Company: CIMO
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023813
Chunk: 81

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-05-08
Form: 10-Q
Item: Item 8
Chunk 81
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. The Company paid $7 million for a two year Interest rate cap with a strike rate of 3.95% on SOFR as the market reference rate. At March 31, 2024, the Company held no Interest rate caps.The Company also maintains collateral in the form of cash margin from its counterparties to its derivative contracts. In accordance with the Company's netting policy, the Company presents the fair value of its derivative contracts net of cash margin received. See Note 15 for additional details on derivative netting.The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of March 31, 2025 and December 31, 2024.  March 31, 2025  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$2,000,000 Derivatives, at fair value$— Derivatives, at fair value$— Swap futures155,000 Derivatives, at fair value— Derivatives, at fair value(240)Swaptions— Derivatives, at fair value— Derivatives, at fair value— U.S. Treasury futures— Derivatives, at fair value— Derivatives, at fair value— Interest Rate Cap$1,000,000 Derivatives, at fair value— Derivatives, at fair value— Total$3,155,000  $—  $(240)  December 31, 2024  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$1,500,000 Derivatives, at fair value, net$— Derivatives, at fair value, net$— Swaptions500,000 Derivatives, at fair value, net— Derivatives, at fair value, net— U.S. Treasury futures200,000 Deriv