Company: CIMO
Filing Date: 2025-02-19
Form Type: 10-K
Source: 0001628280-25-006426
Chunk: 444

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-02-19
Form: 10-K
Item: Item 7
Chunk 444
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 covered for a net realized loss of $4.9 million. Additionally, we covered and reopened our existing open 2-year U.S Treasury futures contact position for a realized gain of $641 thousand. We are short 1,000 2-year U.S. Treasury futures contracts as of December 31, 2024. During the year ended December 31, 2023, we entered into 6,000 short 5-year and 1,875 short 2-year U.S. Treasury futures contracts with a notional amounts of $600 million and $375 million, respectively, which we subsequently covered and had no outstanding U.S. Treasury futures contracts at December 31, 2023. We had a net realized loss of $6 million on covering these short U.S. Treasury futures contracts. We also entered into 400 call options on 2-year and 5-year U.S. Treasury futures and subsequently covered them during the year ended December 31, 2023 for a realized loss of $187 thousand.

Changes in our derivative positions were primarily a result of changes in our secured financing composition and changes in interest rates.

Investment management and advisory fees

During the fourth quarter of 2024, we started earning investment management and advisory fees through certain investment management agreements entered into with our investment partnerships and privately offered pooled investment vehicles, 

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insurance companies, and other institutional clients. We recognized investment management and advisory fees of $3 million for the year ended December 31, 2024.

Net Unrealized Gains (Losses) on Financial Instruments at Fair Value

As discussed earlier, generally tighter residential credit spreads and lower interest rates during the year ended December 31, 2024, as compared to the year ended December 31, 2023, resulted in a slight increase in the market value of our investments carried with fair value option. We had Net unrealized gains on financial instruments at fair value of $11 million and $34 million for the years ended December 31, 2024 and December 31, 2023, respectively. 

Gains and Losses on Sales of Assets 

We do not forecast sales of investments as we generally expect to invest for long-term gains. However, from time to time, we may sell assets to create liquidity necessary to pursue new opportunities, to achieve targeted leverage ratios, as well as for gains when prices indicate a sale is most beneficial to us, or is the most prudent course of action to maintain a