Company: CIMO
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023813
Chunk: 192

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-05-08
Form: 10-Q
Item: Item 2
Chunk 192
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 %Investor Loans$833,924 $102.49 $101.19 6.9 %6.6 %10.5 %10.2 %0.2 %0.2 %6.3 %14.9 %Business Purpose Loans$292,399 $100.65 $99.80 8.8 %7.2 %36.3 %17.6 %1.9 %0.6 %7.6 %— %

(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.)

  December 31, 2024  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 (1)Weighted Average 3 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$1,010,128 $45.11 $60.83 5.7 %17.6 %4.5 %4.9 %1.1 %1.5 %14.7 %1.9 %Subordinated$648,977 $59.18 $57.99 4.5 %8.0 %7.4 %7.0 %1.1 %0.8 %29.7 %6.8 %Interest-only$2,644,741 $5.81 $2.77 0.7 %6.6 %5.0 %5.3 %0.8 %0.8 %39.5 %— %Agency RMBS         CMO$464,640 $99.97 $99.36 5.8 %5.8 %15.7 %— %N/