CHIMERA INVESTMENT CORP
For the period ended Jun 30, 2026. Filed Aug 5, 2026.
View on SEC.govAbout this filing
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.
Jun 30, 2026 · Filed Aug 5, 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 2026-03-31; filed 2026-05-07.
0001409493-26-000037
Item 2. Management's Discussion and Analysis of Financial Condition and Results of OperationsCurrent report: 10-Q
Period ended 2026-06-30; filed 2026-08-05.
0001409493-26-000050
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.
Compared 336 previous paragraphs and 358 current paragraphs.
185 unchanged; 112 reworded; 50 added; 35 removed; 4 previous and 11 current paragraphs rearranged.
Tables are not compared: 26 previous and 28 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 (50)
Current report
We are a diversified, internally managed REIT, that serves the U.S. residential real estate market. Through our Investment Portfolio and Residential Origination segments, we acquire, manage, finance and originate residential mortgage and real estate-related assets, with the objective of delivering attractive risk-adjusted returns to shareholders.
Current report
Financial markets during the second quarter of 2026 were shaped primarily by evolving expectations for Federal Reserve monetary policy amid persistent inflation, resilient labor market conditions and continued geopolitical developments. Although tensions in the Middle East remained elevated early in the quarter, energy markets stabilized following a temporary ceasefire and easing concerns over disruptions to global oil supplies. While lower oil prices moderated inflation concerns, inflation remained above the Federal Reserve’s long-term target, contributing to continued uncertainty regarding the path of monetary policy.
Current report
At its June meeting, the Federal Reserve maintained its target range for the federal funds rate at 3.50% to 3.75%. Although no change in policy rates was announced, updated economic projections reflected persistent inflation concerns and a more restrictive policy outlook than investors had anticipated entering the quarter. As a result, investor expectations shifted from near-term interest rate cuts toward the possibility of a rate increase later in the year.
Current report
Treasury yields increased across the curve during the quarter, led by shorter-term maturities as markets repriced expectations for future monetary policy. The yield on the two-year U.S. Treasury increased by 38 basis points to 4.17%, while the ten-year U.S. Treasury yield increased by 15 basis points to 4.47%. The yield curve flattened meaningfully during the quarter, with the spread between the two-year and ten-year Treasury yields narrowing from 52 basis points to 29 basis points.
Current report
Mortgage and Credit Markets
Current report
Mortgage and credit markets remained constructive throughout the second quarter despite higher benchmark interest rates. Primary mortgage rates increased only modestly as tighter mortgage spreads modestly offset a portion of the increase in Treasury yields. The average 30-year fixed mortgage rate increased from 6.38% to 6.49% during the quarter, while mortgage rate spreads relative to the 10-year Treasury yield tightened from the elevated levels experienced earlier in the year.
Current report
Agency mortgage-backed securities outperformed comparable-duration U.S. Treasuries during the quarter. Current coupon Agency MBS spreads tightened 18 basis points against a blend of treasuries and 21 basis points against a similar blend of swaps, while option-adjusted spreads also narrowed. Continued purchases by Fannie Mae and Freddie Mac, together with strong institutional demand, provided favorable technical support.
Current report
Residential mortgage credit markets also performed well during the quarter. Non-QM securitization issuance remained robust with the first half pace running well ahead of 2025 issuance volumes by a significant margin. Despite elevated new issuance, spreads tightened across most non-agency residential mortgage sectors, reflecting strong investor appetite and favorable market technicals. AAA Non-QM spreads tightened approximately 10 basis points during the quarter, although higher benchmark interest rates resulted in increased yields on new issue securities which were reflected in whole loan pricing. Investor participation continued to broaden across the residential mortgage credit market, while lower-rated residential credit generally outperformed as investors sought incremental yield amid a constructive credit environment.
Current report
Housing Fundamentals
Current report
Housing market fundamentals remained generally supportive even with mortgage rates near multi-year highs. Home prices were broadly stable to modestly higher, with several national indices reporting improving year-over-year growth during the quarter.
Current report
Housing market conditions continued to vary by region. Price appreciation was strongest across many Northeastern and Midwestern markets, where housing inventory remained constrained relative to historical norms, and more subdued across portions of the South, Sun Belt and Mountain West where supply recovered more rapidly. Although housing supply improved nationally during the quarter, limited inventory supported home prices in some regional markets, while increased supply moderated price appreciation in others.
Current report
Existing home sales and purchase mortgage activity remained relatively stable despite elevated mortgage rates and resilient labor market conditions. Mortgage credit performance was also resilient during the quarter. Overall mortgage delinquencies increased modestly, although industry data suggested much of the increase reflected seasonal and calendar-related factors rather than broad-based deterioration in borrower performance. Credit performance was strongest among conventional Agency mortgage loans, while stress was concentrated within certain government-insured mortgage programs. Seasonally adjusted prepayment activity also remained subdued as higher mortgage rates continued to limit refinancing activity.
