Chimera Investment Corporation

Second-quarter GAAP net loss was approximately $4 million. EAD was approximately $39 million, or $0.46 per share, versus a quarterly dividend of $0.45 that was covered by earnings. Book value per share declined 3.2% to $17.75, and economic return on GAAP book value was negative 0.8%. On a segment basis, economic net interest income in the investment portfolio was $66.3 million, annualized EAE return on average equity was 10.35%, and the investment portfolio’s yield/cost/spread were 5.9% / 4.3% / 1.6%. HomeXpress funded $1.1 billion of loans and produced $11.8 million of EBITDA, with annualized EBITDA ROE of 17.3% and net origination margin of 124 bps, up 10 bps from Q1. For balance sheet/liquidity, total leverage was 5.6:1, recourse leverage was 3.3:1, and total cash and unencumbered assets were $656 million. Management reiterated full-year EAD of at least $1.80 and said HomeXpress is on track to exceed $4 billion of loan origination volume in 2026, barring market events.

Phil Kardis framed the quarter around resilience, flexibility, and portfolio diversification rather than predicting rates. He said Chimera continued reducing lower-yielding assets, redeployed into more liquid and higher-yielding assets, and is now pivoting further into acquiring and securitizing mortgage loans from HomeXpress and third parties. His tone was constructive: despite volatility and a different-than-expected rate backdrop, he said the company is performing as expected and remains optimistic about the second half.

Subramaniam Viswanathan emphasized that the quarter was a normalized EAD quarter, with no material one-time benefit and EAD of $0.46 per share covering the dividend. He noted the first quarter’s $0.54 per share included $0.07 of one-time benefits, which would have left a comparable $0.47 run rate, and said the first half still supports the full-year dividend. He also highlighted book value pressure, higher GAAP leverage tied to resecuritization and a larger agency allocation, and liquidity of $656 million in cash and unencumbered assets.

Analysts focused on book value decline, whether mark-to-market book value had further moved quarter to date, and why earnings accretion from first-quarter portfolio actions was not more visible. Management said most book value volatility comes from securitized loans carried in fixed-rate, non-mark-to-market structures, and that quarter-to-date mark-to-market book value was down about 1.5% due to higher rates. Questions also centered on HomeXpress sensitivity to higher rates, nondelegated correspondent margins, and the first securitization; management said third-quarter production should rise, nondelegated correspondent margins are about 10 to 15 bps lower than wholesale but more efficient to process, and the first securitization is expected in late Q3 with the retain-vs-distribute decision still open.