Company: CIMO
Filing Date: 2025-02-19
Form Type: 10-K
Source: 0001628280-25-006426
Chunk: 388

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-02-19
Form: 10-K
Item: Item 15
Chunk 388
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— — —    Total unrealized gains (losses) for the period(26,199)— (46,484)— Ending balance Level 3$1,064,169 $10,858,845 $1,043,806 $11,125,052 Fair Value Level 3 Rollforward - LiabilitiesFor the Year EndedFor the Year EndedDecember 31, 2024December 31, 2023(dollars in thousands) Securitized DebtSecuritized DebtBeginning balance Level 3$7,601,881 $7,100,742 Transfers into Level 3— — Transfers out of Level 3— — Issuance of debt340,096 2,186,058 Principal payments(1,170,579)(1,222,593)Sales and Settlements— (544,693)Net (accretion) amortization17,039 20,309 (Gains) losses included in net income— — Other than temporary credit impairment losses— — Realized (gains) losses on sales and settlements— (6,348)Net unrealized (gains) losses included in income196,058 68,406 (Gains) losses included in other comprehensive income— —    Total unrealized (gains) losses for the period— — Ending balance Level 3$6,984,495 $7,601,881 There were no transfers in or out from Level 3 during the year ended December 31, 2024 and the year ended December 31, 2023, respectively. The significant unobservable inputs used in the fair value measurement of the Company’s Non-Agency RMBS and securitized debt are the weighted average discount rates, prepayment rate, constant default rate, and the loss severity.Discount RateThe discount rate refers to the interest rate used in the discounted cash flow analysis to determine the present value of future cash flows. The discount rate takes into account not just the time value of money, but also the risk or uncertainty of future cash flows. An increased uncertainty of future cash flows results in a higher discount rate. The discount rate used to calculate the 

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present value of the expected future cash flows is based on the discount rate implicit in the security as of the last measurement date. As discount rates move up, the values of the discounted cash flows are reduced.The discount