Company: CIMO
Filing Date: 2025-02-19
Form Type: 10-K
Source: 0001628280-25-006426
Chunk: 405

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-02-19
Form: 10-K
Item: Item 15
Chunk 405
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 5-year and 1,684 short 5-year U.S. Treasury futures contract with a notional of $139 million and $168 million, respectively, which it subsequently covered for a net realized loss of $4.9 million. Additionally, the Company covered and reopened their existing open 2-year U.S Treasury futures contract position for a realized gain of $641 thousand. The Company is short 1,000 2-year U.S. Treasury futures contract at December 31, 2024. During the year ended December 31, 2023, the Company entered into 6,000 short 5-year and 1,875 short 2-year U.S. Treasury futures contract with notional amounts of $600 million and $375 million, respectively, which it subsequently covered and had no outstanding U.S. Treasury futures contracts at December 31, 2023. The Company had a net realized loss of $6 million on covering these short U.S. Treasury futures contracts. The Company 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.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.

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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 December 31, 2024 and December 31, 2023.  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$1,500,000 Derivatives, at fair value$— Derivatives, at fair value$— Swaptions500,000 Derivatives, at fair value— Derivatives, at fair value— U.S. Treasury futures200,000 Derivatives, at fair value117 Derivatives, at