Executive Summary

Q2 2025 delivered GAAP diluted EPS of $0.17 and Earnings Available for Distribution (EAD) of $0.39 per share, with GAAP book value per common share at $20.91; economic return was 0.5% for the quarter .
Results compared to Wall Street consensus: EAD (S&P “Primary EPS”) of $0.39 missed the consensus $0.458* by ~$0.07, and revenue of ~$63.0M* missed consensus ~$83.4M*; coverage was thin (EPS: 3 estimates; revenue: 1) [functions.GetEstimates Q2 2025].
Strategic actions advanced: announced definitive agreement to acquire HomeXpress (expected closing Q4 2025) and built an Agency RMBS allocation; subsequently settled ~$6.5B Fannie Mae MSRs in early Q3 via a servicing partner .
Funding and risk posture: recourse leverage rose to 1.8x (from 1.2x in Q1) primarily due to Agency RMBS growth; economic net interest income was $69.1M; yield on average interest-earning assets was 6.0% and average cost of funds 4.5% (spread 1.5%) .
Management signaled near-term earnings drag tied to April–May deployment pacing and capital redeployment for HomeXpress integration, but reiterated medium-term earnings accretion from originations, fee businesses, MSRs, and callable securitization strategies .

What Went Well and What Went Wrong

What Went Well

“Agreement to acquire HomeXpress Mortgage Corporation, a leading non-QM mortgage originator,” expanding from acquiring/managing mortgage credit assets to producing them; management expects accretive growth and platform synergies .
Deliberate portfolio repositioning: ~$2.3B of Agency pass-through commitments (majority settled late Q2), $2.0B of swaps to hedge Agency RMBS, and early Q3 settlement of ~$6.5B Fannie Mae MSRs to diversify earnings and balance rate sensitivities .
Stable core engine: economic net interest income of $69.1M with yield 6.0% and cost 4.5% (1.5% spread); management emphasized a diversified portfolio construction across agencies, MSRs, and residential credit .

What Went Wrong

EAD missed consensus by ~$0.07, reflecting a modest earnings drag from deployment pacing in April–May before spreads improved and deployment accelerated in June [functions.GetEstimates Q2 2025] .
Book value declined 1.2% sequentially to $20.91, mainly due to short-end curve dynamics impacting securitized debt marks more than corresponding gains in the loan portfolio .
Operating costs stepped up: compensation of $11.7M vs. $7.0M YoY; transaction expenses associated with platform actions and acquisitions (e.g., $0.4M in Q2) added noise to GAAP results .

Financial Results

Metric	Q2 2024	Q1 2025	Q2 2025
GAAP Diluted EPS ($)	$0.41	$1.77	$0.17
EAD per Adjusted Diluted Share ($)	$0.37	$0.41	$0.39
GAAP Book Value per Share ($)	$21.27	$21.17	$20.91
Economic Net Interest Income ($M)	$72.4	$72.3	$69.1
Yield on Avg Interest-Earning Assets (%)	6.0	5.9	6.0
Avg Cost of Funds (%)	4.4	4.4	4.5
Net Interest Spread (%)	1.5	1.5	1.5

Interest & NII detail:

Net Interest Income Drivers ($000)	Q2 2024	Q1 2025	Q2 2025
Interest Income	$186,717	$190,616	$201,297
Interest Expense	$119,422	$121,397	$135,287
Net Interest Income	$67,295	$69,219	$66,010

Segment/Portfolio composition:

Portfolio (% of Fair Value unless noted)	Dec 31, 2024	Jun 30, 2025
Non-Agency RMBS (Total)	8.3%	7.1%
Agency RMBS (Total)	3.7%	18.3%
Agency CMBS (Total)	0.4%	0.3%
Loans Held for Investment	87.6%	74.3%
Interest-earning assets ($)	$12,780,065	$14,326,573
Interest-bearing liabilities ($)	$10,014,759	$11,737,352
GAAP Leverage (Total)	4.0x	4.5x
GAAP Leverage (Recourse)	1.2x	1.8x

Consensus vs actuals (S&P Global):

Metric	Q2 2025 Consensus	Q2 2025 Actual
Primary EPS (normalized/EAD) ($)	0.458*	0.39*
Revenue ($)	83.445M*	62.979M*

Values retrieved from S&P Global. Coverage: EPS estimates = 3; revenue estimates = 1 [functions.GetEstimates Q2 2025].

