Company: CIMO
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023813
Chunk: 44

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-05-08
Form: 10-Q
Item: Item 8
Chunk 44
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 in thousands)  Prepay RateCDRLoss Severity  Amortized CostWeighted AverageWeighted AverageWeighted AverageNon-Agency RMBSSenior$137,357 6.8%1.6%32.6%Subordinated$58,318 6.2%0.3%44.5% December 31, 2024(dollars in thousands)  Prepay RateCDRLoss Severity  Amortized CostWeighted AverageWeighted AverageWeighted AverageNon-Agency RMBSSenior$130,669 7.5%1.8%32.6%Subordinated$58,914 6.2%0.3%44.5%The increase in the allowance for credit losses for the quarter ended March 31, 2025 is primarily due to a deterioration in cashflows on certain investments, compared to the same period of 2024. In addition, certain Non-Agency RMBS positions now have higher unrealized losses and resulted in the recognition of an allowance for credit losses which was previously limited by unrealized gains on these investments.The following tables present a summary of unrealized gains and losses at March 31, 2025 and December 31, 2024.

13

March 31, 2025  (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive IncomeGross Unrealized Gain Included in Cumulative EarningsTotal Gross Unrealized GainGross Unrealized Loss Included in Accumulated Other Comprehensive IncomeGross Unrealized Loss Included in Cumulative EarningsTotal Gross Unrealized LossNon-Agency RMBS      Senior$161,398 $— $161,398 $(4,446)$(1,058)$(5,503)Subordinated10,179 10,999 21,178 (9,361)(16,782)(26,143)Interest-only— 14,364 14,364 — (84,766)(84,766)Agency RMBS    Pass-through— — — — (731)(731)CMO— 25 25 — (1,423)(1,423)Interest-only— 682 682 — (4,097)(4,097)Agency CMBSProject loans— — — — (6,492)(6,492)Interest-only— 1,351 1,