Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 111

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 111
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 have caused the Company to otherwise conclude that it would not recover the amortized cost. The allowance for credit losses are calculated by comparing the estimated future cash flows of each security discounted at the yield determined as of the initial acquisition date or, if since revised, as of the last date previously revised, to the net amortized cost basis. Significant judgment is used in projecting cash flows for Non-Agency RMBS.The Company has reviewed its Non-Agency RMBS that are in an unrealized loss position to identify those securities with losses that are credit related based on an assessment of changes in cash flows expected to be collected for such RMBS, which considers recent bond performance and expected future performance of the underlying collateral. A summary of the credit losses allowance on available-for-sale securities for the quarters and nine months ended September 30, 2025 and September 30, 2024 are presented below.

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For the Quarter EndedFor the Nine Months EndedSeptember 30, 2025September 30, 2024September 30, 2025September 30, 2024(dollars in thousands)(dollars in thousands)Beginning allowance for credit losses$36,194 $23,591 $28,397 $18,560 Additions to the allowance for credit losses on securities for which credit losses were not previously recorded183 6 520 1,595 Allowance on purchased financial assets with credit deterioration— — — — Reductions for the securities sold during the period (485)— (485)— Increase/(decrease) on securities with an allowance in the prior period2,513 (1,440)10,531 1,810 Write-offs charged against the allowance(222)(110)(811)(412)Recoveries of amounts previously written off112 1,902 143 2,396 Ending allowance for credit losses$38,295 $23,949 $38,295 $23,949 The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of September 30, 2025 and December 31, 2024.September 30, 2025(dollars in thousands)  Prepay RateCDRLoss Severity  Amortized CostWeighted AverageWeighted AverageWeighted AverageNon-Agency RMBSSenior$140,754 7.2%1.4%31.4%Subordinated