Company: CIMO
Filing Date: 2025-02-19
Form Type: 10-K
Source: 0001628280-25-006426
Chunk: 29

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-02-19
Form: 10-K
Item: Item 1
Chunk 29
---
 “J” and “INV” programs during the year ended December 31, 2024.

4

“R” and “NR” Non-Rated Programs. The securities issued in our “R” and “NR” securitizations are generally not rated and are subject to the Risk Retention Rules.  In these programs, we typically sell the senior securities to an unrelated third party and retain the subordinate securities, which include the first-loss securities which are subject to the Risk Retention Rules, and the interest-only securities. During 2024, we sponsored one “R” securitization.  We are generally required under GAAP to consolidate the assets and liabilities of the “NR” and “R” securitization entities for financial reporting purposes. Each of the consolidated entities is independent of us and of each other, and the assets and liabilities of these entities are not owned by us or legal obligations of ours, respectively, although we are exposed to certain financial risks associated with any role we carry out for these entities (e.g., as sponsor or depositor) and, to the extent we hold securities issued by, or other investments in, these entities, we are exposed to the performance of these entities and the assets they hold.  

“I” Programs. The securities issued in our “I” securitizations are rated by one or more nationally recognized statistical ratings organizations and are subject to the Risk Retention Rules. In these programs, we typically sell the senior securities to an unrelated third party and retain the subordinate securities, which include the first-loss securities which are subject to the Risk Retention Rules, and the interest-only securities. We are generally required under GAAP to consolidate the assets and liabilities of the “I” securitization entities for financial reporting purposes. We did not sponsor any securitizations under our “I” securitization program in 2024.

The table below sets forth certain information about our “R” securitizations we completed during the year ended December 31, 2024.

DEAL (1)TOTAL ORIGINAL FACEORIGINAL FACE OF TRANCHES SOLD (2)ORIGINAL FACE OF TRANCHES RETAINED (2)TOTAL REMAINING FACEREMAINING FACE OF TRANCHES SOLDREMAINING FACE OF TRANCHES RETAINED(dollars in thousands)CIM 2024-R1468,148 351,813 116,335 446,882 330,560 116,321 

(1)