Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 230

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 230
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811)(1,182)534 Accretion3,317 3,072 2,906 2,820 2,926 Losses on purchases— — — — — Losses on sold/paid-off(7,328)— — 48 — Increase/(decrease)8,766 41 2,665 2,251 (458)Balance, end of period$93,781 $90,565 $89,065 $85,305 $81,368 

 For the Quarters Ended(dollars in thousands)Loans held for investmentSeptember 30, 2025June 30, 2025March 31, 2025December 31, 2024September 30, 2024Balance, beginning of period$102,727 $106,961 $143,228 $181,895 $190,675 Realized losses(6,717)(7,816)(3,583)(6,180)(6,226)Accretion1,385 1,439 1,087 2,584 2,703 Losses on purchases— — — — — Increase/(decrease) 515 2,143 (33,771)(35,071)(5,257)Balance, end of period$97,910 $102,727 $106,961 $143,228 $181,895 

Additionally, the Non-Agency RMBS which we acquire for our portfolio are reviewed by us to ensure that they satisfy our risk-based criteria. Our review of Non-Agency RMBS includes utilizing a portfolio management system. Our review of Non-Agency RMBS and other ABS is based on quantitative and qualitative analysis of the risk-adjusted returns on Non-Agency RMBS and other ABS. This analysis includes an evaluation of the collateral characteristics supporting the RMBS such as borrower payment history, credit profiles, geographic concentrations, credit enhancement, seasoning, collateral value and other pertinent factors.

Interest Rate Risk

Our net interest income, borrowing activities and profitability could be negatively affected by volatility in interest rates factors that could lead the Federal Reserve to increase its federal funds rate, and a change in the spread between short and long-term rates could further compress. A prolonged period of extremely volatile and unstable market conditions would likely increase our funding costs and negatively affect market risk mitigation strategies. Higher income volatility from changes in