Company: CIMO
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001628280-25-023813
Chunk: 179

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-05-08
Form: 10-Q
Item: Item 2
Chunk 179
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1 million for the quarter ended March 31, 2024. The changes in provision for credit losses for the quarter ended March 31, 2025 as compared to the quarter ended December 31, 2024 and March 31, 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 and Swap futures during the period as well as sales, terminations and settlements of our swaps, swaptions and U.S. Treasury futures.

The table below shows a summary of our net gains (losses) on derivative instruments, for the quarters ended March 31, 2025, December 31, 2024, and March 31, 2024, respectively.

57

For the Quarters ended March 31, 2025December 31, 2024March 31, 2024 (dollars in thousands)Periodic interest on derivatives, net$4,135 $23,780 $5,476 Realized gains (losses) on derivative instruments, net:Interest rate swaps— (17,317)— Swap futures— — — Treasury futures82 (4,223)— Swaptions— — — Interest Rate Cap— — — Total realized gains (losses) on derivative instruments, net82 (21,540)— Unrealized gains (losses) on derivative instruments, net:Interest rate swaps(3,870)4,224 3,679 Swap futures(240)— — Treasury futures(117)117 — Swaptions— (1,378)1,510 Interest Rate Cap(2,242)— — Total unrealized gains (losses) on derivative instruments, net:(6,469)2