Company: CIMO
Filing Date: 2025-08-06
Form Type: 10-Q
Source: 0001628280-25-038345
Chunk: 33

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-08-06
Form: 10-Q
Item: Item 2
Chunk 33
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 %12.1 %14.9 %12.7 %

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 June 30, 2025 and December 31, 2024. 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.

  June 30, 2025  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$968,382 $43.69 $59.30 5.7 %18.7 %4.3 %4.6 %2.0 %1.7 %22.4 %1.4 %Subordinated$613,051 $58.52 $57.79 4.4 %7.9 %8.5 %7.7 %0.4 %0.6 %29.3 %6.9 %Interest-only$2,535,660 $5.91 $3.25 0.7 %4.4 %4.8 %5.2 %0.8 %0.9 %35.9 %— %Agency RMBS         Pass-through$2,334,802 $95.79 $96.65 4.7 %5.4 %5.7 %5.1 % N/A  N/A  N/A  N/A CMO$362,333 $99.97 $99.69 5.5 %5.6 %