Company: CIMO
Filing Date: 2025-02-19
Form Type: 10-K
Source: 0001628280-25-006426
Chunk: 214

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-02-19
Form: 10-K
Item: Item 1A
Chunk 214
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%4.2 %Agency RMBS     Interest-only392,284 4.90 3.83 0.1 %5.7 %Agency CMBSProject loans86,572 101.44 91.46 4.0 %3.8 %Interest-only478,239 1.62 1.73 0.5 %8.2 %       (1) Bond Equivalent Yield at period end.Actual maturities of MBS are generally shorter than the stated contractual maturities. Actual maturities of the Company’s MBS are affected by the underlying mortgages, periodic payments of principal, realized losses and prepayments of principal. The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at December 31, 2024 and December 31, 2023 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using the Company's prepayment assumptions for the Agency MBS and Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility.

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December 31, 2024 (dollars in thousands)  Weighted Average LifeLess than one yearGreater than one year and lessthan five yearsGreater than five years and lessthan ten yearsGreater than ten yearsTotalFair value     Non-Agency RMBS     Senior$16,171 $66,384 $251,104 $280,834 $614,493 Subordinated494 81,838 132,286 161,723 376,341 Interest-only171 25,717 44,751 2,696 73,335 Agency RMBS     CMO— — 62,156 399,500 461,656 Interest-only4,708 12,076 — — 16,784 Agency CMBSProject loans— — — 34,370 34,370 Interest-only17 6,391 — — 6,408 Total fair value$21,561 $192,406 $490,297 $879,123 $1,583,387 Amortized cost     Non-Agency RMBS