Current report
Agency DUS Bonds. During the second quarter, the Investment Portfolio segment purchased $17 million of Agency CMBS DUS bonds, deploying approximately $800 thousand of capital to acquire these investments. On a levered basis, and after incorporating the cost of interest rate hedging, these bonds are expected to generate attractive returns in the low- to mid-teens.
Current report
Agency CMBS Project loans. During the quarter, following the funding of the underlying $33 million loan, one of the GNMA construction loan certificate bonds converted into a fully funded Agency CMBS public limited company bond. As discussed in the Asset Sales section below, this bond was subsequently sold during the quarter, resulting in no remaining exposure as of the end of the second quarter.
Current report
During the second quarter we sponsored two securitizations of residential mortgage loans with an aggregate principal balance of $487 million. The mortgage loans for both securitizations were sourced from the redemption of prior Chimera-sponsored securitization CIM 2025-NR1 ($205 million UPB) and also included unsold loans retained from the first quarter redemption of eight securitization deals ($282 million UPB).
Current report
We sponsored CIM 2026-R1, a $289 million securitization of residential mortgage loans. The loans had a weighted average coupon of 5.50%, with weighted average FICO scores of 639, and LTV ratio of 45.38%. Securities issued by CIM 2026-R1, with an aggregate balance of approximately $245 million, were sold in a private placement to institutional investors. These senior securities represented approximately 85% of the capital structure. We retained subordinate interests in securities with an aggregate balance of approximately $43 million and certain IOs. We also retained an option to call the securitized mortgage loans on the earlier of (i) May 25, 2028, or (ii) when the aggregate principal amount of the offered notes is less than, or equal to, 10% of the aggregate principal amount of the offered notes as of May 26, 2026. The weighted average cost of debt on securities sold was 4.75%. PAS acts as asset manager for the securitization.
Current report
We also sponsored CIM 2026-NR1, a $198 million securitization of residential mortgage loans. The loans had a weighted average coupon of 5.44%, with weighted average FICO scores of 600, and LTV ratio of 56.85%. Securities issued by CIM 2026-NR1, with an aggregate balance of approximately $143 million, were sold in a private placement to institutional investors. These senior securities represented approximately 72.50% of the capital structure. We retained subordinate interests in securities with an aggregate balance of approximately $54 million. We also retained an option to call the securitized mortgage loans, at the direction of the majority class B1 certificate holder, on any payment date after May 26, 2027. The weighted average cost of debt on securities sold was 5.00%. PAS acts as asset manager for the securitization.
Current report
During the first quarter, the Investment Portfolio segment committed to purchase $187 million of newly originated Non-QM loans and Investor Loans from our subsidiary, HomeXpress. The Investment Portfolio segment further committed to purchase an additional $131 million of loans during the second quarter. An aggregate of $301 million of loans acquired from HomeXpress, settled during the second quarter of 2026.
Current report
As previously noted, the $282 million portfolio of RPL loans acquired through the first-quarter securitization unwind, which had been financed through a loan warehouse facility, was repaid during the quarter, as the loans were sold into the two new securitizations completed this quarter.
Current report
During the second quarter, we purchased a SOFR-based interest rate cap with a 3.00% strike rate, a $500 million notional amount, and a June 2028 maturity for a total premium of $10 million. During the same period, we also exited a $500 million interest rate cap with a 3.95% strike rate that was scheduled to mature in February 2027.
Current report
Agency RMBS Portfolio. During the quarter, we purchased SOFR-based interest rate caps with a 3.00% strike rate, representing a total notional amount of $1.8 billion, for an aggregate premium of $43 million. We also entered into interest rate swap contracts with an aggregate notional amount of $781 million, with maturities ranging from 2 to 30 years and fixed pay rates ranging from 3.85% to 4.28%.
Current report
During the quarter, we terminated interest rate swap contracts with an aggregate notional amount of $1.5 billion, realizing gains of $11.6 million and receiving $3.6 million of net interest payments.
Current report
Mortgage TBA Derivatives. During the quarter, we closed out short TBA mortgage securities positions with an aggregate notional amount of $966 million, recognizing realized gains of $1.4 million across various counterparties. We also recognized $1 million of TBA dollar roll (“drop”) expense during the quarter. As of June 30, 2026, we had no open short TBA mortgage securities positions.
Current report
HomeXpress funded $1.1 billion of volume during the quarter ended June 30, 2026 as compared to $884 million during the first quarter, an increase of 23.8% quarter over quarter.
Current report
Compensation and benefits expenses decreased by $2 million, to $13 million in the second quarter of 2026 from $15 million in the first quarter of 2026. The decrease was primarily attributable to a one-time acceleration of stock-based compensation expense recognized in the first quarter related to retirement-eligible employees.
Current report
General and administrative expenses decreased by $1 million, to $9 million in the second quarter of 2026 from $10 million in the prior quarter, primarily reflecting normal quarter-to-quarter timing of operating expenditures.
