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Chimera Investment Corporation Message Board

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  • jrad52 jrad52 Jun 14, 2011 8:02 AM Flag

    Cim's mix of agency /non-agency

    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.


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    • i think the downturn in cim relative to the other hybrids shows you 1 of 2 things

      either the public believes cim has more non agency exposure then 50% or cim actually does have more

      either way they do or they are thought to

      50% agency seems high and all maangments would have had to do was tell the public they werent that exposed - but of course they didnt; so..............

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