Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 128

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 128
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 on each of the financial instruments carried at fair value with changes in fair value reflected in earnings under the fair value option election in the Consolidated Statements of Operations for the quarter and nine months ended September 30, 2025 and 2024:For the Quarters EndedFor the Nine Months EndedSeptember 30, 2025September 30, 2024September 30, 2025September 30, 2024(dollars in thousands)(dollars in thousands) Gain/(Loss) on Change in Fair ValueGain/(Loss) on Change in Fair ValueAssets: Non-Agency RMBSSenior$— $712 $1,284 $698 Subordinated11,129 6,455 12,452 14,178 Interest-only2,132 16,855 14,862 4,567 Agency RMBSPass-through12,854 — 32,859 — CMO3,057 2,722 4,918 2,033 Interest-only38 1,532 (273)1,323 Agency CMBSProject loans(3,244)297 (721)3,409 Interest-only(796)23 (723)(334)Loans held for investment, at fair value47,189 287,692 256,259 405,641 Interests in MSR financing receivables(5,205)— (5,205)— Liabilities: (1) Secured Financing Agreements, at fair value(1,311)(14,062)(10,770)(5,652)Securitized debt at fair value, collateralized by Loans held for investment(102,470)(198,214)(204,274)(233,855)(1) The Company recorded $367 thousand and $2 million unrealized losses for contingent earn-out liability during the quarters and nine months ended September 30, 2025. The contingent earn-out liability balance is included in Accounts payable and other liabilities on the Company’s Consolidated Statements of Financial Condition.  

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DerivativesInterest Rate Swaps and SwaptionsThe Company uses clearing exchange market prices to determine the fair value of its exchange cleared interest rate swaps. For bilateral swaps, the Company determines the fair value based on the net present value of expected future cash flows on the swap. The Company uses an option pricing model to determine the fair value of its swaptions. For bilateral swaps and