Current report
Transaction expenses increased to $3 million in the second quarter of 2026 from $98 thousand in the first quarter of 2026. The increase was primarily driven by higher securitization activity during the second quarter.
Current report
Residential Origination Segment
Current report
During the quarter, spreads on mortgage loans and related securitized assets held on the balance sheet tightened modestly compared to the prior quarter. The yield on the two-year U.S. Treasury increased 38 basis points to 4.17%, while the ten-year U.S. Treasury yield increased 15 basis points to 4.47%. The movement in rates caused our Investment Portfolio segment’s mark-to-market on loan balances to decline by $59 million and our securitized debt to increase by $15 million quarter over quarter.
Current report
Interest income increased by $49 million, or 12.5%, to $441 million for the six months ended June 30, 2026 as compared to $392 million for the six months ended June 30, 2025. This increase was primarily driven by the reallocation of our portfolio from loans held for investment to Agency Pass-throughs. The increase in our Agency RMBS portfolio average balance increased by $2.9 billion, resulting in an increase in interest income of $85 million. This was offset by decreases in our Loans held for investment and Non-Agency portfolios average balance of $2.2 billion and $285 million, respectively, due to asset sales and paydowns during the period, resulting in a decrease in interest income of $59 million and $9 million, respectively, as compared to the six months ended June 30, 2025.
Current report
We also recognized interest income of $29 million from LHFS related to our Residential Origination segment in the current period which was not part of our operations during the prior year.
Current report
Our Average net interest-earning assets increased by $101 million to $1.2 billion for the quarter ended June 30, 2026, compared to $1.1 billion for the quarter ended March 31, 2026.
Current report
Our Average net interest-earning assets decreased by $604 million to $1,290 million for the six months ended June 30, 2026, compared to $1.9 billion for the same period in 2025.
Current report
Our net interest margin, which equals the yield on our average interest-earning assets less the economic average cost of funds, decreased by 10 basis points for the six months ended June 30, 2026, as compared to the six months ended June 30, 2025.
Current report
The changes in provision for credit losses for the quarter and six months ended June 30, 2026, as compared to the quarter ended March 31, 2026 and six months ended June 30, 2025, are primarily due to a deterioration in cashflows on a combination of Non-Agency senior and subordinated bonds. In addition, certain Non-Agency RMBS positions now have higher unrealized losses and resulted in the recognition of an allowance for credit losses which was previously limited by unrealized gains on these investments.
Current report
During the six months ended June 30, 2026 and June 30, 2025, we had swap futures with a notional of $340 million and $340 million, respectively. We had no swap future terminations during the six months ended June 30, 2026. During the quarter ended June 30, 2025, we had a realized loss of $390 thousand on the sale of 400 10-year SOFR swap future contracts, 400 two-year SOFR swap future contracts, and 250 five-year SOFR swap future contracts.
Current report
During the quarters and six months ended June 30, 2026 and March 31, 2026, we had no open swaption positions.
Current report
We did not have any realized gains related to swaptions for the quarter ended June 30, 2026. We had net realized gains of $2 million related to swaptions during the quarter ended March 31, 2026. During the six months ended June 30, 2026 and June 30, 2025, we had realized gains of $2 million and net realized losses of $6 million related to swaptions, respectively.
Current report
During the six months ended June 30, 2026, we terminated $1.0 billion notional interest rate cap with a 3.95% strike rate for a realized loss of $7 million. During the six months ended June 30, 2025, we had no terminations of interest rate caps.
Current report
As of June 30, 2026, for our Investment Portfolio segment, we had TBA purchase contracts and TBA sale contracts with aggregate notional amounts of $2.2 billion each, resulting in a net TBA notional position of zero. During the period, we recognized realized gains of approximately $9 million related to TBA derivative transactions.
Showing the first 40 of 50 passages. Open the source sections for the rest.
Removed paragraphs (35)
Previous 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.
Previous report
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 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.
Previous 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.
Previous 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.
Previous report
Housing Market
Previous 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.
Previous 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.
Previous 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.
Previous 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.
Previous report
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.
Previous 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.
Previous 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.
Previous 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.
Previous 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.
Previous report
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 report
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.
Previous 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.
Previous report
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 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.
Previous report
Compensation and benefits expenses increased by $7 million to $15 million from the fourth quarter of 2025 to the first quarter of 2026, primarily driven by higher performance-based bonus accruals, increased headcount, and the acceleration of stock-based compensation expense associated with retirement-eligible employees.
Previous report
G&A expenses increased by $3 million to $10 million in the first quarter from the prior quarter primarily driven by higher diligence costs related to loan sales and incremental rent expense associated with the new office location. Other G&A components remained largely consistent with the prior period.
Previous report
Transaction expenses were $98 thousand for the first quarter of 2026, compared to $625 thousand in the prior quarter. The decrease reflects the completion of the majority of activities related to the HomeXpress Acquisition, with only residual costs incurred in the current period.
