptions600,000 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$4,526,000  $2,112  $(5,360)(1) Interest rate swaps include $575 million in notional amount of cancellable swaps under which the Company retains the right to terminate the swap on specified future dates. 

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  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