Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 113

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 113
---
(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$164,600 $— $164,600 $(4,483)$(1,285)$(5,767)Subordinated9,774 10,393 20,167 (10,442)(17,459)(27,901)Interest-only— 13,164 13,164 — (93,400)(93,400)Agency RMBS      CMO— 106 106 — (2,972)(2,972)Interest-only— 1,410 1,410 — (4,220)(4,220)Agency CMBSProject loans— — — — (7,132)(7,132)Interest-only— 949 949 — (675)(675)Total$174,374 $26,022 $200,396 $(14,925)$(127,142)$(142,067)Changes in prepayments, actual cash flows, and cash flows expected to be collected, among other items, are affected by the collateral characteristics of each asset class. The Company chooses assets for the portfolio after carefully evaluating each investment’s risk profile.The following tables provide a summary of the Company’s MBS portfolio at September 30, 2025 and December 31, 2024.

17

 September 30, 2025 Principal or Notional Valueat Period-End(dollars in thousands)Weighted Average AmortizedCost BasisWeighted Average Fair ValueWeighted AverageCouponWeighted Average Yield at Period-End (1)Non-Agency RMBS    Senior$865,570 $43.17 $60.14 5.7 %20.2 %Subordinated499,426 51.52 53.10 4.3 %8.9 %Interest-only2,481,658 5.98 3.35 0.7 %4.5 %Agency RMBS     Pass-through2,561,414 97.12 98.40 4.9 %5.3 %