Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 23

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 2
Chunk 23
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 shows our average borrowed funds, Economic interest expense, average cost of funds (inclusive of periodic interest on swaps and Swap futures), average one-month SOFR, average three-month SOFR and average one-month SOFR relative to average three-month SOFR.

 Average Debt BalanceEconomic Interest ExpenseAverage Cost of FundsAverage One-Month SOFRAverage Three-Month SOFRAverage One-Month SOFR Relative to Average Three-Month SOFR (Ratios have been annualized, dollars in thousands)For the Quarter Ended September 30, 2025$12,278,733 $138,338 4.50 %4.29 %4.05 %0.24 %For the Quarter Ended June 30, 2025$11,501,566 $130,220 4.50 %4.32 %4.30 %0.02 %For the Quarter Ended March 31, 2025$10,769,436 $117,262 4.40 %4.31 %4.30 %0.01 %For the Quarter Ended December 31, 2024$10,880,840 $121,997 4.48 %4.59 %4.50 %0.09 %For the Quarter Ended September 30, 2024$10,904,969 $122,054 4.48 %5.29 %5.24 %0.05 %

Average interest-bearing liabilities increased by $777 million for the quarter ended September 30, 2025, as compared to the quarter ended June 30, 2025. Economic interest expense increased by $8 million for the quarter ended September 30, 2025, as compared to the quarter ended June 30, 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 September 30, 2025, we recorded an increase in provision for credit losses of $3 million, as compared to an increase in provision of credit losses of $4 million for the quarter ended June 30, 2025. For the nine months ended September 30, 2025, we recorded an