Chimera Investment Corporation Q3 FY2025 earnings call

• Acquisition of HomeXpress: Closed on October 1 for $240 million in cash, including adjusted book value of ~$120 million, $120 million cash premium, and stock issuance. HomeXpress aligns with Chimera's values (long-term orientation, high ethical standards, operational excellence) and vision (building a lasting company). Synergies with Palisades, expansion into new states, MSR opportunity, and agency originations. - Portfolio repositioning: Exited $453 million of retained and non-agency bonds, purchased $275 million of Agency MBS, settled $38 million MSR investment, and increased cash. - Economic conditions: U.S. economy mixed but resilient, Fed cut rates, yield curve steepened, mortgage activity improved, credit markets firm.

HomeXpress segment: Through September 30, HomeXpress originated $2.4 billion by UPB, up 36% year-over-year. Breakdown: ~40% consumer, just under 60% business purpose, rest agency. For Q4, expected ~$1 billion in originations, yielding expected pretax earnings of $15 million to $18 million and after-tax earnings of $13 million to $15 million, with annualized return on equity of 19% to 23%. For 2026, projected $4 billion to $4.4 billion in originations, pretax earnings of $62 million to $80 million and after-tax earnings of $53 million to $68 million, with a 20% to 25% return on equity.

• Q4 HomeXpress originations expected ~$1 billion, pretax earnings $15M-$18M, after-tax $13M-$15M, annualized ROE 19%-23%. - 2026 HomeXpress originations projected $4B-$4.4B, pretax $62M-$80M, after-tax $53M-$68M, ROE 20%-25%. - HomeXpress acquisition closed on October 1.

Forward-looking statements subject to risks and uncertainties outlined in SEC filings; market conditions, interest rate changes, and credit risks could impact portfolio valuations.

Q: On book value change, Jack Macdowell explained it's due to timing of spread changes in securitization vs loan market, steep yield curve affecting securitized debt more than loans.

A: Yes. Partly due to lag in spread changes between securitization and loan markets, and yield curve steepening causing securitized debt value increase more than loans. Also, tight spreads in non-Agency RMBS, especially unrated portion of RPL market, affected book value.

Q: On book value update, Jack Macdowell said up ~2.4% through October 31.

A: Yes, some of the earlier book value change reversed with loan activity in October.

Q: On HomeXpress earnings contribution to dividend, Phil Kardis said Board will determine based on growth needs and dividend needs.

A: Yes, Board will consider factors like HomeXpress growth needs and current dividend needs to determine split between dividend and retained earnings.

Q: On HomeXpress origination retention and securitization, Jack Macdowell said intent is not to disrupt partnerships, expect 4-5 securitizations a year, returns on retained loans in mid-to-high teens.

A: Yes, intent is to support existing partnerships, expect 4-5 securitizations annually, with returns on retained loans in mid to high teens depending on deal structure.