Company: CIMO
Filing Date: 2025-08-06
Form Type: 10-Q
Source: 0001628280-25-038345
Chunk: 20

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-08-06
Form: 10-Q
Item: Item 2
Chunk 20
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741,156 $112,451 4.24 %5.33 %5.33 %0.00 %

Average interest-bearing liabilities increased by $732 million for the quarter ended June 30, 2025, as compared to the quarter ended March 31, 2025. Economic interest expense increased by $13 million for the quarter ended June 30, 2025, as compared to the quarter ended March 31, 2025, due to an increase in borrowings under our secured financing agreements to fund our Agency RMBS purchases.

While we may use interest rate hedges to mitigate risks related to changes in interest rate, the hedges may not fully offset interest expense movements. 

Provision for Credit Losses

For the quarter ended June 30, 2025, we recorded an increase in provision for credit losses of $4 million, as compared to an increase in provision of credit losses of $3 million for the quarter ended March 31, 2025. For the six months ended June 30, 2025, we recorded an increase in provision for credit losses of $8 million, as compared to an increase in provision of credit losses of $5 million for the six months ended June 30, 2024. The changes in provision for credit losses for the quarter and six months ended June 30, 2025, as compared to the quarter and six months ended March 31, 2025 and June 30, 2024, are primarily due to a deterioration in cashflows on certain investments.

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 interest rate swaps, swap futures, and swaptions during the period as well as sales, terminations and settlements of our swaps, swaptions, interest rate cap and U.S. Treasury futures.

The tables below show a summary of our net gains (losses) on derivative instruments