Company: CIMO
Filing Date: 2025-08-06
Form Type: 10-Q
Source: 0001628280-25-038345
Chunk: 42

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-08-06
Form: 10-Q
Item: Item 2
Chunk 42
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 be adjusted as a result of changes in market value, minimizing the risk of a margin call as a result in price volatility. We refer to these agreements as non-MTM facilities. These non-MTM facilities generally have higher costs of financing, but lower the risk of a margin call which could result in sales of our assets at 

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distressed prices. All non-MTM facilities are collateralized by Non-Agency RMBS collateral, which tends to have increased volatile price changes during periods of market stress. In addition we have entered into certain secured financing agreements that are not subject to additional margin requirement until the drop in fair value of collateral is greater than a threshold. We refer to these agreements as limited MTM facilities. As of June 30, 2025 we have $498 million of limited MTM facilities. We believe these non-MTM and limited MTM facilities significantly reduce our financing risks. See Note 5 to our Consolidated Financial Statements for a discussion on how we determine the fair values of the RMBS collateralizing our secured financing agreements.

At June 30, 2025, the weighted average borrowing rates for our secured financing agreements collateralized by Agency RMBS was 4.5%, Agency CMBS was 4.5% 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%.

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 June 30, 2025 and December 31, 2024 was $322 million and $337 million, respectively. The fair value of collateral pledged was $374 million and $383 million as of June 30, 2025 and December 31, 2024, respectively. We carry this secured financing instrument at fair value of $314 million and $319 million as of June 30, 2025 and December 31, 2024, respectively. At June 30, 2025 and December 31, 2024, the weighted average borrowing rate on secured financing agreements at fair value was