Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 112

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 112
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$48,384 6.0%0.3%49.5% December 31, 2024(dollars in thousands)  Prepay RateCDRLoss Severity  Amortized CostWeighted AverageWeighted AverageWeighted AverageNon-Agency RMBSSenior$130,669 7.5%1.8%32.6%Subordinated$58,914 6.2%0.3%44.5%The increase in the allowance for credit losses for the quarter and nine months ended September 30, 2025, is primarily due to a deterioration in cashflows on certain investments, compared to the same period of 2024. In addition, certain Non-Agency RMBS positions now have higher unrealized losses and resulted in the recognition of an allowance for credit losses which was previously limited by unrealized gains on these investments.The following tables present a summary of unrealized gains and losses at September 30, 2025 and December 31, 2024.

16

September 30, 2025  (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive IncomeGross Unrealized Gain Included in Cumulative EarningsTotal Gross Unrealized GainGross Unrealized Loss Included in Accumulated Other Comprehensive IncomeGross Unrealized Loss Included in Cumulative EarningsTotal Gross Unrealized LossNon-Agency RMBS      Senior$150,051 $— $150,051 $(3,099)$— $(3,099)Subordinated9,363 13,593 22,956 (6,883)(8,205)(15,088)Interest-only— 13,968 13,968 — (79,343)(79,343)Agency RMBS    Pass-through— 34,480 34,480 — (1,621)(1,621)CMO— 2,386 2,386 — (333)(333)Interest-only— 664 664 — (3,747)(3,747)Agency CMBSProject loans— — — — (7,853)(7,853)Interest-only— 135 135 — (584)(584)Total$159,414 $65,226 $224,640 $(9,982)$(101,686)$(111,668)December 31, 2024