Company: CIMO
Filing Date: 2025-08-06
Form Type: 10-Q
Source: 0001628280-25-038345
Chunk: 110

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-08-06
Form: 10-Q
Item: Item 8
Chunk 110
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 in thousands)Weighted Average AmortizedCost BasisWeighted Average Fair ValueWeighted AverageCouponWeighted Average Yield at Period-End (1)Non-Agency RMBS    Senior$1,010,128 $45.11 $60.83 5.7 %17.6 %Subordinated648,977 59.18 57.99 4.5 %8.0 %Interest-only2,644,741 5.81 2.77 0.7 %6.6 %Agency RMBS     CMO464,640 99.97 99.36 5.8 %5.8 %Interest-only380,311 5.15 4.41 0.7 %6.9 %Agency CMBSProject loans40,882 101.51 84.07 3.5 %3.4 %Interest-only449,437 1.36 1.43 0.5 %8.9 %       (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 June 30, 2025 and December 31, 2024 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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June 30, 2025 (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$13,190 $79,311 $207,299 $274,500 $574,300 Subordinated5,385 72,930 135,214 140,729 354,258 Interest