Company: CIMO
Filing Date: 2025-08-06
Form Type: 10-Q
Source: 0001628280-25-038345
Chunk: 147

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-08-06
Form: 10-Q
Item: Item 8
Chunk 147
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(390)— Swap futuresPeriodic interest on derivatives, net 293 — Treasury futuresNet unrealized gains (losses) on derivatives— (2,605)Treasury futuresNet realized gains (losses) on derivatives— — SwaptionsNet unrealized gains (losses) on derivatives— (1,241)SwaptionsNet realized gains (losses) on derivatives(5,623)— Interest Rate CapNet unrealized gains (losses) on derivatives(2,128)— Interest Rate CapNet realized gains (losses) on derivatives— — Interest Rate CapPeriodic interest on derivatives, net 1,018 — Total $(15,441)$1,609 Net gains (losses) on derivativesfor the Six Months EndedDerivative InstrumentsLocation on Consolidated Statements ofOperations and Comprehensive IncomeJune 30, 2025June 30, 2024    (dollars in thousands)Interest Rate SwapsNet unrealized gains (losses) on interest rate swaps$(3,896)$19,480 Interest Rate SwapsNet realized gains (losses) on interest rate swaps(11,941)(17,317)Interest Rate SwapsPeriodic interest on derivatives, net 7,844 12,448 Swap futuresNet unrealized gains (losses) on derivatives(641)— Swap futuresNet realized gains (losses) on derivatives(390)— Swap futuresPeriodic interest on derivatives, net 340 — Treasury futuresNet unrealized gains (losses) on derivatives(117)(2,605)Treasury futuresNet realized gains (losses) on derivatives82 — SwaptionsNet unrealized gains (losses) on derivatives— 269 SwaptionsNet realized gains (losses) on derivatives(5,623)— Interest Rate CapNet unrealized gains (losses) on derivatives(4,370)— Interest Rate CapNet realized gains (losses) on derivatives— — Interest Rate CapPeriodic interest on derivatives, net 1,018 — Total $(17,694)$12,275 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’