CHIMERA INVESTMENT CORP
For the period ended Mar 31, 2026. Filed May 7, 2026.
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A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.
Mar 31, 2026 · Filed May 7, 2026
CIM$7.31-7.7%Stored close · as of Nov 6, 2026
What changed in Management’s Discussion and Analysis?
Read the current filingPrevious report: 10-Q
Period ended 2025-09-30; filed 2025-11-06.
0001409493-25-000028
Item 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONSCurrent report: 10-Q
Period ended 2026-03-31; filed 2026-05-07.
0001409493-26-000037
Item 2. Management's Discussion and Analysis of Financial Condition and Results of OperationsThe baseline is this issuer’s latest earlier reporting period of the same form that was filed before the current report. A previous 10-Q is a different quarter, not a year-over-year comparison. Amendments are excluded.
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112 unchanged; 101 reworded; 120 added; 86 removed; 1 previous and 3 current paragraphs rearranged.
Tables are not compared: 22 previous and 26 current tables excluded. Dates, whitespace, punctuation and numbering changes are ignored; changes to financial figures remain significant.
A changed paragraph is not evidence that risk increased or decreased. An unchanged paragraph does not establish that risk stayed the same.
Added paragraphs (120)
Current report
•our ability to manage, maintain and expand our relationships with our clients, the independent mortgage brokers and bankers;
Current report
•the development, proliferation and use of artificial intelligence;
Current report
We are a diversified real estate company that invests in, originates, and manages primarily residential real estate assets. The assets we may invest in for ourselves and manage for others through our wholly-owned subsidiary Palisades Advisory Services, LLC (“PAS”) include residential mortgage loans, Non-Agency RMBS, Agency RMBS, RTLs, Investor Loans, MSRs and other real estate-related assets such as Agency CMBS, junior liens and HELOCs, equity appreciation rights, and reverse mortgages. Also, through our wholly-owned subsidiary, HomeXpress Mortgage Corp. (“HomeXpress”), we primarily originate Non-QM residential mortgage loans (both consumer loans and Investor Loans) as well as a smaller amount of QM residential mortgage loans.
Current report
In 2025, we reevaluated the composition of our reportable segments based on changes in the significance of certain business activities, including the acquisition of HomeXpress (the “HomeXpress Acquisition”) in October 2025, and the manner in which our management reviews operating results and allocates resources. As a result of this reevaluation, we now have two reportable segments: (i) Investment Portfolio, and (ii) Residential Origination. The Investment Portfolio segment consists of our investments and third-party advisory services activities. The Residential Origination segment consists of the stand-alone residential mortgage origination business of HomeXpress that originates Non-QM residential mortgage loans (both consumer loans and Investor Loans) and other Non-Agency and Agency mortgage loan products.
Current report
Fees earned from investment management, as well as third-party asset management and advisory services, are included in this segment.
Current report
Interest Rates, Inflation, Labor Markets, and Economic Activity
Current report
This year began on a relatively stable footing, supported by expectations of Federal Reserve rate cuts in the latter half of 2025 that reinforced confidence that inflation was moderating. Markets also grew more comfortable with the outlook on tariffs, as their potential inflationary impact appeared more contained. In March 2026, escalating tensions and conflicts involving the U.S. in the Middle East disrupted energy markets, driving a sharp increase in oil prices amid concerns over disruption to flows through the Strait of Hormuz. From late February through the end of March, crude oil prices rose significantly, reigniting concerns about inflationary pressures and the risk of a broader global economic slowdown.
Current report
The U.S. economy continued to demonstrate resilience, despite moderating job growth, with unemployment in the low-4% range, and inflation relatively contained. The Federal Reserve held its target range for the federal funds rate steady during the quarter, noting at its March meeting that the economic implications of developments in the Middle East remained uncertain. After beginning the year with strong momentum and rising to new highs, equity markets became more volatile in March, with volatility persisting through quarter-end.
Current report
Against this backdrop, interest rates largely reflected shifting economic and geopolitical dynamics. Following a period of relative stability in January and February, rates moved higher in March as rising energy prices renewed inflation concerns. For the quarter, the yield on the two-year U.S. Treasury increased by 32 basis points to 3.79%, while the 10-year U.S. Treasury yield rose 15 basis points to 4.32%. Interest rate volatility also picked up notably in March, reaching its highest levels since the tariff-driven uncertainty observed in spring 2025.
Current report
Mortgage rates declined through February, with the average 30-year fixed rate falling below 6% late in the month for the first time since 2022. Rates reversed course in March, however, as global uncertainty and rising inflation concerns pushed borrowing costs higher. According to Freddie Mac’s Primary Mortgage Market Survey, the average 30-year fixed rate increased from 6.15% to 6.46% over the course of the first quarter. The spread between mortgage rates and the 10-year Treasury yield, which had tightened earlier in the quarter, widened by 16 basis points to 216 basis points by quarter-end.
Current report
Home prices edged lower during the first quarter, extending the modest declines observed in the second half of 2025. The S&P CoreLogic Case-Shiller U.S. National Home Price NSA Index declined approximately 1.5% over the latter half of 2025 and into early 2026. Improved affordability, driven by slightly lower home prices and declines in mortgage rates, contributed to a 5.4% increase in the National Association of Realtors Housing Affordability Index, year-to-date through February.
Current report
Existing home sales remained subdued, hovering around a 4.0 million annualized pace during the first quarter, well below historical norms. Refinancing activity picked up meaningfully compared to the first quarter of 2025 as rates declined earlier in the period, though momentum slowed in March as rates rose. Despite the increase, refinance activity remained significantly below historical averages, in part because an estimated 69% of homeowners continue to hold mortgages with rates below 5%, limiting incentives to refinance.
Current report
The U.S. housing market continued to face a significant supply shortfall, with the U.S. Chamber of Commerce estimating a deficit of approximately 4.7 million homes. Demand continued to outpace new construction, while elevated building costs, along with restrictive permitting and zoning requirements, constrained development and delayed the delivery of new, more affordable housing supply.
Current report
First Quarter 2026 Business Highlights - Investment Portfolio Segment
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Asset Purchases
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Agency RMBS. During the first quarter, we purchased approximately $1.9 billion of Agency RMBS, deploying capital raised from legacy loan sales while simultaneously increasing our allocation to liquid securities. Of the total purchases, $608 million will settle in second quarter of 2026. These investments enable us to deploy capital in a relatively expedient manner upon raising funds through capital market transactions, asset divestitures, portfolio run-off, or other means and maintain liquidity for future investments or other strategic objectives, including business acquisitions.