Previous report
No such expenses were recognized for the quarter ended March 31, 2025, as the Residential Origination segment was established in connection with the HomeXpress Acquisition in the fourth quarter of 2025.
Previous report
During the quarter, spreads on mortgage loans and related securitized assets held on the balance sheet widened modestly compared to the prior quarter. As a result, the combined net fair value of our securitized loan assets and associated securitized debt liabilities had a slightly negative impact on book value.
Previous report
Additionally, the final redemption price on the securitized debt for eight redeemed deals excluded carryover interest. As a result, interest expense associated with these securitizations was lower by $4 million, or $0.05 per share, thereby contributing to an increase in Earnings available for distribution during the quarter.
Previous report
Our MSR investment generated an additional $2 million of income this quarter from early payoff (“EPO”) protection associated with the MSR acquired in 2025.
Previous report
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 report
During the quarter ended March 31, 2026, we had no open swaption positions. We had net realized gains of $2 million related to swaptions during the quarter ended March 31, 2026. During the quarter ended December 31, 2025, we had swaptions with a notional of $600 million. During the quarter ended March 31, 2025, the Company had no swaption terminations.
Previous report
The segment information presented below reflects our current reportable segment structure. The segment information for the three months ended March 31, 2025 has been recast to conform to the current period presentation following our segment reevaluation in the fourth quarter of 2025 in connection with the HomeXpress Acquisition.
Previous report
Earnings available for distribution for the quarter ended March 31, 2026 were $46 million, or $0.54 per average diluted common share, a slight increase from $45 million and $0.53 per average diluted common share, respectively, for the quarter ended December 31, 2025.
Previous report
Earnings available for distribution for the quarter ended March 31, 2026 were $46 million, or $0.54 per average diluted common share, and increased by $12 million, compared to $34 million, or $0.41 per average diluted common share for the quarter ended March 31, 2025. This increase in Earnings available for distribution was primarily due to our portfolio reallocation efforts and purchase of HomeXpress.
Previous report
At March 31, 2026 and December 31, 2025, the remaining maturities and borrowing rates on our RMBS and loan secured financing agreements were as set forth below. HomeXpress added $629 million and $802 million of secured financing that had a weighted average borrowing rate of 5.75% and 5.84% at March 31, 2026 and December 31, 2025, respectively.
Previous report
(1) The values for secured financing agreements in the table above is net of$155 thousand and $271 thousand of deferred financing costs as of March 31, 2026 and December 31, 2025, respectively.
Previous report
HomeXpress represents $629 million of the counterparty balances and is spread among 7 counterparties. This represents 9% of the secured financing agreements as of March 31, 2026.
Reworded paragraphs (112)
Previous wording
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 wording
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 Mortgage Corp. (“HomeXpress”) in October 2025 (the “HomeXpress Acquisition”), 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.
Previous 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).
Current wording
As of June 30, 2026, based on the fair value of our interest-earning assets, approximately 55.6% of our investment portfolio was allocated to residential mortgage loans held for investment, 36.9% to Agency MBS, 5.1% to Non-Agency RMBS, 2.2% to LHFS, and less than 1% to interests in MSR financing receivables.
Previous 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.
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 June 30, 2026, HomeXpress had approximately 6,300 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 second quarter of 2026, HomeXpress sold 69% of all of the loans it originated on a servicing-released basis to third-party institutional investors, and the remaining 31% of the loans were purchased by the 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. As of June 30, 2026, LHFS by HomeXpress constituted approximately 5.4% of our interest-earning assets based on fair value.
Previous wording
First Quarter 2026 Business Highlights - Investment Portfolio Segment
Current wording
Second Quarter 2026 Business Highlights - Investment Portfolio Segment
Previous wording
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 wording
Agency RMBS. During the second quarter, we settled approximately $967 million of Agency RMBS, deploying capital raised from legacy loan sales (from the first quarter) while simultaneously increasing our allocation to liquid securities. Of the $967 million securities that settled in the second quarter, $601 million were originally traded in the first quarter. 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.
Previous 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.
Current wording
Agency securities. In the second quarter, we sold $575 million of notional in a combination of Agency CMBS, Agency CMBS IOs, Agency CMOs and Agency home equity conversion mortgage (“HECM”) IOs. Net liquidity raised, after payment of principal on a secured financing facility that held these securities as collateral, was $19 million. The capital raised via these sales was re-deployed into higher-yielding Agency Pass-through securities.
Previous wording
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 wording
Net proceeds received from the transactions were in excess of $13 million which was subsequently invested in Agency securities.
Previous wording
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 wording
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 third or fourth quarter of 2026.
Previous wording
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 wording
In addition, we entered into $305 million of notional interest rate swaps during the quarter to help mitigate exposure to interest rate volatility on these loans.
Previous wording
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.
