Company: CIMO
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001409493-25-000028
Chunk: 194

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-11-06
Form: 10-Q
Item: Item 8
Chunk 194
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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 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