Company: CIMO
Filing Date: 2025-02-19
Form Type: 10-K
Source: 0001628280-25-006426
Chunk: 133

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-02-19
Form: 10-K
Item: Item 1A
Chunk 133
---
.9 %Fixed-rate percentage of portfolio87.9 %96.5 %87.3 %95.9 %Adjustable-rate percentage of portfolio12.1 %3.5 %12.7 %4.1 %

56

GAAP leverage at period-end is calculated as a ratio of our secured financing agreements and securitized debt liabilities over GAAP book value. GAAP recourse leverage is calculated as a ratio of our secured financing agreements over stockholders' equity. 

The following table presents details of each asset class in our portfolio at December 31, 2024 and December 31, 2023. The principal or notional value represents the interest income earning balance of each class. The weighted average figures are weighted by each investment’s respective principal/notional value in the asset class.

  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/AN/