Company: CIMO
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023813
Chunk: 82

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-05-08
Form: 10-Q
Item: Item 8
Chunk 82
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atives, 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 quarters ended March 31, 2025 and 2024 is presented below.

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Net gains (losses) on derivativesfor the quarters endedDerivative InstrumentsLocation on Consolidated Statements ofOperations and Comprehensive IncomeMarch 31, 2025March 31, 2024    (dollars in thousands)Interest Rate SwapsNet unrealized gains (losses) on interest rate swaps$(3,870)$3,679 Interest Rate SwapsNet realized gains (losses) on interest rate swaps— — Interest Rate SwapsPeriodic interest on derivatives, net 4,088 5,476 Swap futuresNet unrealized gains (losses) on derivatives(240)— Swap futuresNet realized gains (losses) on derivatives— — Swap futuresPeriodic interest on derivatives, net 47 — Treasury futuresNet unrealized gains (losses) on derivatives(117)— Treasury futuresNet realized gains (losses) on derivatives82 — SwaptionsNet unrealized gains (losses) on derivatives— 1,510 SwaptionsNet realized gains (losses) on derivatives— — Interest Rate CapNet unrealized gains (losses) on derivatives(2,242)— Interest Rate CapNet realized gains (losses) on derivatives— — Total $(2,252)$10,665 When the Company enters into derivative contracts, they are typically subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the NYSE. Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. If the Company breaches any of