Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 133

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 133
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 — 6,984,495 — 6,984,495 Derivatives, at fair value— — — — — The table below provides a summary of the changes in the fair value of financial instruments classified as Level 3 at September 30, 2025 and December 31, 2024.

30

Fair Value Level 3 Rollforward - AssetsFor the Nine Months EndedFor the Year EndedSeptember 30, 2025December 31, 2024(dollars in thousands) Non-Agency RMBSInterests in MSR Financing ReceivablesLoans held for investmentNon-Agency RMBSLoans held for investmentBeginning balance Level 3$1,064,169 $— $10,858,845 $1,043,806 $11,125,052 Transfers into Level 3— — — — — Transfers out of Level 3— — — — — Capital contribution— 38,221 — — — Purchases of assets989 — (21,428)97,646 759,900 Principal payments(72,919)— (901,615)(74,091)(1,184,167)Sales and Settlements(141,954)— (87)— (3,441)Servicer advances— 2,012 — Net accretion (amortization)21,146 — (9,412)34,267 (39,490)Amortization of MSR loan pool— (1,388)— Gains (losses) included in net income(Increase) decrease in provision for credit losses(10,383)— — (9,869)— Realized gains (losses) on sales and settlements(10,790)— — — — Interest income from investment in MSR financing receivables— 1,888 — Net unrealized gains (losses) included in income28,597 (5,205)254,241 (1,391)200,991 Total unrealized gains (losses) for the period(10,017)— — (26,199)— Ending balance Level 3$868,838 $35,528 $10,180,545 $1,064,169 $10,858,845 Fair Value