Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 137

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 137
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13%1.2%25% -86%30.0%Subordinated0% -15%8.5%6% -20%8.1%0% -3%0.7%25% -50%33.1%Interest-only9% -100%11.8%6% -25%7.0%0% -7%0.9%0% -83%29.4%A summary of the significant inputs used to estimate the fair value of securitized debt at fair value, collateralized by Loans held for investment, as of September 30, 2025 and December 31, 2024 follows: September 30, 2025 Significant Inputs Discount RatePrepay RateCDRLoss SeverityRangeWeighted AverageRangeWeighted AverageRangeWeighted AverageRangeWeighted AverageSecuritized debt at fair value, collateralized by Loans held for investment5%-8%5.5%6%-15%8.0%0%-4%0.5%20%-50%33.7% December 31, 2024 Significant Inputs Discount RatePrepay RateCDRLoss SeverityRangeWeighted AverageRangeWeighted AverageRangeWeighted AverageRangeWeighted AverageSecuritized debt at fair value, collateralized by Loans held for investment5%-9%6.0%6%-15%7.5%0%-5%0.6%20%-55%35.5%All of the significant inputs listed have some degree of market observability based on the Company’s knowledge of the market, information available to market participants, and use of common market data sources. Collateral default and loss severity projections are in the form of “curves” that are updated quarterly to reflect the Company’s collateral cash flow projections. Methods used to develop these projections conform to industry conventions. The Company uses assumptions it considers its best estimate of future cash flows for each security.Sensitivity of Significant Inputs – Loans held for investmentThe Loans held for investment are primarily comprised of loans collateralized by seasoned reperforming residential mortgages. Additionally, it includes non-conforming, single family, owner occupied, investor owned, and jumbo prime residential mortgages. The significant unobservable factors used to estimate the fair value of the Loans held for investment collateralized 

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by seasoned reperforming residential mortgage loans, as of September 30, 2025 and December 31, 2024, include coupon, FICO score at