Company: CIMO
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023813
Chunk: 63

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-05-08
Form: 10-Q
Item: Item 8
Chunk 63
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 fair value— — — — — The table below provides a summary of the changes in the fair value of financial instruments classified as Level 3 at March 31, 2025 and December 31, 2024.

26

Fair Value Level 3 Rollforward - AssetsFor the Quarter EndedFor the Year EndedMarch 31, 2025December 31, 2024(dollars in thousands) Non-Agency RMBSLoans 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— — — — Purchases of assets454 (21,428)97,646 759,900 Principal payments(16,604)(288,720)(74,091)(1,184,167)Sales and Settlements— (1,782)— (3,441)Net accretion (amortization)5,543 (1,700)34,267 (39,490)Gains (losses) included in net income(Increase) decrease in provision for credit losses(3,387)— (9,869)— Realized gains (losses) on sales and settlements— — — — Net unrealized gains (losses) included in income11,344 151,927 (1,391)200,991 Gains (losses) included in other comprehensive income(1,679)— (26,199)— Ending balance Level 3$1,059,840 $10,697,143 $1,064,169 $10,858,845 Fair Value Level 3 Rollforward - LiabilitiesFor the Quarter EndedFor the Year EndedMarch 31, 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— — Issuance of debt780,166 340,096 Principal payments(284,776)(1,170,579)Sales and Settlements(316,078)—