Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 134

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 134
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 Level 3 Rollforward - LiabilitiesFor the Nine Months EndedFor the Year EndedSeptember 30, 2025December 31, 2024(dollars in thousands) Securitized DebtSecuritized DebtBeginning balance Level 3$6,984,495 $7,601,881 Transfers into Level 3— — Transfers out of Level 3— — Transfer due to consolidation/deconsolidation— — Issuance of debt1,011,244 340,096 Principal payments(878,519)(1,170,579)Sales and Settlements(316,078)— Net (accretion) amortization15,402 17,039 (Gains) losses included in net incomeOther than temporary credit impairment losses— — Realized (gains) losses on sales and settlements2,122 — Net unrealized (gains) losses included in income204,275 196,058 Total unrealized (gains) losses for the period— — Ending balance Level 3$7,022,941 $6,984,495 There were no transfers in or out from Level 3 during the quarter ended September 30, 2025 and the year ended December 31, 2024, respectively. The significant unobservable inputs used in the fair value measurement of the Company’s Non-Agency RMBS and securitized debt are the weighted average discount rates, prepayment rate, constant default rate, and the loss severity.

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Discount RateThe discount rate refers to the interest rate used in the discounted cash flow analysis to determine the present value of future cash flows. The discount rate takes into account not just the time value of money, but also the risk or uncertainty of future cash flows. An increased uncertainty of future cash flows results in a higher discount rate. The discount rate used to calculate the present value of the expected future cash flows is based on the discount rate implicit in the security as of the last measurement date. As discount rates move up, the values of the discounted cash flows are reduced.The discount rates applied to the expected cash flows to determine fair value are derived from a range of observable prices on securities backed by similar collateral. As the market becomes more or less liquid, the availability of these observable inputs will change.Prepayment RateThe prepayment rate specifies the percentage of the collateral balance that is expected to prepay at each point in the future. The prepayment rate