Current report
Asset Sales
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RPL sales from called securitizations. As part of our ongoing portfolio management discipline, we routinely evaluate the economic and strategic benefits of exercising our redemption rights on sponsored securitizations. These rights provide a mechanism to generate liquidity by refinancing and/or selling the underlying loan collateral.
Current report
During the first quarter, we exercised these rights across eight securitizations, redeeming $1.1 billion par value of securitized debt. Upon exercising our call rights, we sold $1.2 billion of these loans to third parties and retained $287 million on our balance sheet.
Current report
Transaction-related costs totaled approximately $2 million, and we incurred an additional $9 million of basis costs related to servicing advances and MSRs associated with the sold loans. We also repaid $195 million of recourse funding obligations tied to retained bonds from these securitizations. The retained loan portfolio was financed through a warehouse facility.
Current report
The redemption of securitized debt at par (one deal was redeemed at 1% premium to par), resulted in a net book value loss of $43 million ($39 million of realized loss and $4 million of unrealized market value loss). Including this loss, along with mark-to-market changes on the loan portfolio prior to sale and transaction-related expenses, the overall impact to book value for the quarter was a reduction of approximately $72 million.
Current report
Net proceeds received from the transactions were in excess of $195 million. The breakeven rate (cost of capital) for the cash take out from these transactions was approximately 7.7%. As noted above, a portion of the cash received was deployed immediately into accretive Agency RMBS securities, increasing our liquidity position.
Current report
Securitization Activity
Current report
There was no new securitization activity during the first quarter. However, the Investment Portfolio segment committed to purchasing $187 million of newly originated Non-QM loans and Investor Loans from our subsidiary, HomeXpress, with settlement expected in the second quarter of 2026.
Current report
We intend to establish a securitization program for Non-QM loans and Investor Loans, providing an additional source of liquidity and capital for HomeXpress originations. We expect to continue acquiring loans and plan to launch the program once a sufficient balance has been aggregated, subject to market conditions. The inaugural securitization is currently expected to close in the second or third quarter of 2026.
Current report
In addition, we entered into $170 million of notional interest rate swaps during the quarter to help mitigate exposure to interest rate volatility on these loans.
Current report
At quarter-end, total recourse financing exposure for the investment portfolio was $6.4 billion, with $4.4 billion attributable to Agency RMBS and $1.9 billion attributable to residential credit investments. We continue to evaluate opportunities to finance retained securities from securitizations using longer-term, limited recourse or, where appropriate, non-mark-to-market financing structures. Currently, $1.2 billion, or 62%, of our residential credit-related recourse financings are in these types of facilities.
Current report
Hedging Activity
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During the first quarter, we monetized two $300 million interest rate swaptions with one having a 3.40% pay fixed rate and January 2027 expiration, and the other having a 3.17% pay fixed rate and February 2027 expiration, for an aggregate realized gain of $2 million. We also exited a $500 million interest rate cap with a 3.95% strike rate maturing in February 2027.
Current report
Hedges for Loan Commitment from HomeXpress. During the quarter, we entered into two swap contracts comprising $170 million of notional, maturing in March 2028 and March 2031, with a weighted average 3.41% pay-fixed interest rate to help mitigate exposure to interest rate volatility on these loans. Our hedging techniques are designed to mitigate interest rate risk but do not offset credit spread risk.
Current report
Mortgage TBA Derivatives. As part of our ongoing risk management strategy, we entered into $500 million of short TBA securities in early March as geopolitical uncertainty reduced our risk tolerance. We entered into another $966 million of short TBA securities to hedge Agency MBS purchases during the quarter. After raising liquidity through loan sale activity in late March, we exited the $500 million short TBA position for a realized gain of $8 million.
Current report
Through the Palisades acquisition in December 2024 (the “Palisades Acquisition”), we started earning investment management and advisory fees. In addition, PAS was hired to provide asset management services for three securitizations issued by Chimera and we continue to provide services to unaffiliated investors and private credit funds. Palisades’ fee-based income (both transaction and advisory fees) contributed $7 million in revenue during the first quarter of 2026.
Current report
First Quarter 2026 Business Highlights - Residential Origination Segment
Current report
HomeXpress’ loan origination strategy is focused on providing consistent high-quality service to its network of independent mortgage brokers and bankers and having an agile and responsive approach to shifts in market demand for its loan products, institutional investor appetite and regulatory environments. We expect continued growth in loan originations to come from further penetration of HomeXpress’ existing independent mortgage brokers network and the development of new relationships with them and non-delegated correspondent lenders. Our business strategy is also focused on driving loan origination process and operational efficiencies through our customized technology and risk assessment framework so that we can control and enhance the cost of originating our loans. HomeXpress currently sells all the loans it originates on a servicing-released basis to third-party institutional investors for cash premiums. HomeXpress uses warehouse financing to fund originated loans prior to sale.
Current report
During the first quarter of 2026, HomeXpress originated residential mortgage loans as detailed by the product and channel breakdown below. The weighted average interest rate, FICO score and LTV on all these loans were 6.96%, 742 and 70.8%, respectively.
Current report
The UPB of mortgage loans originated across channels are as follows:
Current report
Secured Financing Activity
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HomeXpress maintained a sufficient overall liquidity position during the first quarter of 2026 with its cash balances and seven warehouse lines of credit. HomeXpress had a total available capacity of $1.5 billion in warehouse lines as of March 31, 2026, which are all priced based on the 30-day SOFR plus a weighted pricing spread of approximately 193 basis points. As of March 31, 2026, HomeXpress held $685 million on UPB on the balance sheet that was financed with $629 million of advances from the warehouse lines of credit, with an average advance rate of 93%.
