Company: CIMO
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023813
Chunk: 8

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-05-08
Form: 10-Q
Item: Item 3
Chunk 8
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 a given time period. A gap is considered positive when the amount of interest-rate sensitive assets exceeds the amount of interest-rate sensitive liabilities. A gap is considered negative when the amount of interest-rate sensitive liabilities exceeds interest-rate sensitive assets. During a period of rising interest rates, a negative gap would tend to adversely affect net interest income, while a positive gap would tend to result in an increase in net interest income. During a period of falling interest rates, a negative gap would tend to result in an increase in net interest income, while a positive gap would tend to affect net interest income adversely. Because different types of assets and liabilities with the same or similar maturities may react differently to changes in overall market rates or conditions, changes in interest rates may affect net interest income positively or negatively even if an institution were perfectly matched in each maturity category.

The following table sets forth the estimated maturity or re-pricing of our interest-earning assets and interest-bearing liabilities at March 31, 2025. The amounts of assets and liabilities shown within a particular period were determined in accordance with the contractual terms of the assets and liabilities, and securities are included in the period in which their interest rates are first scheduled to adjust and not in the period in which they mature and includes the effect of the interest rate swaps, if any. The interest rate sensitivity of our assets and liabilities in the table could vary substantially based on actual prepayments.

March 31, 2025(dollars in thousands) Within 3 Months3-12 Months1 Year to 3 YearsGreater than3 YearsTotalRate sensitive assets$1,966,399 $4,583,922 $217,340 $5,958,624 $12,726,284 Cash equivalents253,349 — — — 253,349 Total rate sensitive assets$2,219,748 $4,583,922 $217,340 $5,958,624 $12,979,634 Rate sensitive liabilities3,904,058 2,895,345 157,625 3,295,884 10,252,912 Interest rate sensitivity gap$(1,684,310)$1,688,577 $59,715 $2,662,740 $2,726,722 Cumulative rate sensitivity gap$(1,684,310)$4,267 $63,982 $2,726,722  Cumulative interest rate sensitivity gap as a percentage