Company: CIMO
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023813
Chunk: 47

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-05-08
Form: 10-Q
Item: Item 8
Chunk 47
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 tables below are based on lifetime expected prepayment rates using the Company's prepayment assumptions for the Agency MBS and Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility.

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March 31, 2025 (dollars in thousands)  Weighted Average LifeLess than one yearGreater than one year and lessthan five yearsGreater than five years and lessthan ten yearsGreater than ten yearsTotalFair value     Non-Agency RMBS     Senior$13,056 $78,471 $222,488 $287,093 $601,108 Subordinated297 85,223 133,978 158,087 377,585 Interest-only169 29,169 49,252 2,557 81,147 Agency RMBS     Pass-through— — 126,245 23,252 149,497 CMO— — 449,446 — 449,446 Interest-only3,838 12,014 — — 15,852 Agency CMBSProject loans— — — 35,002 35,002 Interest-only10 5,551 977 — 6,538 Total fair value$17,370 $210,428 $982,386 $505,991 $1,716,175 Amortized cost     Non-Agency RMBS     Senior$12,056 $79,310 $174,713 $208,150 $474,229 Subordinated606 80,327 136,268 168,119 385,319 Interest-only15,094 65,914 66,173 4,368 151,549 Agency RMBS     Pass-through— — — 150,228 150,228 CMO— — 60,913 389,931 450,844 Interest-only3,938 15,329 — — 19,267 Agency CMBSProject loans— — — 41,494 41,494 Interest-only189 5,706 — — 5,895 Total amortized cost$31,884 $246,585 $438,067 $962,