Current report
Fair Value
Current report
Prior to funding a loan, HomeXpress typically enters into an IRLC with the prospective borrower. These IRLCs are accounted for as derivatives and are valued based on market conditions, loan characteristics, estimated remaining direct expenses, and subject to the anticipated loan funding probability (Pull-through Rate). As of March 31, 2026, the fair value of HomeXpress’ IRLCs was a $4 million asset. Upon funding of a locked loan, the IRLC is derecognized and the loan is recorded as LHFS at fair value, with origination fees recognized in interest income and direct loan origination costs expensed as incurred. As of March 31, 2026, the total estimated fair value of HomeXpress’ LHFS in excess of principal balance was $16 million. The table below shows the effect on fair value of the IRLC based on a change in the Pull-through Rate:
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Removed paragraphs (86)
Previous report
In this Quarterly Report on Form 10-Q, references to “we,” “us,” “our” or “the Company” refer to Chimera Investment Corporation and its subsidiaries unless specifically stated otherwise or the context otherwise indicates. The following defines certain of the commonly used terms in this Quarterly Report on Form 10-Q:
Previous report
•Agency refers to a federally chartered corporation, such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or an agency of the U.S. Government, such as the Government National Mortgage Association (“Ginnie Mae”);
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•GSE refers to a government-sponsored enterprise, such as Fannie Mae, Freddie Mac and Ginnie Mae;
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•MBS refers to mortgage-backed securities secured by pools of residential or commercial mortgage loans;
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•Agency MBS refers to MBS that are issued or guaranteed by an Agency and includes Agency RMBS and Agency CMBS collectively;
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•RMBS refers to mortgage-backed securities secured by pools of residential mortgage loans;
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•Pass-through refers to Agency-issued pass-through RMBS collateralized primarily by pools of fixed-rate single-family mortgage loans;
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•CMBS refers to mortgage-backed securities secured by pools of commercial mortgage loans;
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•Agency RMBS and Agency CMBS refer to MBS that are secured by pools of residential and commercial mortgage loans, respectively, and are issued or guaranteed by an Agency;
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•Agency CMO refers to collateralized mortgage obligations guaranteed by an Agency and are included in Agency RMBS;
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•Non-Agency RMBS refers to residential MBS that are not guaranteed by any agency of the U.S. Government or any Agency;
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•Non-MTM refers to non-mark-to-market facilities, which are financial arrangements that do not require the regular revaluation of assets based on current market prices, often used for loans or securities where the value is assessed based on other criteria;
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•RTLs refer to residential transition loans;
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•ABS refers to asset-backed securities;
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•RPLs refer to re-performing loans;
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•IO refers to Interest-only securities;
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•MSRs refers to mortgage servicing rights;
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•QM refers to qualified mortgages that are designed for borrowers who meet traditional lending criteria and comply with regulatory standards for safety and affordability; and
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We are a publicly traded REIT, whose principal business objective is to provide attractive risk-adjusted returns and distributable income through investment performance linked to mortgage credit fundamentals. Through our mortgage lending, investment management, and advisory services platforms, we operate as a fully integrated mortgage business that originates, manages, and invests in a diversified range of mortgage assets. We invest, directly or indirectly, generally on a levered basis across a spectrum of mortgage assets, including residential mortgage loans, Non-Agency RMBS, Agency RMBS, Agency CMBS, MSRs, business purpose and investor loans, including RTLs, and other real estate-related assets. Through our indirect wholly-owned subsidiary, HomeXpress Mortgage Corp (“HomeXpress”), we also originate consumer Non-QM, investor business purpose, and other non-Agency and Agency mortgage loan products.
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In addition, we took a number of strategic actions during the quarter designed to continue expanding our platform capabilities and repositioning the investment portfolio consistent with our long-term objectives, including:
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◦completed the acquisition of HomeXpress on October 1, 2025 for $240 million in cash, comprised of an estimated adjusted book value of $120 million (subject to certain post-closing adjustments) and a premium of $120 million, plus the issuance of 2,077,151 shares of our common stock;
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◦issued and closed on $120 million of 8.875% senior notes due 2030 (including $5 million from the exercise of an over-allotment option) in mid-September;
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◦purchased $1.2 billion (with $187 million settling in the fourth quarter) and sold $911 million in Agency RMBS, resulting in a net increase of $275 million for the quarter;
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◦sold $261 million of retained bonds related to our securitizations ($237 million RPL and $25 million Non-QM and investor loans) for $231 million in proceeds, generating $72 million in net liquidity after secured financing repayments, these bonds were converted into securitized debt;
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◦sold $104 million of Non-Agency RMBS subordinate securities, $88 million of Non-Agency senior securities and $164 million of Agency CMBS IO positions for approximately $134 million in total gross proceeds, generating $44 million in net liquidity after secured financing repayments;
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◦generated $9 million in revenue attributable to investment management and third-party advisory services;
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◦closed and acquired $6.5 billion of Fannie Mae mortgage servicing rights through a third-party servicing partnership; and
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◦added $1.6 billion in swaps with varying tenors as part of the hedging framework associated with the Agency RMBS portfolio, and added $600 million in swaptions with 18-month expiries and 2-year underlying swap tenors as part of the hedging framework.
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Interest Rates
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Early in the third quarter of 2025, global markets continued to navigate a number of uncertainties. The U.S. administration continued its tariff negotiations, reaching agreements with Japan and the European Union and extending deadlines with China and India to allow further time to reach an agreement. After quarter end, the current administration imposed tariffs on certain distinct industries, including pharmaceutical, wood products and furniture, and heavy-duty trucks; trade tensions with certain countries and overall uncertainty on the ultimate path forward remain elevated.
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On the economic front, inflation increased slightly during the third quarter, reaching 3.3% in September, and the labor market began to show signs of stress, making the Federal Reserve’s pursuit of its dual mandate for price stability and maximum employment a challenge. After holding its target Fed funds range steady between 4.25% and 4.50% in July, the Federal Reserve acted to reduce its target Fed funds rate by a quarter-point in September, noting that “uncertainty about the economic outlook remains elevated” and “downside risks to employment have risen.” Further, the Federal Reserve maintained its policy to reduce its portfolio holdings under monthly caps of $5 billion for U.S. Treasuries and $35 billion for Agency RMBS. Overall, markets were resilient despite the disruptions as major indices hit record highs and interest rate volatility eased from the peak in the second quarter.
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Interest rates declined throughout much of the third quarter along the yield curve as markets adjusted to expectations for rate cuts and economic uncertainty increased alongside rising unemployment and higher inflation. The yield on two-year Treasury notes fell by 11 basis points to 3.61%, while the yield on ten-year Treasury notes dropped by 8 basis points to 4.15%. Meanwhile, interest rate volatility eased to its lowest level since early 2022.
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Credit Spreads
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Credit markets reflected a stable-to-positive risk sentiment in the third quarter. Nominal MBS spreads remained flat as volatility subsided and demand stabilized, after the initial tightening of 21 basis points earlier in the quarter. Corporate spreads tightened by 9 basis points for investment grade and 23 basis points for high yield. In securitized products, credit spreads tightened moderately, supported by strong collateral performance and broad investor demand, as year-to-date residential credit issuance volume surpassed full-year 2024 levels.
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Residential credit fundamentals remained robust, underpinned by low defaults, continued strength in home prices, and historically high homeowner equity, sustaining strong performance and investor demand.
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Mortgage rates fell in the third quarter, with the Freddie Mac 30-year survey rate decreasing from 6.77% to 6.30%. The spread between 30-year mortgage rates and the ten-year Treasury yield narrowed to 215 basis points by quarter end, down from 254 basis points at the end of the second quarter. Economic factors, including inflation concerns and a weaker employment environment, contributed to the decline in mortgage rates.
