Company: CIMO
Filing Date: 2025-02-19
Form Type: 10-K
Source: 0001628280-25-006426
Chunk: 369

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-02-19
Form: 10-K
Item: Item 15
Chunk 369
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 December 31, 2023 Principal or Notional Value at Period-End(dollars in thousands)Weighted Average AmortizedCost BasisWeighted Average Fair ValueWeighted AverageCouponWeighted Average Yield at Period-End (1)Non-Agency RMBS    Senior$1,073,632 $45.69 $62.98 5.7 %17.3 %Subordinated583,049 50.92 47.49 3.3 %6.7 %Interest-only2,874,680 5.49 3.16 0.5 %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,