Chimera Investment Corporation — Third Quarter 2026 Earnings Summary

Financial Performance:

• GAAP net income available to common shareholders was a loss of $194 million, or $(2.31) per diluted common share, compared to a loss of $22 million, or $(0.27) per diluted common share, in the prior year quarter.
• Earnings available for distribution (EAD) was $32 million, or $0.38 per adjusted diluted common share, compared to $30 million, or $0.37 per adjusted diluted common share, in the prior year quarter.
• GAAP book value per common share was $14.82.
• Economic return for the quarter was (13.98)%.
• Net interest income for the quarter was $71.2 million, up from $65.0 million in the prior year quarter.
• Interest income was $230.7 million, up from $209.1 million in the prior year quarter.
• Interest expense was $159.5 million, up from $144.1 million in the prior year quarter.
• Net unrealized losses on financial instruments at fair value were $391.0 million for the quarter.
• Net realized losses on sales of investments were $26.9 million for the quarter.
• Increase in provision for credit losses was $6.8 million for the quarter.
• Total assets were $16.7 billion as of September 30, 2026, compared to $15.8 billion as of December 31, 2025.
• Total liabilities were $14.5 billion as of September 30, 2026, compared to $13.2 billion as of December 31, 2025.
• Total stockholders' equity was $2.17 billion as of September 30, 2026, compared to $2.57 billion as of December 31, 2025.
• GAAP leverage at period-end was 6.5:1, compared to 5.1:1 at the end of 2025.
• Recourse GAAP leverage at period-end was 4.1:1, compared to 2.4:1 at the end of 2025.
• Cash and cash equivalents were $357.2 million as of September 30, 2026, compared to $278.6 million as of December 31, 2025.
• Secured financing agreements totaled $8.6 billion as of September 30, 2026, compared to $6.0 billion as of December 31, 2025.

Guidance and Future Outlook:

• No specific forward guidance or numerical future outlook was provided in the press release.
• Management stated a focus on disciplined capital allocation, maintaining strong liquidity, and leveraging the expanded platform to drive long-term shareholder value.
• The company noted it is executing on strategic priorities, including the successful launch of the Prism securitization.

Business Segments and Product Lines:

• Investment Portfolio Segment:
  • Repositioned the Agency RMBS portfolio toward higher coupon securities, with approximately 90% of specified pools now having coupons of 5% or higher.
  • Committed to purchase $797 million of loans to support the securitization program during the quarter, bringing year-to-date purchases to $1.1 billion.
  • Completed the inaugural $291 million Prism securitization backed by loans originated by HomeXpress subsequent to quarter end.
  • Net interest income for the segment was $66.5 million.
  • Net unrealized losses on financial instruments at fair value for the segment were $391.0 million.
  • Net realized losses on sales of investments for the segment were $26.9 million.
  • Net income available to common shareholders for the segment was a loss of $191.2 million.
• Residential Origination Segment:
  • Originated volume of $1.1 billion, up 27% versus the prior year period.
  • Reported a net loss of $2 million and EBTDA of $439 thousand for the quarter.
  • Product mix shifted: Consumer Non-QM represented 42%, Investor Loans 55%, and QM 3%.
  • The correspondent channel expanded to account for 17% of production in the quarter.
  • Net interest income for the segment was $4.7 million.
  • Net income available to common shareholders for the segment was a loss of $2.4 million.

Market and Competitive Landscape:

• Significant movements in interest rates and mortgage spreads impacted book value.
• Credit spread widening and interest rate volatility created headwinds for the quarter.
• The company maintained a strong liquidity position amid heightened market volatility.
• The company serves the U.S. residential real estate market through its Investment Portfolio and Residential Origination segments.

Risks and Challenges:

• The press release cites risks including changes in inflation, the yield curve, interest rates, and mortgage prepayment rates.
• Risks related to credit risk, including rates of default, delinquencies, and decreased recovery rates.
• Risks associated with the ability to obtain funding on favorable terms and access capital markets.
• Risks related to the ability to successfully integrate and realize benefits of acquisitions, including HomeXpress.
• Risks regarding the ability to originate or acquire quality loans at appropriate costs and sell them.
• Risks related to hedging strategy effectiveness and the ability to manage liquidity.
• Risks related to regulatory compliance, including Dodd-Frank Act and consumer lending regulations.
• Risks related to cyber-attacks and dependence on information technology.

Management Commentary and Tone:

• Phillip J. Kardis II, President and CEO, stated the third quarter presented a challenging market environment with significant credit spread widening and interest rate volatility putting pressure on book value.
• Despite headwinds, management expressed confidence in executing strategic priorities and maintaining disciplined capital allocation.
• The tone acknowledged market challenges while highlighting the successful launch of the Prism securitization and the disciplined approach to pricing in the origination segment.

Other Key Points:

• HomeXpress was acquired on October 1, 2025, and its standalone results are reflected in the Residential Origination segment for the quarter ended September 30, 2026.
• The company is a diversified, internally managed REIT.
• The company hosts a conference call and live audio webcast to discuss results on November 5, 2026.
• EAD is a non-GAAP measure used by management to evaluate performance and by the Board to consider common stock dividends.
• Tangible Common Equity was $1.05 billion as of September 30, 2026.
• The company has four series of preferred stock outstanding: Series A (8.00%), Series B (8.00%), Series C (7.75%), and Series D (8.00%).
• Dividends on preferred stock for the quarter were $21.4 million.