Previous report
After rising 2.57% in the first half of 2025, the S&P CoreLogic Case-Shiller U.S. National Home Price Index fell 0.2% and 0.3% in July and August, respectively. The National Association of Retailers (“NAR”) Housing Affordability Index improved modestly in the third quarter as housing prices and mortgage rates both declined. Existing home sales in the U.S. saw a 1.5% month-over-month increase in September 2025 to a seasonally adjusted annual rate of 4.06 million, according to the NAR. This pace remains well below historical averages and lower than at the start of the year. Further, the Mortgage Bankers Association’s Refinance Index remained relatively low for most of the third quarter before rising near quarter end, which, despite reaching its highest level since March 2022, was significantly below historical norms attributable in part to more than 70.4% of current homeowners estimated to hold mortgages with interest rates below 5%, still well below current rates.
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The U.S. continued to face a significant housing shortage, estimated at 5 million homes by the U.S. Chamber of Commerce, as demand has exceeded construction, particularly in high growth markets. Further, higher construction costs in the wake of the recent inflationary environment have constrained new development. In addition, increasingly burdensome permitting and zoning regulations further contribute to fewer affordable new homes and delays in delivering new homes to the market.
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Non-QM Origination markets
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The Non-QM origination markets consist of mortgage loans that do not qualify under the standard guidelines established by the GSEs. In 2024, over $46 billion of Non-QM mortgage originations were securitized and in 2025, through September, over $57 billion have been securitized and on pace to exceed $70 billion by year end.
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Previous wording
•changes in our industry, the general economy or geopolitical conditions (such as the recent tensions in international trade and impact of prolonged federal government shutdown);
Current wording
•changes in our industry, the general economy or geopolitical conditions, including the ongoing conflicts involving the U.S. in the Middle East;
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•our ability to successfully integrate and realize the anticipated benefits of any acquisitions, including theacquisition of The Palisades Group in 2024 and the acquisition of HomeXpress;
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•our ability to successfully integrate and realize the anticipated benefits of any acquisitions, including the acquisition of HomeXpress;
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•our ability to compete with competitors and ability to source target assets at attractive prices;
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•our ability to compete with competitors and source target assets at attractive prices;
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As of September 30, 2025, based on the fair value of our interest earning assets, approximately 73% of our investment portfolio was allocated to residential mortgage loans, 21% to Agency RMBS, and 6% to Non-Agency RMBS. As of December 31, 2024, based on the fair value of our interest earning assets, approximately 88% of our investment portfolio was allocated to residential mortgage loans, 4% to Agency RMBS, and 8% to Non-Agency RMBS.
Current wording
As of March 31, 2026, based on the fair value of our interest-earning assets, approximately 58% of our investment portfolio was allocated to residential mortgage loans, 36.7% to Agency MBS, 5.3% to Non-Agency RMBS and less than 1% to interests in MSR financing receivables (excluding LHFS by HomeXpress).
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We finance our investments using a variety of channels, including securitizations, warehouse facilities, repurchase agreements and other capital market activities which are used for liquidity management as well as to enhance our potential return on equity. We manage interest rate risk using hedging instruments such as interest rate swaps, swaptions, caps, options, and futures contracts.
Current wording
We utilize a variety of channels, including securitizations, warehouse facilities, repurchase agreements and other capital market activities to finance our investments, manage liquidity, improve capital efficiency, support the implementation of our investment strategies, as well as enhance our return on equity. We manage interest rate risk using hedging instruments such as interest rate swaps, swap futures, treasury futures, swaptions, and interest rate caps. We also use TBA securities to hedge certain risks within our Agency portfolio.
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Our investment strategy is intended to be durable across a variety of economic, rate, and credit environments. We continue to approach portfolio management in a disciplined manner and expect to operate in an environment characterized by ongoing uncertainty related to global trade dynamics, fiscal and monetary policy, inflation, labor market conditions, economic growth and geopolitical tensions. Consistent with that approach, we were tactical with respect to raising liquidity this quarter to fund the acquisition of HomeXpress (the “HomeXpress Acquisition”) that closed on October 1, 2025. We chose to raise liquidity by staggered sales of select assets, some of which we sourced from our Agency RMBS liquidity allocation and the other from what we viewed to be fully priced Non-Agency RMBS positions. Separately, we also issued unsecured debt.
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Our investment strategy is intended to be effective across a variety of economic, rate, and credit environments. We seek to approach portfolio management in a disciplined manner and expect to operate in an environment characterized by ongoing uncertainty related to global trade dynamics, fiscal and monetary policy, inflation, labor market conditions, economic growth, and domestic and geopolitical tensions.
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The HomeXpress Acquisition represents a strategically significant milestone and broadens our business capabilities. We expect that this acquisition will provide us with direct exposure to the growing Non-QM mortgage loan origination market and enhance the diversification of our earnings sources beyond our core investment activities.
Current wording
We closed the HomeXpress Acquisition on October 1, 2025. The HomeXpress Acquisition represents a strategically significant milestone and broadens our business capabilities. We expect that this acquisition will provide us with direct exposure to the growing Non-QM residential mortgage loans (both consumer loans and Investor Loans) origination market and enhance the diversification of our earnings sources beyond our core investment activities. As of March 31, 2026, LHFS by HomeXpress constituted approximately 4.7% of our interest earning assets based on fair value.
Previous wording
HomeXpress is a specialty wholesale mortgage lender focused primarily on providing Non-QM solutions to the residential housing market on a national basis. Non-QM loans are designed for borrowers who do not meet traditional qualified mortgage standards and typically carry higher interest rates and offer more flexible solutions for potential borrowers. HomeXpress is a leading originator of Non-QM residential mortgage loans and does so substantially on a wholesale basis through independent mortgage brokers. HomeXpress currently sells all the loans it originates on a servicing-released basis to third-party institutional investors for cash premiums. Warehouse financing is used by HomeXpress to fund these loans from origination through sale. Additional loan origination growth for HomeXpress is expected to be realized from further development of its existing wholesale origination network and also from the growth in its recent implementation of a correspondent channel. Our strategy with respect to HomeXpress emphasizes disciplined underwriting, strong secondary market execution, cost efficiency, and efficient capital utilization.
