Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 195

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 195
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 30, 2025 and June 30, 2025, and nine months ended September 30, 2025 and September 30, 2024, respectively.

65

For the Quarters Ended September 30, 2025June 30, 2025 (dollars in thousands)Periodic interest on derivatives, net$5,751 $5,067 Realized gains (losses) on derivative instruments, net:Interest rate swaps2,011 (11,941)Swap futures4 (390)Treasury futures— — Swaptions— (5,623)Interest rate cap— — Total realized gains (losses) on derivative instruments, net2,015 (17,954)Unrealized gains (losses) on derivative instruments, net:Interest rate swaps257 (26)Swap futures(5,440)(400)Treasury futures— — Swaptions(877)— Interest rate cap(1,847)(2,128)Total unrealized gains (losses) on derivative instruments, net:(7,907)(2,554)Total gains (losses) on derivative instruments, net$(141)$(15,441)

For the Nine Months Ended September 30, 2025September 30, 2024 (dollars in thousands)Periodic interest on derivatives, net$14,953 $19,237 Realized gains (losses) on derivative instruments, net:Interest rate swaps(9,930)— Swap futures(386)(17,317)Treasury futures82 (4,864)Swaptions(5,623)— Interest rate cap— — Total realized gains (losses) on derivative instruments, net(15,857)(22,181)Unrealized gains (losses) on derivative instruments, net:Interest rate swaps(3,640)6,429 Swap futures(6,081)— Treasury futures(117)— Swaptions(877)(3,742)Interest rate cap(6,217)— Total unrealized gains (losses) on derivative instruments, net:(16,932)2,687 Total gains (losses) on derivative instruments, net$(17,836)$(257)

During the quarters ended September 30, 2025 and June 30, 2025, we recognized total net losses on derivatives of $141