Company: CIMO
Filing Date: 2025-02-19
Form Type: 10-K
Source: 0001628280-25-006426
Chunk: 165

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-02-19
Form: 10-K
Item: Item 1A
Chunk 165
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 particular period were determined in accordance with the contractual terms of the assets and liabilities, and securities are included in the period in which their interest rates are first scheduled to adjust and not in the period in which they mature and includes the effect of the interest rate swaps, if any. The interest rate sensitivity of our assets and liabilities in the table could vary substantially based on actual prepayments.

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December 31, 2024(dollars in thousands) Within 3 Months3-12 Months1 Year to 3 YearsGreater than3 YearsTotalRate sensitive assets$1,072,126 $5,298,513 $10,520 $6,423,555 $12,804,713 Cash equivalents83,998 — — — 83,998 Total rate sensitive assets$1,156,124 $5,298,513 $10,520 $6,423,555 $12,888,712 Rate sensitive liabilities2,771,254 1,957,504 — 5,146,918 9,875,676 Interest rate sensitivity gap$(1,615,130)$3,341,009 $10,520 $1,276,637 $3,013,036 Cumulative rate sensitivity gap$(1,615,130)$1,725,879 $1,736,399 $3,013,036  Cumulative interest rate sensitivity gap as a percentage of total rate sensitive assets(13)%13 %13 %23 % 

Our analysis of risks is based on our management’s experience, estimates, models and assumptions. These analyses rely on models which utilize estimates of fair value and interest rate sensitivity. Actual economic conditions or implementation of investment decisions by our management may produce results that differ significantly from the estimates and assumptions used in our models and the projected results shown in the above tables. These analyses contain certain forward-looking statements and are subject to the safe harbor statement set forth under the heading, “Special Note Regarding Forward-Looking Statements.”

Enterprise Risk Management 

We employ a “Three Layers of Defense Approach” to Enterprise Risk Management  designed to assess and manage risk to achieve our strategic goals. The “First Layer of Defense” consists of assessing key risks indicators  facing each respective business unit within the Company. Our risk management unit is an independent group that acts as the “Second Layer of Defense”. The risk management unit partners with various business units to understand, monitor