Current wording
HomeXpress is a specialty mortgage lender focused primarily on providing first lien, consumer Non-QM loans, and Investor Loans solutions to the residential housing market on a national scale through mortgage brokers and bankers. As of March 31, 2026, HomeXpress had approximately 6,100 approved wholesale brokers and non-delegated correspondent bankers. Non-QM loans are designed for borrowers who do not meet traditional qualified mortgage standards and typically carry higher interest rates and offer more flexible solutions. Investor Loans are secured by first liens on non-owner occupied 1–8 unit investment rental properties. HomeXpress is a leading originator of these residential mortgage loans and does so substantially on a wholesale basis through independent mortgage brokers and bankers. In the first quarter of 2026, HomeXpress sold all the loans it originated on a servicing-released basis to third-party institutional investors. During the first quarter of 2026, HomeXpress sold loans (scheduled to settle in the second quarter) to our Investment Portfolio segment under our strategy of sponsoring securitizations of Non-QM loans using HomeXpress collateral. HomeXpress uses warehouse financing to fund loans from origination through sale. While the residential real estate market and associated mortgage loan origination volumes are heavily influenced by economic factors such as interest rates, housing prices and employment conditions, additional loan origination growth for HomeXpress is expected to be realized from further development of its existing wholesale origination network, as well as the growth of its recently implemented non-delegated correspondent channel. Additional growth is also expected from the expansion of its FHA, VA and conventional Agency-conforming channel and the implementation of delegated correspondent lending platform.
Previous wording
We also sold $104 million of Non-Agency RMBS subordinate securities, $88 million of Non-Agency RMBS senior securities and $164 million of Agency CMBS IO positions during this quarter. Net liquidity raised after payment of principal on a secured financing facility that held these securities as collateral was $44 million. These sales generated a realized loss of $8.3 million during the quarter.
Current wording
Non-Agency securities. In the first quarter, we also sold $24 million of Non-Agency RMBS subordinate securities. Net liquidity raised, after payment of principal on a secured financing facility that held these securities as collateral, was $6.5 million. These sales generated a realized loss of $5 million during the first quarter.
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During the third quarter of 2025, our secured financing costs overall declined by 27 basis points, and our secured financing agreements (recourse liabilities) increased by a net $314 million reflecting the deployment of leverage to support our Agency
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During the first quarter of 2026, our overall secured financing costs declined by 37 basis points. Secured financing agreements (recourse liabilities) increased by a net $956 million, primarily reflecting the use of leverage to support our Agency RMBS investments. Agency RMBS financing increased toward quarter-end, Non-Agency RMBS and Loan financing declined due to redemption of certain securitized bonds, paydowns and asset sales.
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As of September 30, 2025, we had no outstanding warehouse financing exposure (recourse liabilities) backed by residential mortgage loans, other than a $114 million facility related to business purpose loans.
Current wording
As previously noted, loans retained from the securitization unwind were financed through an existing warehouse facility. As of March 31, 2026, within the Investment Portfolio segment, we had $224 million of warehouse financing exposure (recourse liabilities) backed by residential mortgage loans and a $49 million facility related to RTLs.
Previous wording
Residential Credit Portfolio. We continued to maintain our strategy of using interest rate derivatives to mitigate the impact of interest rates on our future financing costs and protect against the potential for higher interest rates eroding our earnings and dividend paying ability. Our hedging strategy in our residential credit portfolio seeks to limit the impact of higher interest rates, while maintaining optionality in the event interest rates decline in the future. During the quarter, we entered into two swaptions, each with $300 million notional amounts.
Current wording
Residential Credit Portfolio. We continued to use derivatives to mitigate the impact of interest rates on our future financing costs and protect against the potential for higher interest rates eroding our earnings and dividend-paying ability. Our hedging strategy for the residential credit portfolio seeks to limit the impact of higher short-term interest rates, while maintaining optionality in the event interest rates decline in the future.
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As of September 30, 2025, we maintained open interest rate hedge positions attributable to the residential credit portfolio that included: (i) a $500 million 3.45% pay-fixed interest rate swap maturing in January 2026, (ii) a $1 billion interest rate cap with a strike rate of 3.95% maturing in February 2027, (iii) $50 million 4.05% par rate equivalent pay-fixed two-year Eris swap futures maturing in March 2027, (iv) a $300 million two-year 3.40% pay fixed rate swaption that expires in January 2027, and (v) a $300 million two-year 3.17% pay fixed rate swaption that expires in February 2027.
Current wording
As of March 31, 2026, we maintained open interest rate hedge positions attributable to the residential credit portfolio that included: (i) a $500 million interest rate cap with a strike rate of 3.95% maturing in February 2027, (ii) a $500 million interest rate cap with a strike rate of 3.00% maturing in January 2028, (iii) a $600 million interest rate cap with a strike rate of 3.30% maturing in March 2028, and (iv) $50 million 4.05% par rate equivalent pay-fixed two-year Eris swap futures maturing in March 2027.
Previous wording
Agency RMBS Portfolio. Interest rate swaps and swaptions are valuable tools for managing the interest rate and prepayment risks associated with levered Agency RMBS. By strategically using these derivatives, we seek to mitigate these risks, stabilize cash flows, and potentially enhance the overall risk-adjusted returns of the Agency RMBS portfolio. During the quarter, we executed a variety of interest rate derivative transactions across a range of tenors, including $1.0 billion in pay-fixed interest rate swaps, $575 million in pay-fixed interest rate swaps with cancellable features, and $655 million in ERIS swap futures. We also closed out interest rate swaps with a range of maturities and underlying swap tenors representing notional balances of $1.7 billion that resulted in net realized gain of $2 million.
Current wording
Agency RMBS Portfolio. Interest rate swaps and swaptions are valuable tools for managing the interest rate and prepayment risks associated with levered Agency RMBS. By strategically using these derivatives, we seek to mitigate these risks, stabilize cash flows, and potentially enhance the overall risk-adjusted returns of the Agency RMBS portfolio. During the quarter, we executed a variety of interest rate derivative transactions across a range of tenors, including $1.3 billion in pay-fixed interest rate swaps. We also closed out interest rate swaps with a range of maturities and underlying swap tenors representing notional balances of $407 million that resulted in net realized loss of $609 thousand.
Previous wording
As of September 30, 2025, we maintained open interest rate hedge positions attributable to the Agency RMBS portfolio that included: (i) $1.1 billion 3.47% average pay-fixed interest rate swaps with varying maturities, (ii) $575 million interest rate swaps with cancellable features with average pay-fixed rate of 4.16% with maturities in July 2032 and July 2035, (iii) $60 million 3.87% par rate equivalent pay-fixed ten-year Eris swap futures maturing in June 2035, $230 million 3.60% par rate equivalent pay-fixed five-year Eris swap futures maturing in June 2030 and $365 million 3.69% par rate equivalent pay-fixed two-year Eris swap futures maturing in June 2027.
