Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 127

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 127
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 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 September 30, 2025 and December 31, 2024, respectively:

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 September 30, 2025December 31, 2024 (dollars in thousands) UnpaidPrincipal/ NotionalFair ValueUnpaidPrincipal/ NotionalFair ValueAssets:  Non-Agency RMBSSenior$— $— $14,163 $13,036 Subordinated359,779 181,854 483,136 274,435 Interest-only2,481,658 83,071 2,644,741 73,335 Agency RMBSPass-through2,561,414 2,520,539 — — CMO350,865 352,826 464,640 461,658 Interest-only370,958 15,683 380,311 16,784 Agency CMBSProject loans39,706 32,457 40,882 34,370 Interest-only124,271 2,972 449,437 6,408 Loans held for investment, at fair value10,517,601 10,317,799 11,659,420 11,196,678 Interests in MSR financing receivables38,221 35,528 — — Liabilities (1):  Secured Financing Agreements, at fair value316,684 309,665 337,245 319,456 Securitized debt at fair value, collateralized by Loans held for investment7,434,955 7,022,941 7,570,721 6,984,495 (1) The Company recorded $2 million unrealized loss for contingent earn-out liability as of September 30, 2025. The contingent earn-out liability balance is included in Accounts payable and other liabilities on the Company’s Consolidated Statements of Financial Condition.The table below shows the impact of change in fair value