Company: CIMO
Filing Date: 2025-08-06
Form Type: 10-Q
Source: 0001628280-25-038345
Chunk: 130

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-08-06
Form: 10-Q
Item: Item 8
Chunk 130
---
 in decreased income as the accretion of the purchase discount into interest income occurs over a longer period.For securitized debt carried at fair value issued at a premium, as prepayment rates increase, the amount of interest expense the Company recognizes decreases as the issued premium on the debt amortizes faster than expected. Conversely, decreases in prepayment rates result in increased expense and can extend the period over which the Company amortizes the premium.For debt issued at a discount, as prepayment rates increase, the amount of interest the Company expenses increases from the acceleration of the accretion of the discount into interest expense. Conversely, decreases in prepayment rates result in decreased expense as the accretion of the discount into interest expense occurs over a longer period.A summary of the significant inputs used to estimate the fair value of Level 3 Non-Agency RMBS held for investment at fair value as of June 30, 2025 and December 31, 2024 follows. The weighted average discount rates are based on fair value. 

29

June 30, 2025Significant Inputs  Discount RatePrepay RateCDRLoss Severity  RangeWeighted AverageRangeWeighted AverageRangeWeighted AverageRangeWeighted AverageNon-Agency RMBS    Senior5%-15%6.4%6%-18%6.6%0%-15%1.2%26%-57%29.4%Subordinated0%-15%8.3%6%-28%8.8%0%-3%0.7%20%-50%32.3%Interest-only9%-100%10.7%6%-20%6.8%0%-8%0.8%0%-87%28.0%December 31, 2024Significant Inputs  Discount RatePrepay RateCDRLoss Severity  RangeWeighted AverageRangeWeighted AverageRangeWeighted AverageRangeWeighted AverageNon-Agency RMBS    Senior5% -10%6.6%6% -20%6.6%0% -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