Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 24

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 2
Chunk 24
---
 increase in provision for credit losses of $10 million, as compared to an increase in provision of credit losses of $5 million for the nine months ended September 30, 2024. The changes in provision for credit losses for the quarter and nine months ended September 30, 2025, as compared to the quarter and nine months ended September 30, 2024, are primarily due to a deterioration in cashflows on a combination of Non-Agency senior and subordinated bonds.

Net Gains (Losses) on Derivatives

We use derivatives to economically hedge the effects of changes in interest rates on our portfolio, specifically our secured financing agreements. Unrealized gains and losses include the change in market value, period over period, on our derivatives portfolio. Changes in market value are generally a result of changes in interest rates. We may or may not ultimately realize these unrealized derivative gains and losses depending on trade activity, changes in interest rates and the values of the underlying securities. The net gains and losses on our derivatives include both unrealized and realized gains and losses. Realized gains and losses include the net cash paid and received on our derivatives portfolio during the period as well as sales, terminations and settlements related to our derivatives portfolio.

The tables below show a summary of our net gains (losses) on derivative instruments, for the quarters ended September 30, 2025 and June 30, 2025, and nine months ended September 30, 2025 and September 30, 2024, respectively.

65

For the Quarters Ended September 30, 2025June 30, 2025 (dollars in thousands)Periodic interest on derivatives, net$5,751 $5,067 Realized gains (losses) on derivative instruments, net:Interest rate swaps2,011 (11,941)Swap futures4 (390)Treasury futures— — Swaptions— (5,623)Interest rate cap— — Total realized gains (losses) on derivative instruments, net2,015 (17,954)Unrealized gains (losses) on derivative instruments, net:Interest rate swaps257 (26)Swap futures(5,440)(400)Treasury futures— — Swaptions(877)— Interest rate cap(1,847)(2,128)Total unrealized gains (losses) on derivative instruments, net:(7,907)(2,