Chimera Investment(CIM) - 2023 Q1 - Earnings Call Transcript

The slingshot changes we experienced during the quarter created some unforeseen challenges. The heightened rate of volatility and spread widening that occurred impacted the timing and the execution of the securitizations of the loans we committed to purchase early in the quarter. The extreme rate volatility also had a negative impact on our longer dated hedge instruments, resulting in approximately $34 million of realized losses on derivatives for the period. We engaged in these re-lever transactions for se ...