Current wording
As of March 31, 2026, we maintained open interest rate hedge positions attributable to the Agency RMBS portfolio that included: (i) $3.4 billion 3.56% average pay-fixed interest rate swaps with varying maturities, (ii) $60 million 3.87% par rate equivalent pay-fixed ten-year Eris swap futures maturing in June 2035, and (iii) a $230 million 3.60% par rate equivalent pay-fixed five-year Eris swap futures maturing in June 2030.
Previous wording
Amortization of intangibles and depreciation expenses
Current wording
For the first quarter of 2026, HomeXpress reported net income of $8 million. This was derived from gain on origination and sale of loans, net of approximately $21 million, net interest income of $4 million, total operating expenses of approximately $14 million, and amortization of intangibles and depreciation expense of approximately $3 million. Net income, excluding amortization of intangibles and depreciation and income tax expense was $11 million in the first quarter, which represents 130 basis points of HomeXpress’ loan origination volume for the quarter.
Previous wording
The table below presents our net income (loss) on a GAAP basis for the quarters ended September 30, 2025 and June 30, 2025, and the nine months ended September 30, 2025 and September 30, 2024.
Current wording
The table below presents our net income on a GAAP basis for the quarters ended March 31, 2026, December 31, 2025, and March 31, 2025.
Previous wording
(1) Includes interest income of consolidated VIEs of $137,597 and $141,818 for the quarters ended September 30, 2025 and June 30, 2025 respectively, and $423,817 and $286,220 for the nine months ended September 30, 2025 and 2024, respectively.
Current wording
(1) Includes interest income of consolidated VIEs of $129,069 and $144,402 for the quarters ended March 31, 2026 and 2025 respectively.
Previous wording
(2) Includes interest expense of consolidated VIEs of $70,387, and $73,038 for the quarters ended September 30, 2025 and June 30, 2025 respectively, and $213,076 and $142,690 for the nine months ended September 30, 2025 and 2024, respectively.
Current wording
(2) Includes interest expense of consolidated VIEs of $63,879 and $69,651 for the quarters ended March 31, 2026 and 2025, respectively.
Previous wording
Results of Operations for the quarters ended September 30, 2025 and June 30, 2025, and for the nine months ended September 30, 2025 and September 30, 2024.
Current wording
Results of Operations for the Quarters Ended March 31, 2026, December 31, 2025 and March 31, 2025.
Previous wording
Our primary source of income is interest income earned on our assets, net of interest expense paid on our financing liabilities, and investment and asset management fees earned through our investment management and advisory business.
Current wording
The primary source of income for our Investment Portfolio segment is interest income earned on our assets, net of interest expense paid on our financing liabilities, and investment and asset management fees earned through our investment management and advisory business.
Previous wording
For the quarter ended September 30, 2025, our net loss available to common shareholders was $22 million, or $(0.27) per average basic common share, as compared to a net income available to common shareholders of $14 million, or $0.17 per average basic common share for the quarter ended June 30, 2025. The net loss available to common shareholders for the quarter ended September 30, 2025 was primarily driven by a decrease in unrealized gains on financial instruments at fair value of $44 million, an increase in transaction expenses of $10 million related to the HomeXpress Acquisition, and an increase in compensation and benefits of $2 million related to severance payments made during the quarter, partially offset by a decrease in net loss on derivatives of $15 million and increase in net realized gains on sales of investments of $4 million. During the quarter ended September 30, 2025, we had net interest income of $65 million and investment management and advisory fees of $9 million, offset in part by unrealized losses on financial instruments at fair value of $37 million, operating expenses of $39 million, and preferred stock dividend of $21 million.
Current wording
For the quarter ended March 31, 2026, our net loss available to common shareholders was $65 million, or $(0.78) per average basic common share, compared to a net income of $7 million, or $0.08 per average basic common share for the quarter ended December 31, 2025. The decrease of $72 million in net income available to common shareholders for the quarter ended March 31, 2026, as compared to the quarter ended December 31, 2025, was primarily driven by an increase in losses on extinguishment of debt of $39 million, an increase in net unrealized losses on financial instruments at fair value of $20 million, and an increase in net realized losses on sales of investment of $17 million. These changes were driven by our portfolio optimization efforts and mark-to-market effects of spread widening on our investments. Additionally, our total other expenses increased by $16 million due to an increase in compensation and benefits of $9 million driven by higher bonus accrual and stock compensation acceleration, and an increase in amortization of intangibles and depreciation of $5 million related to the impairment of certain asset management contracts. The decrease in net income available to shareholders was offset by an increase in realized gains on derivatives of $20 million and a decrease in interest expense of $10 million.
Previous wording
For the nine months ended September 30, 2025, our net income available to common shareholders was $138 million, or $1.69 per average basic common share, compared to a net income of $259 million, or $3.20 per average basic common share for the nine months ended September 30, 2024. The decrease in net income available to common shareholders for the nine months ended September 30, 2025, as compared to the nine months ended September 30, 2024, was primarily driven by a decrease in net unrealized gains on financial instruments at fair value of $93 million, an increase on net losses on derivatives of $18 million, and increases to compensation and benefits of $15 million due to an increase in the overall employee headcount and additional compensation expense related to the Palisades Acquisition, and transaction expenses of $14 million related to a combination of the HomeXpress Acquisition and higher securitization activity. This was partially offset by an increase in investment management and advisory fees of $26 million.
Current wording
For the quarter ended March 31, 2026, our net loss available to common shareholders was $65 million, or $(0.78) per average basic common share, compared to a net income of $146 million, or $1.79 per average basic common share for the quarter ended March 31, 2025. The decrease of $211 million in net income available to common shareholders for the quarter ended March 31, 2026, as compared to the quarter ended March 31, 2025, was primarily driven by a decrease in net unrealized gains on financial instruments at fair value of $166 million, a decrease in gains on extinguishment of debt of $41 million, net realized losses of $40 million, and an increase to compensation and benefits of $14 million due to the inclusion of staffing costs and rising headcounts from the HomeXpress Acquisition. These decreases in net income available to common shareholders were offset by an increase in net unrealized gains on derivatives of $25 million, an increase in net interest income of $6 million, and decrease in transaction expenses of $6 million, and the addition of gain on origination and sale of loans, net, of $21 million attributable to HomeXpress operations which were not a part of our results of operations for the quarter ended March 31, 2025.
Previous wording
Interest income increased by $32 million, or 5.7%, to $601 million for the nine months ended September 30, 2025 as compared to $569 million, for the nine months ended September 30, 2024. This increase was primarily driven by our Agency CMO and Agency Pass-through purchases during the period, resulting in an increase in interest income on our Agency RMBS portfolio of $48 million as compared to the nine months ended September 30, 2024. The increase in interest income is offset by decreases in income on our Non-agency RMBS and Loans held for investment portfolios of $5 million and $10 million, respectively, due to asset sales and paydowns during the year.