Current wording
During the second quarter of 2026, our overall secured financing costs declined by 10 basis points. Secured financing agreements (recourse liabilities) increased by a net $738 million, primarily reflecting the use of leverage to support our Agency RMBS investments. Agency RMBS financing increased toward quarter-end, while Agency CMO’s, Agency CMBS (including
Previous wording
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 wording
At quarter end, total recourse financing exposure for the investment portfolio was $7.0 billion, with $5.0 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 17%, of our residential credit-related recourse financings is in these types of facilities.
Previous 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.
Current wording
As of June 30, 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 3.00% maturing in June 2028, (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
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.
Current wording
As of June 30, 2026, we maintained the following open interest rate hedge positions related to the Agency RMBS portfolio: (i) interest rate caps with an aggregate notional amount of $1.8 billion and a weighted average strike rate of 3.00%; (ii) interest rate swaps with an aggregate notional amount of $2.8 billion, a weighted average fixed pay rate of 3.76%, and remaining maturities ranging from less than one year to 30 years; and (iii) $60 million of 3.87% par rate equivalent pay-fixed 10-year Eris swap futures maturing in June 2035 and $230 million of 3.60% par rate equivalent pay-fixed 5-year Eris swap futures maturing in June 2030.
Previous wording
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 wording
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 five securitizations issued by Chimera, four of which remain active. We also 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 second quarter of 2026. Fee income declined during the second quarter primarily due to a 29% decline in transaction management volume from a higher-fee-paying client, which was only partially offset by replacement activity from other clients at lower fee rates. As a result, total fee income declined by approximately $1 million compared with the prior quarter.
Previous wording
First Quarter 2026 Business Highlights - Residential Origination Segment
Current wording
Second Quarter 2026 Business Highlights - Residential Origination Segment
Previous wording
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 wording
During the second 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 7.036%, 740 and 72.7%, respectively.
Previous wording
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 wording
HomeXpress maintained a sufficient overall liquidity position during the second quarter of 2026 with its cash balances and seven warehouse lines of credit. HomeXpress had total available capacity of $1.5 billion in warehouse lines as of June 30, 2026, which are all priced based on the 30-day SOFR plus a weighted pricing spread of approximately 192 basis points. As of June 30, 2026, HomeXpress held $802 million on UPB on the balance sheet that was financed with $727 million of advances from the warehouse lines of credit, with an average advance rate of 91%.
Previous wording
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:
Current wording
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 June 30, 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 and direct loan origination costs expensed as incurred. As of June 30, 2026, the total estimated fair value of HomeXpress’ LHFS in excess of principal balance was $17 million. The table below shows the effect on fair value of the IRLC based on a change in the Pull-through Rate:
Previous wording
HomeXpress operates a daily hedging program that utilizes financial instruments (shorting two-year and five-year U.S. Treasury futures) to protect its operational results from interest rate risk. The program covers loans from the day the IRLC is issued through the day a loan is committed for sale to an investor. As of March 31, 2026, HomeXpress had hedging instruments with a notional amount of $181 million for U.S. Treasury futures and $261 million for IRLC.
Current wording
HomeXpress operates a daily hedging program that utilizes financial instruments (shorting two-year and five-year U.S. Treasury futures) and FNMA and GNMA TBAs to protect its operational results from interest rate risk from the Non-Agency and Agency production, respectively. The program covers loans from the day the IRLC is issued through the day a loan is committed for sale to an investor. As of June 30, 2026, HomeXpress had hedging instruments with a notional amount of $232 million for U.S. Treasury futures, $18 million for TBAs and $295 million for IRLC.
Previous 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.
Current wording
For the second quarter of 2026, HomeXpress reported net income of $9 million. This was derived from gain on origination and sale of loans, net of approximately $22 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 $12 million in the first quarter, which represents 107 basis points of HomeXpress’ loan origination volume for the quarter.
Previous wording
Servicing expenses were relatively flat at $6 million during the first quarter of 2026, decreasing modestly by $488 thousand compared to the prior quarter, primarily due to lower loan balances and loan counts associated with our portfolio reallocation strategy.
Current wording
Servicing expenses decreased by $1 million, to $4 million in the second quarter of 2026 from $5 million in the first quarter, primarily due to lower loan balances and loan counts resulting from our portfolio reallocation strategy.
Previous wording
Compensation and benefits expense increased by $1 million for our Residential Origination segment from the fourth quarter of 2025 to the first quarter of 2026. Compensation and benefits primarily consist of salaries, incentive compensation, benefits, and other employee costs. As of March 31, 2026, the Residential Origination segment had 351 employees compared to 332 as of December 31, 2025.
Current wording
Compensation and benefits expenses for the Residential Origination segment remained relatively unchanged at $12 million for both the first and second quarters of 2026. Compensation and benefits primarily consist of salaries, incentive compensation, employee benefits, and other personnel-related costs. As of June 30, 2026, the Residential Origination segment had 358 employees compared to 351 as of March 31, 2026.
