Other

Chimera Investment Corp.·Balance Sheet Statement·91 metrics

Breakdown

Metrics

Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Loss, before Tax

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Gross Unrealized Gains

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Available For Sale Debt Securities Discount

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Debt Securities, Available-for-Sale, Amortized Cost, Maturity, Allocated and Single Maturity Date, after Year 5 Through 10

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Debt Securities, Available-for-Sale, Fair Value, Maturity, Allocated and Single Maturity Date, after Year 5 Through 10

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Debt Securities, Available-for-Sale, Amortized Cost, Maturity, Allocated and Single Maturity Date, after Year One Through Five

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Debt Securities, Available-for-Sale, Fair Value, Maturity, Allocated and Single Maturity Date, after Year One Through Five

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Debt Securities, Available-for-Sale, Amortized Cost, Maturity, Allocated and Single Maturity Date, after Year 10

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Debt Securities, Available-for-Sale, Fair Value, Maturity, Allocated and Single Maturity Date, after Year 10

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Debt Securities, Available-for-Sale, Amortized Cost, Maturity, Allocated and Single Maturity Date, Year One

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Debt Securities, Available-for-Sale, Fair Value, Maturity, Allocated and Single Maturity Date, Year One

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Gross Unrealized Gain Included in Accumulated Other Comprehensive Income

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Gross Unrealized Gain Included in Cumulative Earnings

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Available For Sale Securities Gross Unrealized Losses In Deficit

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Available For Sale Securities, Gross Unrealized Losses Recognized In Accumulated Other Comprehensive Income

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Total Premium

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Business Combination, Contingent Consideration, Liability

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Commitment to purchase loans

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Common stock, par value (in dollars per share)

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Common stock, shares authorized (in shares)

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Common stock, shares issued (in shares)

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Common Stock, Shares, Outstanding

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Cost or Amortized Cost

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Available-for-sale securities, allowance for credit loss

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Debt Securities, Available-for-Sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss

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Less than 12 months

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12 months or more

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Number of Securities, Greater than 12 months

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Debt Securities, Available-for-Sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss

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Estimated Fair Value

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Debt Securities, Available-for-Sale, Unrealized Loss Position, Accumulated Loss

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Debt Securities, Available-for-Sale, Unrealized Loss Position, Number of Positions

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Debt Securities, Available-for-Sale, Unrealized Loss Position

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Deferred Tax Liabilities, Gross

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Disallowed business interest expense carryforward

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Deferred Tax Assets, Gross

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Lease Liability

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Deferred Tax Assets, Net of Valuation Allowance

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Deferred Tax Assets, Operating Loss Carryforwards

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Fixed assets

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Deferred Tax Assets State Taxes

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Reserve for uncertain tax position

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Accrued expenses

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Deferred Tax Assets, Valuation Allowance

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Deferred Tax Liabilities, Net

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Federal and state intangible assets

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Derivative Asset, Subject to Master Netting Arrangement, Collateral, Obligation to Return Cash, Offset Against Derivative Asset

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Derivative Asset, Derivative Liability, Security Sold under Agreement to Repurchase, and Security Loaned, Subject to Master Netting Arrangement, Asset Offset

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Derivative Asset. Derivative Liability, Security Sold under Agreement to Repurchase, and Security Loaned, Subject to Master Netting Arrangement, after Offset and Deduction

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Derivative Asset, Derivative Liability, Security Sold under Agreement to Repurchase, and Security Loaned, Subject to Master Netting Arrangement, Collateral, Right to Reclaim Cash Not Offset

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Derivative Asset. Derivative Liability, Security Sold under Agreement to Repurchase, and Security Loaned, Subject to Master Netting Arrangement, before Offset

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Derivative Asset, Derivative Liability, Security Sold under Agreement to Repurchase, and Security Loaned, Subject to Master Netting Arrangement, after Offset

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Derivative Assets And Liabilities, Security Purchased Under Agreement To Resell, And Security Borrowed, Subject To Master Netting Arrangement, Deduction Of Financial Instrument Not Offset

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Derivative Liability

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Derivative Liability, Subject to Master Netting Arrangement, Collateral, Right to Reclaim Cash Offset

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Notional

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Net unrealized gains

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Unpaid principal balance

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Finite-Lived Intangible Assets, Accumulated Amortization

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Indefinite- lived intangible impairment

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Investment Owned Balance Principal Amount

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Loan Repurchase Reserve

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Loans 30 To 89 Days Delinquent

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Loans 90 or more days delinquent

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Loans held for investment, Unpaid Principal/Notional

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Loans held for investment, at fair value

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Non-Agency RMBS, at fair value (net of allowance for credit losses of $46 million and $43 million, respectively)

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Number of deferred compensation plans

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Number of loans

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Number of warehouse financing facilities under master repurchase agreements

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Payable for investments purchased

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Tenor spread adjustment

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Preferred Stock, Par or Stated Value Per Share

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Preferred Stock, Shares Authorized

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Fair value of securities sold under agreement to repurchase

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Repurchase agreements, Gross amounts not offset in the balance sheet, Cash collateral pledged

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Securities sold under agreements to repurchase, haircut

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Securitized debt loans held for investment at cost

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Securitized debt at fair value, collateralized by loans held for investment, Unpaid Principal/Notional