Current wording
Interest income increased by $29 million, or 15.0%, to $219 million for the quarter ended March 31, 2026 as compared to $191 million for the quarter ended March 31, 2025. This increase was primarily driven by our Agency Pass-through purchases during the period, resulting in an increase in interest income on our Agency RMBS portfolio of $37 million as compared to the three months ended March 31, 2025. The increase was also attributable to interest income of $14 million from LHFS related to our Residential Origination segment and $2 million related to our investment in MSRs which were not part of our operations during the prior year. The increase in interest income was offset by decreases in income on our Non-agency RMBS and Loans held for investment portfolios of $4 million and $19 million, respectively, due to asset sales and paydowns during the quarter.
Previous wording
The increase in interest expense was offset by a decrease in our interest expense on secured financing agreements collateralized by Non-Agency RMBS of $8 million for the nine months ended September 30, 2025, as compared to the nine months ended September 30, 2024, due to a reduction in our average secured financing agreements collateralized by Non-Agency RMBS through asset sales and paydowns. Additionally, our interest expense on Securitized debt decreased by $2 million due to a reduction in our average securitized debt balance of $530 million during the nine months ended September 30, 2025, as compared to the nine months ended September 30, 2024.
Current wording
Interest expense decreased by $10 million, or 6.4%, to $144 million for the quarter ended March 31, 2026, as compared to $154 million for the quarter ended December 31, 2025. The decrease was driven by a reduction in our average securitized debt balance of $556 million, as we called eight securitizations which results in a decrease of $7 million in interest expense on Securitized debt, collateralized by loans during the three months ended March 31, 2026, as compared to the three months ended December 31, 2025. The interest expense on secured financing agreements collateralized by Loans held for investments decreased by $2 million due to lower average loan balances resulting from our assets sales in the first quarter of 2026.
Previous wording
September 30, 2025, the interest expense on secured financing agreements collateralized by Agency RMBS increased by $12 million due to higher balances.
Current wording
Interest expense increased by $23 million, or 18.9%, to $144 million for the quarter ended March 31, 2026, as compared to $121 million for the quarter ended March 31, 2025. This increase was primarily driven by an increase in our borrowings under secured financing agreements collateralized by an Agency RMBS balance of $3.3 billion to finance the Agency RMBS purchases during the first quarter. During the quarter ended March 31, 2026, the interest expense on secured financing agreements collateralized by Agency RMBS increased by $25 million due to higher balances. The increase was also driven by the additional interest expense of $10 million on warehouse financing used by HomeXpress to fund our loans from origination through sale. These increases were partially offset by a decrease in our average securitized debt balance of $1.0 billion, as we called eight securitizations, resulting in a decrease of $6 million in interest expense on securitized debt during the quarter ended March 31, 2026, as compared to the quarter ended March 31, 2025.
Previous wording
Our Economic net interest income is a non-GAAP financial measure that equals GAAP net interest income adjusted for net periodic interest on derivatives and interest income from investment in MSR financing receivables, and excludes interest earned on cash. For the purpose of computing economic net interest income and ratios relating to cost of funds measures throughout this section, interest expense includes net payments on our derivatives, which is presented as a part of Net gains (losses) on derivatives in our Consolidated Statements of Operations. Interest rate swaps, Interest rate cap and Swap futures are used to manage the increase in interest paid on secured financing agreements in a rising rate environment. Presenting the net contractual interest payments on interest rate derivatives with the interest paid on interest-bearing liabilities reflects our total contractual interest payments. We believe this presentation is useful to investors because it depicts the economic value of our investment strategy by showing all components of interest expense and net interest income of our investment portfolio. However, Economic net interest income should not be viewed in isolation and is not a substitute for net interest income computed in accordance with GAAP. Where indicated, interest expense, adjusting for any interest earned on cash, is referred to as Economic interest expense. Where indicated, net interest income reflecting net periodic interest on derivatives and any interest earned on cash, is referred to as Economic net interest income.
Current wording
Economic net interest income of our Investment Portfolio is a non-GAAP financial measure that equals GAAP net interest income adjusted for net periodic interest on derivatives, interest income from Residential Origination segment and interest income from investment in MSR financing receivables, and excludes interest earned on cash and interest expense from our Residential Origination segment. For the purpose of computing economic net interest income and ratios relating to cost of funds measures throughout this section, interest expense includes net payments on our derivatives, which is presented as a part of Net gains (losses) on derivatives in our Consolidated Statements of Operations. Interest rate swaps, Interest rate caps and Swap futures are used to manage the increase in interest paid on secured financing agreements in a rising rate environment. Presenting the net contractual interest payments on interest rate derivatives with the interest paid on interest-bearing liabilities reflects our total contractual interest payments. We believe this presentation is useful to investors because it depicts the economic value of our investment strategy by showing all components of interest expense and net interest income of our investment portfolio. However, Economic net interest income should not be viewed in isolation and is not a substitute for net interest income computed in accordance with GAAP. Where indicated, interest expense, adjusting for any interest earned on cash, is referred to as Economic interest expense. Where indicated, net interest income reflecting net periodic interest on derivatives and any interest earned on cash, is referred to as Economic net interest income.
Previous wording
(1) Primarily interest income on cash and cash equivalents and interest income from investment in MSR financing receivables.
Current wording
(1) Primarily interest income on cash and cash equivalents from our Investment Portfolio and Residential Origination segments and interest income from investment in MSR financing receivables.
Previous wording
The following tables shows our average earning assets held, interest earned on assets, yield on average interest earning assets, average debt balance, economic interest expense, economic average cost of funds, economic net interest income and net interest rate spread for the periods presented.
Current wording
The following tables show our average earning assets held, interest earned on assets, yield on average interest earning assets, average debt balance, economic interest expense, economic average cost of funds, economic net interest income and net interest rate spread for the periods presented.
Previous wording
Economic Net Interest Income and the Average Earning Assets
Current wording
Economic Net Interest Income and the Average Earning Assets -Investment Portfolio Segment
Previous wording
Our Economic net interest income (which is a non-GAAP measure, see “Economic net interest income” discussion earlier for details) remained relatively unchanged at $69 million for the quarter ended September 30, 2025 compared to the prior quarter. Our net interest rate spread, which equals the yield on our average interest-earning assets less the economic average cost of funds, decreased slightly to 1.4% for the quarter ended September 30, 2025, as compared to 1.5% the quarter ended June 30, 2025.