Previous wording
We also recognized general and administrative expenses of $2 million for the quarter ended March 31, 2026, compared to $2 million for the period from October 1, 2025, through December 31, 2025. G&A expenses include occupancy, technology and platform costs, professional fees, and other corporate overhead allocated to the Residential Origination segment. These expenses are generally more fixed in nature but may vary with operational scale, ongoing investments in the origination platform, and integration-related activities following the HomeXpress Acquisition.
Current wording
General and administrative expenses for the Residential Origination segment also remained relatively unchanged at $2 million for both the second and first quarters of 2026. General and administrative expenses include occupancy, technology and platform costs, professional fees, and other corporate overhead allocated to the segment. These expenses are generally fixed in nature but may fluctuate based on operating scale, continued investments in the origination platform, and integration activities related to the HomeXpress Acquisition.
Previous wording
During the first quarter of 2026, we continued to execute our strategy of diversifying our portfolio while maintaining flexibility to capitalize on evolving market opportunities. In connection with these activities, we selectively evaluated and completed asset dispositions of investments that we believe were fully valued, did not meet our risk-adjusted return thresholds, or were no longer aligned with our long-term portfolio objectives. These sales consisted primarily of underlying loans from sponsored securitizations, with proceeds redeployed into higher-yielding investments to enhance earnings power, dividend capacity, and return on equity. As previously noted, the aggregate impact of these loan sales reduced book value by approximately $72 million, with $43 million attributable to the redemption of securitized debt at par.
Current wording
During the first half of 2026, we continued to execute our strategy of diversifying our portfolio while maintaining flexibility to capitalize on evolving market opportunities. In connection with these activities, we selectively evaluated and completed asset dispositions of investments that we believe were fully valued, did not meet our risk-adjusted return thresholds, or were no longer aligned with our long-term portfolio objectives. These sales consisted primarily of underlying loans from sponsored securitizations, with proceeds redeployed into higher-yielding investments to enhance earnings power, dividend capacity, and return on equity.
Previous wording
Agency mortgage spreads also widened by approximately 15 basis points during the quarter. After accounting for interest rate and TBA hedges, the market value of the Agency MBS portfolio declined by $21 million.
Current wording
Agency mortgage spreads also tightened by approximately 18 basis points against a blend of treasury yields during the quarter. After accounting for interest rate and TBA hedges, the market value of the Agency MBS portfolio increased by approximately $24 million.
Previous wording
These factors contributed to a decline in book value per share of approximately 6.9%, to $18.34 as of March 31, 2026, compared to $19.70 in the prior quarter. Nearly two-thirds of the decline in book value was attributable to the redemption of securitized debt and sale of loans during the quarter.
Current wording
These factors contributed to a decline in book value per share of approximately 3.2%, to $17.75 as of June 30, 2026, compared to $18.34 in the prior quarter.
Previous wording
We declared common stock dividends of $0.45 per share for the first quarter of 2026. Economic return on book value, defined as the change in book value plus dividends, was (4.6)% for the first quarter, while EAD return on average common equity was 11.53%. EAD (Earnings Available for Distribution) is a non-GAAP measure. Please see “Earnings Available for Distribution” below for a reconciliation of EAD to its most directly comparable GAAP measure.
Current wording
We declared common stock dividends of $0.45 per share for the second quarter of 2026. Economic return on book value, defined as the change in book value plus dividends, was (0.76)% for the second quarter, while Earnings Available for Distribution (“EAD”) return on average common equity was 10.35%. EAD is a non-GAAP measure. Please see “Earnings Available for Distribution” below for a reconciliation of EAD to its most directly comparable GAAP measure.
Previous 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.
Current wording
The table below presents our net income on a GAAP basis for the quarters ended June 30, 2026 and March 31, 2026, and the six months ended June 30, 2026 and June 30, 2025.
Previous wording
(1) Includes interest income of consolidated VIEs of $129,069 and $144,402 for the quarters ended March 31, 2026 and 2025 respectively.
Current wording
(1) Includes interest income of consolidated VIEs of $106,189 and $129,069 for the quarters ended June 30, 2026 and March 31, 2026, respectively, and $235,258 and $286,220 for the six months ended June 30, 2026 and 2025, respectively.
Previous wording
(2) Includes interest expense of consolidated VIEs of $63,879 and $69,651 for the quarters ended March 31, 2026 and 2025, respectively.
Current wording
(2) Includes interest expense of consolidated VIEs of $54,598 and $63,879 for the quarters ended June 30, 2026 and March 31, 2026, respectively, and $118,478 and $142,690 for the six months ended June 30, 2026 and 2025, respectively.
Previous wording
(3)Includes interest income from investment in MSR financing receivables of a consolidated VIE of $1,395 for the quarter ended March 31, 2026. We did not hold any investments in MSR financing receivables for the quarter ended March 31, 2025.
