Company: CHMI-PB
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001140361-25-040783
Chunk: 22

Company: Cherry Hill Mortgage Investment Corp
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 2
Chunk 22
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 those counterparties, which were
              used to finance RMBS. As of September 30, 2025, our exposure (defined as the amount of cash and securities pledged as collateral, less the borrowing under the repurchase agreement) to any of the counterparties under the repurchase agreements
              did not exceed five percent of the Company’s equity. Under these agreements, which are uncommitted facilities, we sell a security to a counterparty and concurrently agree to repurchase the same security at a later date at the same price that
              we initially sold the security plus the interest charged. The sale price represents financing proceeds and the difference between the sale and repurchase prices represents interest on the financing. The price at which the security is sold
              generally represents the market value of the security less a discount or “haircut.” The weighted average haircut on our repurchase debt at September 30, 2025 was approximately 4.4%. During the term of the repurchase transaction, which can be
              as short as a few days, the counterparty holds the security and posts margin as collateral. The counterparty monitors and calculates what it estimates to be the value of the collateral during the term of the transaction. If this value
              declines by more than a de minimis threshold, the counterparty requires us to post additional collateral (or “margin”) in order to maintain the initial haircut on the collateral. This margin is typically required to be posted in the form of
              cash and cash equivalents. Furthermore, we are, from time to time, a party to derivative agreements or financing arrangements that may be subject to margin calls based on the value of such instruments.

            Set forth below is the average aggregate balance of borrowings under the Company’s repurchase agreements for each of the periods shown and the aggregate balance as of the end of each such period (dollars in
              thousands):

            Repurchase Agreement Average and Maximum Amounts

                    Quarter Ended

                    Average Monthly
                      Amount

                    Maximum Month-End 
                    Amount

                    Quarter Ending
                      Amount

                    September 30, 2025

                    $

                    1,086,896

                    $

                    1,107,140

                    $

                    1,107,141

                    June 30, 2025

                    $

                    1,049,729

                    $

                    1,072,294

                    $

                    1,072,294

                    March 31, 2025

                    $