Company: CIMO
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023813
Chunk: 134

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-05-08
Form: 10-Q
Item: Item 8
Chunk 134
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332,346 5.01%5.01% - 6.09%337,245 5.02%5.02% - 5.02%Total$3,005,806 6.22%$2,842,160 6.48%

(1) The values for secured financing agreements in the table above is net of $1 million of deferred financing costs as of March 31, 2025.

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Average remaining maturity of Secured financing agreements secured by:March 31, 2025December 31, 2024Agency RMBS 26 Days 16 DaysAgency CMBS 7 Days 8 DaysNon-Agency RMBS and Loans held for investment 356 Days 237 Days

We collateralize the secured financing agreements we use to finance our operations with our MBS investments and mortgage loans held in trusts controlled by us. Our counterparties negotiate a “haircut”, which is the difference expressed in percentage terms between the fair value of the collateral and the amount the counterparty will lend to us, when we enter into a financing transaction. The size of the haircut reflects the perceived risk and market volatility associated with holding the MBS by the lender. The haircut provides lenders with a cushion for daily market value movements that reduce the need for a margin call to be issued or margin to be returned as normal daily increases or decreases in MBS market values occur. At March 31, 2025, the weighted average haircut on our secured financing agreements collateralized by Agency RMBS was 5.0%, Agency CMBS was 5.5%, and Non-Agency RMBS and Loans held for investment was 25.6%. At December 31, 2024, the weighted average haircut on our remaining secured financing agreements collateralized by Agency RMBS was 5.1%, Agency CMBS was 5.5%, and Non-Agency RMBS and Loans held for investment was 26.0%.

Because the fair value of the Non-Agency MBS is more difficult to determine in current financial conditions, as well as more volatile period to period than Agency MBS, the Non-Agency MBS typically requires a larger haircut. In addition, when financing assets using the standard form of SIFMA Master Repurchase Agreements, the counterparty to the agreement typically nets its exposure to us on all outstanding repurchase agreements and issues margin calls if movement of the fair values of the assets in the aggregate exceeds their allowable exposure to us. A decline in asset