Company: CIMO
Filing Date: 2025-02-19
Form Type: 10-K
Source: 0001628280-25-006426
Chunk: 391

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-02-19
Form: 10-K
Item: Item 15
Chunk 391
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83%29.4%December 31, 2023Significant Inputs  Discount RatePrepay RateCDRLoss Severity  RangeWeighted AverageRangeWeighted AverageRangeWeighted AverageRangeWeighted AverageNon-Agency RMBS    Senior6% -10%6.6%1% -20%6.4%0% -12%1.4%26% -77%32.8%Subordinated0% -13%7.5%5% -25%6.6%0% -5%0.5%10% -50%34.8%Interest-only0% -100%12.0%4% -25%6.8%0% -7%0.9%0% -82%30.3%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 December 31, 2024 and December 31, 2023 follows: 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% December 31, 2023 Significant Inputs Discount RatePrepay RateCDRLoss SeverityRangeWeighted AverageRangeWeighted AverageRangeWeighted AverageRangeWeighted AverageSecuritized debt at fair value, collateralized by Loans held for investment6%-9%6.5%6%-15%7.9%0%-6%0.8%0%-55%40.9%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-con