Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 219

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 219
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 collateral as required by the terms of our swap agreements. The average remaining maturities on our Swap futures at September 30, 2025 is three years. The Swap futures are exchange traded instrument. Similar to our interest rate swaps we post collateral when we are in a net loss position. The interest rate cap has a two-year maturity with a potential payment every ninety days from the initial settlement date. The payment is dependent upon whether the compounded average market reference rate for the ninety day period is greater than the strike rate on the interest rate cap. We will receive a payment if the difference between the two amounts is positive. 

Exposure to Financial Counterparties

We actively manage the number of secured financing counterparties to reduce counterparty risk and manage our liquidity needs. The following table summarizes our exposure to our secured financing agreements counterparties at September 30, 2025:

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September 30, 2025     CountryNumber of CounterpartiesSecured Financing AgreementDerivative Instruments at Fair ValueExposure (1)(dollars in thousands)United States10$3,045,867 $(5,018)$587,111 Japan31,161,675 — 540,727 Canada2403,944 1,768 96,091 Spain139,103 — 2,370 South Korea1$233,416 $— $11,283 Total17$4,884,006 $(3,250)$1,237,582 

 (1) Represents the amount of securities and/or cash pledged as collateral to each counterparty less the aggregate of secured financing agreement.

We regularly monitor our exposure to financing counterparties for credit risk and allocate assets to these counterparties based, in part, on the credit quality and internally developed metrics measuring counterparty risk. Our exposure to a particular counterparty is calculated as the excess collateral which is pledged relative to the secured financing agreement balance. If our exposure to our financing counterparties exceeds internally developed thresholds, we develop a plan to reduce the exposure to an acceptable level. At September 30, 2025, we had amounts at risk with Nomura of 19% of our equity related to the collateral posted on secured financing agreements. The weighted average maturities of the secured financing agreements with Nomura were 281 days. The amount at risk with Nomura was $491 million. At December 31, 2024, we had amounts at risk with Nomura of 20% of our equity related