Company: CIMO
Filing Date: 2025-02-19
Form Type: 10-K
Source: 0001628280-25-006426
Chunk: 228

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-02-19
Form: 10-K
Item: Item 1A
Chunk 228
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 balance outstanding plus unamortized premiums, less unaccreted discounts recorded in connection with the financing of the loans or RMBS with third parties. For disclosure purposes, the Company estimates the fair value of securitized debt, collateralized by Non-Agency RMBS by estimating the future cash flows associated with the underlying assets collateralizing the secured debt outstanding. The Company models the fair value of each underlying asset by considering, among other items, the structure of the underlying security, coupon, servicer, delinquency, actual and expected defaults, actual and expected default severities, reset indices, and prepayment speeds in conjunction with market research for similar collateral performance and the Company's expectations of general economic conditions in the sector and other economic factors. This process, including the review process, is consistent with the process used for Agency MBS and Non-Agency RMBS using internal models. For further discussion of the valuation process and benchmarking process, see Agency MBS and Non-Agency RMBS discussion herein.The Company’s estimates of fair value of securitized debt, collateralized by Non-Agency RMBS involve judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting fair value estimates Level 3 inputs in the fair value hierarchy.Fair value optionThe table below shows the unpaid principal and fair value of the financial instruments carried at fair value with changes in fair value reflected in earnings under the fair value option election as of December 31, 2024 and December 31, 2023, respectively:

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 December 31, 2024December 31, 2023 (dollars in thousands) UnpaidPrincipal/ NotionalFair ValueUnpaidPrincipal/ NotionalFair ValueAssets:  Non-Agency RMBSSenior$14,163 $13,036 $15,820 $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