Weird disclosure. It seems to be based on principal balances of loans, not FMV, and notional balances of interest only securities, which greatly exceeds cost. So if you look at the carrying values on the balance sheet, my 50-50 split is correct. But I guess CIM is saying that thru derivatives, its exposure to non-agency is larger than the balance sheet shows. I wouldn't put too much faith in the principal balances of the non agency loans, though, since CIM bought them for about 50 cents on the dollar. And the $ 6 billion of IOs had a cost of about $ 400 million.
Personally, I'd like to see CIM at 50% Agency and 50% Non Agency. If interest rates increase, downside protection via non agency and if defaults increase, downside protection via agency.Help offset each other's risks. May limit upside potential, but could create better stability. If CIM can stabilize the dividend at .14, then the stock price would stabilize.