Company: CIMO
Filing Date: 2025-02-19
Form Type: 10-K
Source: 0001628280-25-006426
Chunk: 384

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-02-19
Form: 10-K
Item: Item 15
Chunk 384
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820 $14,321 Subordinated483,136 274,435 409,043 171,633 Interest-only2,644,741 73,335 2,874,680 90,775 Agency RMBSCMO464,640 461,658 — — Interest-only380,311 16,784 392,284 15,023 Agency CMBSProject loans40,882 34,370 78,752 71,383 Interest-only449,437 6,408 478,239 8,282 Loans held for investment, at fair value11,659,420 11,196,678 12,028,480 11,397,046 Liabilities:  Secured Financing Agreements, at fair value337,245 319,456 362,215 350,238 Securitized debt at fair value, collateralized by Loans held for investment7,570,721 6,984,495 8,389,563 7,601,881 The table below shows the impact of change in fair value 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 Statement of Operations for the years ended December 31, 2024 and 2023:For the Years EndedDecember 31, 2024December 31, 2023(dollars in thousands) Gain/(Loss) on Change in Fair ValueAssets:Non-Agency RMBSSenior$302 $215 Subordinated11,448 (3,735)Interest-only(13,141)(3,036)Agency RMBSCMO(2,866)— Interest-only1,404 (594)Agency CMBSProject loans1,486 7,432 Interest-only(242)13,876 Loans held for investment, at fair value202,665 85,311 Liabilities:Secured Financing Agreements, at fair value5,813 3,310 Securitized debt at fair value, collateralized by Loans held for investment(196,058)(68,406)DerivativesInterest Rate Swaps and SwaptionsThe Company uses clearing exchange market prices to determine the fair value of its exchange cleared interest rate swaps. For bi-lateral swaps, the Company determines the fair value based on the net present value of expected future cash flows on the