Company: CIMO
Filing Date: 2025-02-19
Form Type: 10-K
Source: 0001628280-25-006426
Chunk: 134

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-02-19
Form: 10-K
Item: Item 1A
Chunk 134
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AN/AN/AInterest-only$380,311 $5.15 $4.41 0.6 %6.9 %9.4 %9.0 %N/AN/AN/AN/AAgency CMBSProject loans$40,882 $101.51 $84.07 3.5 %3.4 %— %— %N/AN/AN/AN/AInterest-only$449,437 $1.36 $1.43 0.5 %8.9 %— %— %N/AN/AN/AN/ALoans held for investment$11,659,420 $98.06 $96.24 5.6 %5.6 %7.0 %6.4 %0.7 %0.7 %23.7 % N/A 

(1) Bond Equivalent Yield at period-end. Weighted Average Yield is calculated using each investment's respective amortized cost.

(2) Calculated based on reported losses to date, utilizing widest data set available (i.e., life-time losses, 12-month loss, etc.)

  December 31, 2023  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$1,073,632 $45.69 $62.98 5.7 %17.3 %4.1 %5.0 %1.5 %1.8 %32.2 %2.6 %Subordinated$583,049 $50.92 $47.49 3.3 %6.7 %4.6 %5.7 %0.2 %0.9 %18.4 %6.5 %Interest-only$2,874,680 $5.49 $3.16