Company: CIMO
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023813
Chunk: 181

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-05-08
Form: 10-Q
Item: Item 2
Chunk 181
---
 the quarter ended March 31, 2024. We were short 1,000 two-year U.S. Treasury futures contract at December 31, 2024. 

During the quarter ended March 31, 2025, we entered into short positions on Swap future contracts. We are short 400 10year SOFR Swap future contracts, 900 two-year SOFR Swap future contracts and 250 five-year SOFR Swap future contracts. The net par equivalent pay fixed rate on our Swap futures at March 31, 2025 was 3.84% and the weighted average receive rate was 4.41%. At March 31, 2024 we  held no Swap future contracts.

During the quarter ended March 31, 2025, we entered into an Interest rate cap. We 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, we held no Interest rate cap.

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

58

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, insurance companies, and other institutional clients. We recognized investment management and advisory fees of $9 million and $3 million for the quarters ended March 31, 2025 and December 31, 2024.

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

During the quarter ended March 31, 2025, the yields on two-year and ten-year U.S. Treasury Notes declined and residential credit spreads remained relatively flat, which resulted in market pricing gains on our investment portfolio. We recorded Net unrealized gains on financial instruments at fair value of $129 million and $77 million for the quarters ended March 31, 2025 and March 31, 2024, respectively. We had net unrealized losses on financial instruments at fair value of $181 million for the quarter ended December 31, 2024. 

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