Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 217

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 217
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 for a discussion on how we determine the fair values of the RMBS collateralizing our secured financing agreements.

At September 30, 2025, the weighted average borrowing rates for our secured financing agreements collateralized by Agency RMBS was 4.4%, Agency CMBS was 4.4% and Non-Agency MBS and Loans held for investment was 6.6%. At December 31, 2024, the weighted average borrowing rates for our secured financing agreements collateralized by Agency RMBS was 4.8%, Agency CMBS was 4.8% and Non-Agency MBS and Loans held for investment was 6.8%.

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We entered into a secured financing agreement during the fourth quarter of 2022 for which we have elected fair value option. we believe electing fair value for this financial instrument better reflects the transactional economics. The total principal balance outstanding on this secured financing at September 30, 2025 and December 31, 2024 was $317 million and $337 million, respectively. The fair value of collateral pledged was $369 million and $383 million as of September 30, 2025 and December 31, 2024, respectively. We carry this secured financing instrument at fair value of $310 million and $319 million as of September 30, 2025 and December 31, 2024, respectively. At September 30, 2025 and December 31, 2024, the weighted average borrowing rate on secured financing agreements at fair value was 5.0%. At September 30, 2025 and December 31, 2024, the haircut for the secured financing agreements at fair value was 7.5%. At September 30, 2025, the maturity on the secured financing agreements at fair value was two years.

The table below presents our average daily secured financing agreements balance and the secured financing agreements balance at each period end for the periods presented. Our balance at period-end tends to fluctuate from the average daily balances due to the adjusting of the size of our portfolio by using leverage.

PeriodAverage secured financing agreements balancesSecured financing agreements balance at period end (dollars in thousands)Quarter End September 30, 2025$4,799,281 $4,876,986 Quarter End June 30, 2025$3,806,015 $4,563,063 Quarter End March 31, 2025