Company: CIMO
Filing Date: 2025-02-19
Form Type: 10-K
Source: 0001628280-25-006426
Chunk: 406

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-02-19
Form: 10-K
Item: Item 15
Chunk 406
---
 fair value— Total$2,200,000  $117  $—   December 31, 2023  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$1,000,000 Derivatives, at fair value, net$— Derivatives, at fair value, net$— Swaptions1,500,000 Derivatives, at fair value, net— Derivatives, at fair value, net— Total$2,500,000  $—  $— The effect of the Company’s derivatives on the Consolidated Statements of Operations for the years ended December 31, 2024, 2023 and 2022, respectively, is presented below.Net gains (losses) on derivativesfor the years endedDerivative InstrumentsLocation on Consolidated Statements ofOperations and Comprehensive IncomeDecember 31, 2024December 31, 2023December 31, 2022    (dollars in thousands)Interest Rate SwapsNet unrealized gains (losses) on interest rate swaps$4,224 $497 $(10,358)Interest Rate SwapsNet realized gains (losses) on interest rate swaps(17,317)(45,226)(561)Interest Rate SwapsPeriodic interest cost of interest rate swaps, net 23,780 17,167 (1,752)Treasury futuresNet unrealized gains (losses) on derivatives117 — — Treasury futuresNet realized gains (losses) on derivatives(4,223)(6,344)— SwaptionsNet unrealized gains (losses) on derivatives(1,378)(6,908)8,876 SwaptionsNet realized gains (losses) on derivatives— 10,613 — Total $5,203 $(30,201)$(3,795)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