Company: CIMO
Filing Date: 2025-02-19
Form Type: 10-K
Source: 0001628280-25-006426
Chunk: 456

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-02-19
Form: 10-K
Item: Item 7
Chunk 456
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 Month Prepay Rate at Period-EndWeighted Average 12 Month Prepay Rate at Period-EndWeighted Average 3 Month CDR at Period-EndWeighted Average 12 Month CDR at Period-EndWeighted Average Loss Severity(2)Weighted Average Credit EnhancementNon-Agency MBS         Senior$1,073,632 $45.69 $62.98 5.7 %17.3 %4.1 %5.0 %1.5 %1.8 %32.2 %2.6 %Subordinated$583,049 $50.92 $47.49 3.3 %6.7 %4.6 %5.7 %0.2 %0.9 %18.4 %6.5 %Interest-only$2,874,680 $5.49 $3.16 0.5 %4.2 %4.5 %5.0 %0.9 %1.0 %24.9 %1.9 %Agency RMBS         Interest-only$392,284 $4.90 $3.83 0.1 %5.7 %8.6 %9.4 %N/AN/AN/AN/AAgency CMBSProject loans$86,572 $101.44 $91.46 4.0 %3.8 %— %— %N/AN/AN/AN/AInterest-only$478,239 $1.62 $1.73 0.5 %8.2 %0.3 %1.0 %N/AN/AN/AN/ALoans held for investment$12,028,480 $98.35 $94.90 5.7 %5.4 %6.5 %6.5 %0.6 %0.6 %23.9 %N/A

(1) Bond Equivalent Yield at period-end. Weighted Average Yield is calculated using each investment's respective amortized cost.

(2) Calculated based on reported losses to date, utilizing widest data set available (i.e., life-time losses, 12-month loss, etc.)

Based on the projected cash flows for our Non-Agency RMBS that are