Company: CIMO
Filing Date: 2025-08-06
Form Type: 10-Q
Source: 0001628280-25-038345
Chunk: 180

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-08-06
Form: 10-Q
Item: Item 8
Chunk 180
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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, for the quarters ended June 30, 2025 and March 31, 2025, and six months ended June 30, 2025 and June 30, 2024, respectively.

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For the Quarters Ended June 30, 2025March 31, 2025 (dollars in thousands)Periodic interest on derivatives, net$5,067 $4,135 Realized gains (losses) on derivative instruments, net:Interest rate swaps(11,941)— Swap futures(390)— Treasury futures— 82 Swaptions(5,623)— Interest Rate Cap— — Total realized gains (losses) on derivative instruments, net(17,954)82 Unrealized gains (losses) on derivative instruments, net:Interest rate swaps(26)(3,870)Swap futures(400)(240)Treasury futures— (117)Swaptions— — Interest Rate Cap(2,128)(2,242)Total unrealized gains (losses) on derivative instruments, net:(2,554)(6,469)Total gains (losses) on derivative instruments, net$(15,441)