Current wording
(3)Includes interest income from investment in MSR financing receivables of a consolidated VIE of $454 and $1,395 for the quarters ended June 30, 2026 and March 31, 2026, respectively, and $1,850 for the six months ended June 30, 2026. We did not hold any investments in MSR financing receivables for the six months ended June 30, 2025.
Previous wording
(4) Includes a related-party, non-cash imputed compensation expense from the Palisades Acquisition of $341 during both quarters ended March 31, 2026 and 2025.
Current wording
(4) Includes a related-party, non-cash imputed compensation expense from the Palisades Acquisition of $341 and $341 for the quarters ended June 30, 2026 and March 31, 2026, respectively, and $682 and $682 for the six months ended June 30, 2026 and 2025, respectively.
Previous wording
Our results for the quarter ended March 31, 2026 reflect the continued integration and full-period impact of our Residential Origination segment, which was acquired in 2025, and as such, prior periods may not be directly comparable.
Current wording
Our results for the quarter and six months ended June 30, 2026 reflect the continued integration and full-period impact of our Residential Origination segment, which was acquired during the fourth quarter of 2025, and as such, prior periods may not be directly comparable.
Previous wording
Results of Operations for the Quarters Ended March 31, 2026, December 31, 2025 and March 31, 2025.
Current wording
Results of Operations for the Quarters Ended June 30, 2026 and March 31, 2026, and for the Six Months Ended June 30, 2026 and June 30, 2025.
Previous 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.
Current wording
For the quarter ended June 30, 2026, our net loss available to common shareholders was $4 million, or $(0.05) per average basic common share, compared to a net loss of $65 million, or $(0.78) per average basic common share for the quarter ended March 31, 2026. The decrease of $61 million in net loss available to common shareholders for the quarter ended June 30, 2026, as compared to the quarter ended March 31, 2026, was primarily driven by a decrease in losses on extinguishment of debt of $36 million, a decrease in net realized losses on sales of investment of $31 million, and an increase in interest income of $2 million, offset by an increase in interest expense of $7 million and an increase in net unrealized losses on financial instruments at fair value of $6 million. These changes were driven by favorable mark-to-market impacts resulting from tighter credit spreads on mortgage loans, securitized assets and Agency MBS, partially offset by the effects of changes in interest rates. Our total other expenses decreased by $6 million for the quarter primarily due to an impairment of certain asset management contracts that was recognized in the prior quarter.
Previous 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.
Current wording
For the six months ended June 30, 2026, our net loss available to common shareholders was $69 million, or $(0.82) per average basic common share, compared to a net income of $160 million, or $1.97 per average basic common share for the six months ended June 30, 2025. The decrease of $229 million in net income available to common shareholders for the six months ended June 30, 2026, as compared to the six months ended June 30, 2025, was primarily driven by a decrease in net unrealized gains on financial instruments at fair value of $217 million, an increase in losses on extinguishment of debt of $44 million, an increase in net realized losses on sales of investments of $48 million, and an increase to compensation and benefits of $27 million due to the inclusion of staffing costs and rising headcounts from the HomeXpress Acquisition. The decrease in net income available to common shareholders was partially offset by an increase in net gains on derivatives of $68 million, an increase in net interest income of $10 million, a decrease in servicing and asset manager fees of $5 million, and the addition of gain on origination and sale of loans, net, of $44 million attributable to HomeXpress operations which were not a part of our results of operations for the six months ended June 30, 2025.
Previous wording
Our interest income revenues are driven primarily by our Investment Portfolio segment. Interest income decreased slightly by $1 million, or 0.5%, to $219 million for the quarter ended March 31, 2026 as compared to $220 million for the quarter ended December 31, 2025. This slight decrease in our interest income during the quarter ended March 31, 2026 was due to a slight decline in our average asset earning balances as compared to the quarter ended December 31, 2025.
Current wording
Our interest income revenues are driven primarily by our Investment Portfolio segment. Interest income increased slightly by $2 million, or 1.1%, to $222 million for the quarter ended June 30, 2026 as compared to $219 million for the quarter ended March 31, 2026. This slight increase in our interest income during the quarter ended June 30, 2026 was due to a slight increase in our average interest-earning asset balances of $174 million as compared to the quarter ended March 31, 2026. The increase in interest income is also due to a higher average balance of LHFS in our Residential Origination segment during the quarter. In addition, as a result of our portfolio reallocation, interest income on loans decreased by approximately $24 million, which was fully offset by a corresponding $24 million increase in interest income from Agency RMBS.
Previous 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.
Current wording
Interest expense increased by $7 million, or 4.7%, to $151 million for the quarter ended June 30, 2026, as compared to $144 million for the quarter ended March 31, 2026. The increase was driven by an increase in our borrowings under secured financing agreements collateralized by an Agency RMBS balance of $1.0 billion to finance purchases during the quarter, resulting in an increase in interest expense on secured financing agreements collateralized by Agency RMBS of approximately $17 million. The increase in interest expense was partially offset by a reduction in our average securitized debt balance of $880 million, as we called one securitization which resulted in a decrease of $10 million in interest expense on Securitized debt, collateralized by loans during the quarter ended June 30, 2026, as compared to the quarter ended March 31, 2026. 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 second quarter of 2026.
