Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 209

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 209
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.7 %9.0 %Prime Loans397,793 90.94 94.14 4.3 %5.9 %5.9 %3.5 %— %— %— %— %Investor Loans770,195 102.55 102.10 6.9 %6.5 %11.5 %13.3 %0.1 %0.1 %32.4 %15.7 %Business Purpose Loans144,765 99.11 98.78 9.0 %6.2 %42.9 %29.7 %— %0.6 %10.6 %— %

(1) Bond Equivalent Yield at period-end. Weighted Average Yield is calculated using each investment's respective amortized cost.

(2) Calculated based on reported losses to date, utilizing widest data set available (i.e., life-time losses, 12-month loss, etc.)

  December 31, 2024  Principal or Notional Value at Period-End (dollars in thousands)Weighted Average Amortized Cost BasisWeighted Average Fair ValueWeighted Average CouponWeighted Average Yield at Period-End (1)Weighted Average 3 Month Prepay Rate at Period-EndWeighted Average 12 Month Prepay Rate at Period-EndWeighted Average 3 Month CDR at Period-EndWeighted Average 12 Month CDR at Period-EndWeighted Average Loss Severity(2)Weighted Average Credit EnhancementNon-Agency RMBS         Senior$1,010,128 $45.11 $60.83 5.7 %17.6 %4.5 %4.9 %1.1 %1.5 %14.7 %1.9 %Subordinated648,977 59.18 57.99 4.5 %8.0 %7.4 %7.0 %1.1 %0.8 %29.7 %6.8 %Interest-only2,644,741 5.81 2.77 0.7 %6.6 %5.0 %5.3 %0.8 %0.8 %39.5 %— %Agency RMBS