Company: CIMO
Filing Date: 2025-02-19
Form Type: 10-K
Source: 0001628280-25-006426
Chunk: 229

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-02-19
Form: 10-K
Item: Item 1A
Chunk 229
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,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 

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swap. The Company uses an option pricing model to determine the fair value of its swaptions. For bi-lateral swaps and swaptions, the Company compares its own estimate of fair value with counterparty prices to evaluate for reasonableness. Both the clearing exchange and counter-party pricing quotes, incorporate common market pricing methods, including a spread measurement to the Treasury yield curve or interest rate swap curve as well as underlying characteristics of the particular contract. Interest rate swaps and swaptions are modeled by the Company by incorporating such factors as the term to maturity, swap curve, overnight index swap rates, and the payment rates on the fixed portion