Current wording
Our Economic net interest income (which is a non-GAAP measure, see “Economic net interest income” discussion earlier for details) increased by $7 million to $73 million for the quarter ended March 31, 2026, from $65 million for the quarter ended December 31, 2025. Our net interest rate spread, which equals the yield on our average interest-earning assets less the economic average cost of funds, increased to 1.8% for the quarter ended March 31, 2026 compared to 1.4% for the quarter ended December 31, 2025. Our Average net interest-earning assets decreased by $356 million to $1.1 billion for the quarter ended March 31, 2026, compared to $1.4 billion for the quarter ended December 31, 2025. Our net interest margin, which equals the yield on our average interest-earning assets less the economic average cost of funds, increased by 20 basis points for the quarter ended March 31, 2026, as compared to the quarter ended December 31, 2025.
Previous wording
Our Average net interest-earning assets decreased by $199 million to $1.8 billion for the nine months ended September 30, 2025, compared to $2.0 billion for the same period of 2024. Our net interest margin, which equals the yield on our average interest-earning assets less the economic average cost of funds, decreased by 20 basis points for the nine months ended September 30, 2025, as compared to the nine months ended September 30, 2024.
Current wording
Our Economic net interest income (which is a non-GAAP measure, see “Economic net interest income” discussion earlier for details) increased by $479 thousand to $73 million for the quarter ended March 31, 2026, from $72 million for the quarter ended March 31, 2025. Our net interest rate spread, which equals the yield on our average interest-earning assets less the economic average cost of funds increased to 1.8% for the quarter ended March 31, 2026, compared to 1.5% for the quarter ended March 31, 2025. Our Average net interest-earning assets decreased by $896 million to $1.1 billion for the quarter ended March 31, 2026, compared to $2.0 billion for the same period of March 31, 2025. Our net interest margin, which equals the yield on our average interest-earning assets less the economic average cost of funds, decreased by 20 basis points for the quarter ended March 31, 2026, as compared to the quarter ended March 31, 2025.
Previous wording
Economic Interest Expense and the Cost of Funds
Current wording
Economic Interest Expense and the Cost of Funds - Investment Portfolio Segment
Previous wording
Average interest-bearing liabilities increased by $777 million for the quarter ended September 30, 2025, as compared to the quarter ended June 30, 2025. Economic interest expense increased by $8 million for the quarter ended September 30, 2025, as compared to the quarter ended June 30, 2025, due to an increase in borrowings under our secured financing agreements to fund our Agency RMBS purchases.
Current wording
Average interest-bearing liabilities increased by $255 million for the quarter ended March 31, 2026, as compared to the quarter ended March 31, 2025. Economic interest expense decreased by $7 million for the quarter ended March 31, 2026, 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.
Previous wording
For the quarter ended September 30, 2025, we recorded an increase in provision for credit losses of $3 million, as compared to an increase in provision of credit losses of $4 million for the quarter ended June 30, 2025. For the nine months ended September 30, 2025, we recorded an increase in provision for credit losses of $10 million, as compared to an increase in provision of credit losses of $5 million for the nine months ended September 30, 2024. The changes in provision for credit losses for the quarter and nine months ended September 30, 2025, as compared to the quarter and nine months ended September 30, 2024, are primarily due to a deterioration in cashflows on a combination of Non-Agency senior and subordinated bonds.
Current wording
For the quarter ended March 31, 2026, we recorded an increase in provision for credit losses of $3 million, as compared to an increase in provision of credit losses of $5 million for the quarter ended December 31, 2025. The changes in provision for credit losses for the quarter ended March 31, 2026, as compared to the quarter ended December 31, 2025, are primarily due to a deterioration in cashflows on a combination of Non-Agency senior and subordinated bonds. During the quarter, we sold certain securities, resulting in reductions to the unrealized losses associated with these securities totaling $3 million.
Previous wording
The tables below show a summary of our net gains (losses) on derivative instruments, for the quarters ended September 30, 2025 and June 30, 2025, and nine months ended September 30, 2025 and September 30, 2024, respectively.
Current wording
The tables below show a summary of our net gains (losses) on derivative instruments for the quarters ended March 31, 2026, December 31, 2025 and March 31, 2025.
Previous wording
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.
Current wording
During the quarters ended March 31, 2026, December 31, 2025, and March 31, 2025, we recognized total net gains on derivatives of $23 million, total net gains on derivatives of $15 million, and total net losses on derivatives of $2 million respectively. 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.
Previous wording
The weighted average pay rate on our interest rate swaps at September 30, 2025 was 3.65% and the weighted average receive rate was 4.24%. At September 30, 2025, the weighted average maturity on our interest rate swaps was less than 6 years.
Current wording
The weighted average pay rate on our interest rate swaps at March 31, 2026 was 3.55% and the weighted average receive rate was 3.68%. At March 31, 2026, the weighted average maturity on our interest rate swaps was less than six years.
Previous wording
The weighted average pay rate on our interest rate swaps at December 31, 2024 was 3.56% and the weighted average receive rate was 4.49%. At December 31, 2024, the weighted average maturity on our interest rate swaps was less than one year.
Current wording
The weighted average pay rate on our interest rate swaps at December 31, 2025 was 3.44% and the weighted average receive rate was 3.87%. At December 31, 2025, the weighted average maturity on our interest rate swaps was less than six years.
Previous wording
We had net realized losses of $2 million related to swap terminations during the quarter ended September 30, 2025. We had no swap terminations during the quarter ended September 30, 2024. We had a realized loss of $17 million related to the maturity of one swap during the nine months ended September 30, 2024.
Current wording
We had net realized losses of $3 million related to swap terminations during the quarter ended March 31, 2026. We had no swap terminations during the quarter ended March 31, 2025.
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Rearranged current paragraphs (3)
Current report — wording carried from elsewhere
$600 million notional two-year interest rate cap with a strike rate of 3.30% on SOFR as the market reference rate. We held a $500 million notional two-year interest rate cap with a strike rate of 3.95% on SOFR as the market reference rate. We terminated $500 million notional interest rate cap with a 3.95% strike rate for a realized loss of $4 million. During the quarter ended December 31, 2025, we had a $1.0 billion notional two-year interest rate cap with a strike rate of 3.95% on SOFR as the market reference rate.
Current report — wording carried from elsewhere
Excess Spread Agreement for Fannie Mae Loans entitling us to monthly distributions of the servicing fees collected by the mortgage loan servicer in excess of 12.5 basis points per annum and other related servicing cash flows.
Current report — wording carried from elsewhere
During the quarters ended March 31, 2026 and 2025, we granted RSU awards to senior management, employees and directors. These RSU awards are designed to reward our senior management, employees and directors for services provided to us.
Rearranged previous paragraphs (1)
Previous report — wording carried elsewhere
•Non-QM refers to non-qualified mortgages that are designed for borrowers who do not meet traditional qualified mortgage standards.