Company: CIMO
Filing Date: 2025-08-06
Form Type: 10-Q
Source: 0001628280-25-038345
Chunk: 179

Company: CHIMERA INVESTMENT CORP
Filing Date: 2025-08-06
Form: 10-Q
Item: Item 8
Chunk 179
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 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 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 %For the Quarter Ended June 30, 2024$10,741,156 $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