Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 39

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 2
Chunk 39
---
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 RMBS         Senior$1,010,128 $45.11 $60.83 5.7 %17.6 %4.5 %4.9 %1.1 %1.5 %14.7 %1.9 %Subordinated648,977 59.18 57.99 4.5 %8.0 %7.4 %7.0 %1.1 %0.8 %29.7 %6.8 %Interest-only2,644,741 5.81 2.77 0.7 %6.6 %5.0 %5.3 %0.8 %0.8 %39.5 %— %Agency RMBS         CMO464,640 99.97 99.36 5.8 %5.8 %15.7 %— %N/AN/AN/AN/AInterest-only380,311 5.15 4.41 0.6 %6.9 %9.4 %9.0 %N/AN/AN/AN/AAgency CMBSProject loans40,882 101.51 84.07 3.5 %3.4 %— %— %N/AN/AN/AN/AInterest-only449,437 1.36 1.43 0.5 %8.9 %— %— %N/AN/AN/AN/ALoans held for investmentRe-performing Loans10,322,156 98.05 96.14 5.5 %5.6 %6.7 %6.2 %0.7 %0.7 %25.1 %8.3 %Prime Loans420,446 90.75