Company: CIMO
Filing Date: 2025-02-19
Form Type: 10-K
Source: 0001628280-25-006426
Chunk: 140

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-02-19
Form: 10-K
Item: Item 1A
Chunk 140
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105,727 7.09%6.72% - 7.80%180 days to 1 year409,760 6.79% 5.80% - 7.49%39,620 7.06%6.66% - 7.39%1 to 2 years— NANA808,601 9.36%8.36% - 12.50%2 to 3 years337,245 5.02%5.02% - 5.02%— NAN/AGreater than 3 years— NANA362,215 5.11%5.10% - 7.15%Total$2,842,160 6.48%$2,444,091 7.51%

Average remaining maturity of Secured financing agreements secured by:December 31, 2024December 31, 2023Agency RMBS 16 Days N/AAgency CMBS 8 Days 32 DaysNon-Agency RMBS and Loans held for investment 237 Days 418 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. Haircuts have remained relatively unchanged on secured financing agreements collateralized by Agency CMBS and Loans held for investments as of December 31, 2024 and December 31, 2023. 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%. At December 31, 2023, the weighted average haircut on our remaining secured financing agreements collateralized by Agency CMBS was 5.2% and Non-Agency RMBS and Loans held for investment was 26.1%. 

Because the fair value of the