Company: CIMO
Filing Date: 2025-02-19
Form Type: 10-K
Source: 0001628280-25-006426
Chunk: 366

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-02-19
Form: 10-K
Item: Item 15
Chunk 366
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 was not considered more likely than not that it would be required to sell the securities prior to recovering the amortized cost, and there were no material credit events that would have caused the Company to otherwise conclude that it would not recover the amortized cost. The allowance for credit losses are calculated by comparing the estimated future cash flows of each security discounted at the yield determined as of the initial acquisition date or, if since revised, as of the last date previously revised, to the net amortized cost basis. Significant judgment is used in projecting cash flows for Non-Agency RMBS.The Company has reviewed its Non-Agency RMBS that are in an unrealized loss position to identify those securities with losses that are credit related based on an assessment of changes in cash flows expected to be collected for such RMBS, which considers recent bond performance and expected future performance of the underlying collateral. A summary of the credit losses allowance on available-for-sale securities for the years ended December 31, 2024 and 2023 is presented below.

100

For the Years EndedDecember 31, 2024December 31, 2023(dollars in thousands)Beginning allowance for credit losses$18,560 $7,188 Additions to the allowance for credit losses on securities for which credit losses were not previously recorded1,840 1,938 Allowance on purchased financial assets with credit deterioration— — Reductions for the securities sold during the period — — Increase/(decrease) on securities with an allowance in the prior period6,041 12,261 Write-offs charged against the allowance(499)(2,860)Recoveries of amounts previously written off2,455 33 Ending allowance for credit losses$28,397 $18,560 The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of December 31, 2024 and December 31, 2023.December 31, 2024(dollars in thousands)  Prepay RateCDRLoss Severity  Amortized CostWeighted AverageWeighted AverageWeighted AverageNon-Agency RMBSSenior$130,669 7.5%1.8%32.6%Subordinated$58,914 6.2%0.3%44.5% December 31, 2023(dollars in thousands)  Prepay RateCDRLoss Severity  Amortized CostWeight