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Securitized debt at fair value, collateralized by Loans held for investment

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Securitized debt, collateralized by Non-Agency RMBS

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Security Sold under Agreement to Repurchase, Subject to Master Netting Arrangement, after Offset and Deduction

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Interests in MSR financing receivables, Unpaid Principal/Notional

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Incentive stock program, shares reserved for future grants (in shares)

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Share Repurchase Program, Authorized, Amount

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Share Repurchase Program, Remaining Authorized, Amount

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Agency MBS, at fair value

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Other

Breakdown

Metrics

Aggregate Notional Principal Outstanding

Components

Derivative Notional Amount

Gross Assets/Liabilities

Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Loss, before Tax

Gross Unrealized Gains

Available For Sale Debt Securities Discount

Debt Securities, Available-for-Sale, Amortized Cost, Maturity, Allocated and Single Maturity Date, after Year 5 Through 10

Debt Securities, Available-for-Sale, Fair Value, Maturity, Allocated and Single Maturity Date, after Year 5 Through 10

Debt Securities, Available-for-Sale, Amortized Cost, Maturity, Allocated and Single Maturity Date, after Year One Through Five

Debt Securities, Available-for-Sale, Fair Value, Maturity, Allocated and Single Maturity Date, after Year One Through Five

Debt Securities, Available-for-Sale, Amortized Cost, Maturity, Allocated and Single Maturity Date, after Year 10

Debt Securities, Available-for-Sale, Fair Value, Maturity, Allocated and Single Maturity Date, after Year 10

Debt Securities, Available-for-Sale, Amortized Cost, Maturity, Allocated and Single Maturity Date, Year One

Debt Securities, Available-for-Sale, Fair Value, Maturity, Allocated and Single Maturity Date, Year One

Gross Unrealized Gain Included in Accumulated Other Comprehensive Income

Gross Unrealized Gain Included in Cumulative Earnings

Available For Sale Securities Gross Unrealized Losses In Deficit

Available For Sale Securities, Gross Unrealized Losses Recognized In Accumulated Other Comprehensive Income

Total Premium

Business Combination, Contingent Consideration, Liability

Commitment to purchase loans

Common stock, par value (in dollars per share)

Common stock, shares authorized (in shares)

Common stock, shares issued (in shares)

Common Stock, Shares, Outstanding

Cost or Amortized Cost

Available-for-sale securities, allowance for credit loss

Debt Securities, Available-for-Sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss

Less than 12 months

12 months or more

Number of Securities, Greater than 12 months

Debt Securities, Available-for-Sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss

Estimated Fair Value

Debt Securities, Available-for-Sale, Unrealized Loss Position, Accumulated Loss

Debt Securities, Available-for-Sale, Unrealized Loss Position, Number of Positions

Debt Securities, Available-for-Sale, Unrealized Loss Position

Deferred Tax Liabilities, Gross

Disallowed business interest expense carryforward

Deferred Tax Assets, Gross

Lease Liability

Deferred Tax Assets, Net of Valuation Allowance

Deferred Tax Assets, Operating Loss Carryforwards

Fixed assets

Deferred Tax Assets State Taxes

Reserve for uncertain tax position

Accrued expenses

Deferred Tax Assets, Valuation Allowance

Deferred Tax Liabilities, Net

Federal and state intangible assets

Derivative Asset, Subject to Master Netting Arrangement, Collateral, Obligation to Return Cash, Offset Against Derivative Asset

Derivative Asset, Derivative Liability, Security Sold under Agreement to Repurchase, and Security Loaned, Subject to Master Netting Arrangement, Asset Offset

Derivative Asset. Derivative Liability, Security Sold under Agreement to Repurchase, and Security Loaned, Subject to Master Netting Arrangement, after Offset and Deduction

Derivative Asset, Derivative Liability, Security Sold under Agreement to Repurchase, and Security Loaned, Subject to Master Netting Arrangement, Collateral, Right to Reclaim Cash Not Offset

Derivative Asset. Derivative Liability, Security Sold under Agreement to Repurchase, and Security Loaned, Subject to Master Netting Arrangement, before Offset

Derivative Asset, Derivative Liability, Security Sold under Agreement to Repurchase, and Security Loaned, Subject to Master Netting Arrangement, after Offset

Derivative Assets And Liabilities, Security Purchased Under Agreement To Resell, And Security Borrowed, Subject To Master Netting Arrangement, Deduction Of Financial Instrument Not Offset

Derivative Liability

Derivative Liability, Subject to Master Netting Arrangement, Collateral, Right to Reclaim Cash Offset

Notional

Net unrealized gains

Unpaid principal balance

Finite-Lived Intangible Assets, Accumulated Amortization

Indefinite- lived intangible impairment

Investment Owned Balance Principal Amount

Loan Repurchase Reserve

Loans 30 To 89 Days Delinquent

Loans 90 or more days delinquent

Loans held for investment, Unpaid Principal/Notional

Loans held for investment, at fair value

Non-Agency RMBS, at fair value (net of allowance for credit losses of $46 million and $43 million, respectively)

Number of deferred compensation plans

Number of loans

Number of warehouse financing facilities under master repurchase agreements

Payable for investments purchased

Tenor spread adjustment

Preferred Stock, Par or Stated Value Per Share