Previous 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.
Current wording
Interest expense increased by $39 million, or 15.1%, to $295 million for the six months ended June 30, 2026, as compared to $257 million for the six months ended June 30, 2025. This increase was primarily driven by an increase in our borrowings under secured financing agreements collateralized by an Agency RMBS balance of $2.9 billion to finance the Agency RMBS purchases during the period. During the six months ended June 30, 2026, the interest expense on secured financing agreements collateralized by Agency RMBS increased by $60 million due to higher balances. The increase was also driven by the additional interest expense of $21 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 $1.3 billion, as we called eight securitizations, resulting in a decrease of $25 million in interest expense on securitized debt during the six months ended June 30, 2026, as compared to the six months ended June 30, 2025, and lower average loan balances of $421 million, resulting in a decrease of $10 million in interest expense on secured financing agreements collateralized by Loans held for investments year over year.
Previous 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.
Current wording
Economic net interest income of our Investment Portfolio segment is a non-GAAP financial measure that equals GAAP net interest income adjusted for net periodic interest on derivatives, interest income from our 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.
Showing the first 40 of 112 pairs. Open the source sections for the rest.
Rearranged current paragraphs (11)
Current report — wording carried from elsewhere
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations
Current report — wording carried from elsewhere
IOs), Non-Agency RMBS and Loan financing declined due to redemption of certain securitized bonds, paydowns and asset sales.
Current report — wording carried from elsewhere
Our net interest rate spread, which equals the yield on our average interest-earning assets less the economic average cost of funds, decreased to 1.6% for the quarter ended June 30, 2026 compared to 1.8% for the quarter ended March 31, 2026.
Current report — wording carried from elsewhere
Our Economic net interest income (which is a non-GAAP measure, see “Economic net interest income” discussion earlier for details) decreased by $2 million to $139 million for the six months ended June 30, 2026, from $141 million for the six months ended June 30, 2025.
Current report — wording carried from elsewhere
Our net interest rate spread, which equals the yield on our average interest-earning assets less the economic average cost of funds increased to 1.6% for the six months ended June 30, 2026, compared to 1.5% for the six months ended June 30, 2025.
Current report — wording carried from elsewhere
Realized gains and losses include the net cash paid and received on our derivatives portfolio during the period as well as sales, terminations and settlements related to our derivatives portfolio.
Current report — wording carried from elsewhere
During the quarters ended June 30, 2026, and March 31, 2026, we recognized total net gains on derivatives of $27 million and $23 million respectively. During the six months ended June 30, 2026 and June 30, 2025, we recognized total net gains on derivatives of $50 million and total net losses on derivatives of $18 million, respectively.
Current report — wording carried from elsewhere
During the six months ended June 30, 2025, we acquired securitized debt collateralized by Loans held for investment with an amortized cost balance of $314 million for $312 million, which resulted in net gain on extinguishment of debt of $2 million.
Current report — wording carried from elsewhere
We recorded an impairment charge of $5 million to reduce the carrying value of certain asset management contracts associated with the Palisades Acquisition to its estimated fair value during the first quarter of 2026.
Current report — wording carried from elsewhere
We expect to enter into new secured financing agreements at maturity; however, there is a risk that we will not be able to renew our secured financing agreements when we desire to renew them or obtain favorable interest rates and haircuts as a result of uncertainty in the market including, but not limited to, uncertainty as a result of inflation and increases in the federal funds rate.
Current report — wording carried from elsewhere
PSU awards are designed to align compensation with our future performance. The PSU awards granted during the six months ended June 30, 2026 include a three-year performance period ending on December 31, 2028. For the PSU awards granted during the six months ended June 30, 2026, the final number of shares awarded will be between 0% and 150% of the PSUs granted based on share price performance compared to a peer group. The PSU awards granted during thesix months ended June 30, 2025, include a three-year performance period ending on December 31, 2027. For the PSU awards granted during the six months ended June 30, 2025, the final number of shares awarded will be between 0% and 200% of the PSUs granted based equally on the Company Economic Return and share price performance compared to a peer group.
Rearranged previous paragraphs (4)
Previous report — wording carried elsewhere
During the quarter ended March 31, 2026, we entered into two interest rate caps. We paid $5 million for a $500 million notional two-year interest rate cap with a strike rate of 3.00% on SOFR as the market reference rate. We paid $8 million for a
Previous report — wording carried 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.
Previous report — wording carried elsewhere
Agency mortgage-backed securities, obligations of Fannie Mae or Freddie Mac, and U.S. Treasury obligations, and unused and available portions of committed servicing advance lines.
Previous report — wording carried 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.