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.
Impossible to answer. At 3/31, the split was approximately 50-50, but that was 2 months ago, and CIM was moving more into agencies in Q1, so the agency percentage is probably higher now.
Also, CIM says that about half of its non-agency paper, and the related debt, is really not CIM's. This paper has been securitized with CIM keeping some sub interests which (under GAAP) requires CIm to keep the paper on its books. But CIM excludes this paper (and the debt) from its "economic book value".
So it was probably in the area of 50-50 2 months ago. Unless CIM gave a presentation where it disclosed more current numbers, that's about as good as you're going to get.