Company: CIMO
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023813
Chunk: 126

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-05-08
Form: 10-Q
Item: Item 8
Chunk 126
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3.5 %3.6 %3.5 %3.6 %Interest-only0.2 %0.1 %0.1 %0.1 %Agency CMBS0.4 %0.4 %0.4 %0.4 %Project loans0.3 %0.3 %0.3 %0.3 %Interest-only0.1 %0.1 %0.1 %0.1 %Loans held for investment86.8 %88.0 %86.5 %87.6 %Fixed-rate percentage of portfolio82.5 %87.9 %81.9 %87.3 %Adjustable-rate percentage of portfolio17.5 %12.1 %18.1 %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 March 31, 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.

63

  March 31, 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$994,386 $44.77 $60.45 5.7 %18.1 %4.6 %4.6 %2.2 %1.6 %19.1 %1.9 %Subordinated$643,316 $59.47 $58.69 4.5 %8.1 %6.8