Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 155

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 155
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, 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 nine months ended September 30, 2025 and 2024 is presented below.Net gains (losses) on derivativesFor the Quarter EndedDerivative InstrumentsLocation on Consolidated Statements ofOperations and Comprehensive IncomeSeptember 30, 2025September 30, 2024    (dollars in thousands)Interest rate swapsNet unrealized gains (losses) on interest rate swaps$257 $(13,051)Interest rate swapsNet realized gains (losses) on interest rate swaps2,011 — Interest rate swapsPeriodic interest on derivatives, net3,212 6,789 Swap futuresNet unrealized gains (losses) on derivatives(5,440)— Swap futuresNet realized gains (losses) on derivatives4 — Swap futuresPeriodic interest on derivatives, net1,541 — Treasury futuresNet unrealized gains (losses) on derivatives— 2,605 Treasury futuresNet realized gains (losses) on derivatives— (4,864)SwaptionsNet unrealized gains (losses) on derivatives(877)(4,011)Interest rate capNet unrealized gains (losses) on derivatives(1,847)— Interest rate capPeriodic interest on derivatives, net 998 — Total $(141)$(12,532)Net gains (losses) on derivativesfor the Nine Months EndedDerivative InstrumentsLocation on Consolidated Statements ofOperations and Comprehensive IncomeSeptember 30, 2025September 30, 2024    (dollars in thousands)Interest rate swapsNet unrealized gains (losses) on interest rate swaps$(3,640)$6,429 Interest rate swapsNet realized gains (losses) on interest rate swaps(9,930)(17,317)Interest rate swapsPeriodic interest on derivatives, net 11,056 19,237 Swap futuresNet unrealized gains (losses) on derivatives(6,081)— Swap futuresNet realized gains (losses) on derivatives(386)— Swap futuresPeriodic interest on derivatives, net 1,881 —