Company: CIMO
Filing Date: 2025-02-19
Form Type: 10-K
Source: 0001628280-25-006426
Chunk: 387

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-02-19
Form: 10-K
Item: Item 15
Chunk 387
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 value$— $— $1,043,806 $— $1,043,806 Agency MBS, at fair value— 102,484 — — 102,484 Loans held for investment, at fair value— 271,994 11,125,052 — 11,397,046 Derivatives, at fair value— 18,817 — (18,817)— Liabilities:     Secured Financing Agreement, at fair value— 350,238 — — 350,238 Securitized debt at fair value, collateralized by Loans held for investment— — 7,601,881 — 7,601,881 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 December 31, 2024 and December 31, 2023.

115

Fair Value Level 3 Rollforward - AssetsFor the Year EndedFor the Year EndedDecember 31, 2024December 31, 2023(dollars in thousands) Non-Agency RMBSLoans held for investmentNon-Agency RMBSLoans held for investmentBeginning balance Level 3$1,043,806 $11,125,052 $1,147,481 $11,154,600 Transfers into Level 3— — — — Transfers out of Level 3— — — — Purchases of assets97,646 759,900 5,669 1,183,663 Principal payments(74,091)(1,184,167)(83,730)(1,247,364)Sales and Settlements— (3,441)— 2,166 Net accretion (amortization)34,267 (39,490)38,789 (52,595)Gains (losses) included in net income(Increase) decrease in provision for credit losses(9,869)— (11,371)— Realized gains (losses) on sales and settlements— — 13 — Net unrealized gains (losses) included in income(1,391)200,991 (6,561)84,582 Gains (losses) included in other comprehensive income—