Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 207

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 207
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, 2024September 30, 2025December 31, 2024Portfolio CompositionAmortized CostFair ValueNon-Agency RMBS5.9 %7.9 %6.2 %8.3 %Senior2.9 %3.7 %3.7 %4.8 %Subordinated1.9 %3.0 %1.9 %2.9 %Interest-only1.1 %1.2 %0.6 %0.6 %Agency RMBS20.3 %3.7 %20.4 %3.7 %Pass-through17.7 %— %17.8 %— %CMO2.5 %3.6 %2.5 %3.6 %Interest-only0.1 %0.1 %0.1 %0.1 %Agency CMBS0.3 %0.4 %0.3 %0.4 %Project loans0.3 %0.3 %0.2 %0.3 %Interest-only0.0 %0.1 %0.1 %0.1 %Loans held for investment73.5 %88.0 %73.1 %87.6 %Fixed-rate percentage of portfolio86.0 %87.9 %85.4 %87.3 %Adjustable-rate percentage of portfolio14.0 %12.1 %14.6 %12.7 %

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GAAP leverage at period-end is calculated as a ratio of our secured financing agreements and securitized debt liabilities over GAAP book value. GAAP recourse leverage is calculated as a ratio of our secured financing agreements over stockholders' equity. 

The following table presents details of each asset class in our portfolio at September 30, 2025 and December 31, 2024. The principal or notional value represents the interest income earning balance of each class. The weighted average figures are weighted by each investment’s respective principal/notional value in the asset class.

  September 30, 2025  Principal or Notional Value at Period-End (dollars in thousands)Weighted Average Amortized Cost BasisWeighted Average Fair ValueWeighted Average CouponWeighted Average Yield at Period-End