Guidance Changes

Metric	Period	Previous Guidance	Current Guidance	Change
Common Dividend ($/share)	Q2 2025	Not explicitly guided	$0.37 noted in economic return calc	Maintained
Preferred Dividends ($/share)	Q3 2025	N/A	Series A: $0.50; Series B: $0.6464; Series C: $0.484375; Series D: $0.6345	Announced
HomeXpress Acquisition	Closing timeline	N/A	Expected Q4 2025	New milestone
Agency RMBS Hedging	Q2 2025	N/A	~$2.0B swaps vs Agency RMBS repo ~$2.1B	New posture

Management did not issue formal revenue/margin guidance; they emphasized portfolio diversification, callable securitization monetization, and balancing dividend growth with reinvestment at HomeXpress .

Earnings Call Themes & Trends

Topic	Previous Mentions (Q4 2024, Q1 2025)	Current Period (Q2 2025)	Trend
Portfolio diversification (Agencies/MSRs)	Plan to grow Agency RMBS; explore MSRs to hedge duration	Deployed ~$2.3B Agency pass-throughs; $2.0B swaps; settled ~$6.5B Fannie MSRs in early Q3	Accelerating
Callable securitizations & redeployment	Issued call notices to NR deals; resecuritize; unlock capital	18 callable deals (~$6B loans) under analysis; redeployment vs book value impacts	Active pipeline
Non-QM origination platform	Strategy consideration in Q1	Announced acquisition of HomeXpress; accretive earnings expected 2026–2027	Strategic step
Funding/hedging posture	Improved non-MTM facilities; swaption and caps	58% non-/limited MTM on residential credit repo; 111% floating rate hedge ratio	Strengthening
Dividend strategy	Increased in 2024; balanced approach	Balance near-term payout with reinvestment post-HomeXpress; focus on total economic return	Cautious, growth-oriented
Macro/housing conditions	Affordability constraints; yield curve dynamics	Yield curve steepened; agency spreads mixed; existing home sales weak YTD	Persistent headwinds

Management Commentary

CEO perspective: “With the acquisition of Palisades, HomeXpress, and portfolio diversification through the addition of Agency RMBS and MSRs this quarter, we are executing on our strategy to become a diversified and resilient hybrid residential mortgage REIT.” .
Strategic clarity: “We expect both acquisitions to be accretive... through addition of complementary capabilities, talent and scale... We’ll continue diversifying our portfolio and income streams, growing recurring fee income, adding liquidity... focus of growing our assets and dividend, our total economic return over the long term.” .
CFO detail: “GAAP net income for the second quarter was $14 million or $0.17 per share... economic return on GAAP book value was 0.5%... EAD was $32.1 million or $0.39 per share... yield 6.0%, average cost of funds 4.5%, net interest spread 1.5%... total leverage 4.5x; recourse leverage 1.8x.” .
CIO market color: “Early April tariff escalation rattled risk markets... curve steepening... corporate spreads tightened while non-Agency RMBS widened modestly... Book value declined 1.2% primarily driven by short-end curve rally impacting securitized debt valuations.” .

Q&A Highlights

Accretive growth and ROE outlook: Management expects accretive earnings impact from HomeXpress and fee businesses, aiming to lay the foundation for higher earnings power; double-digit ROE potential discussed with path dependent on Fed policy and redeployment .
Capital allocation mix: Long-term portfolio to balance legacy re-performing loans with permanent roles for Agencies and MSRs (targeting ~15–25% MSRs over time, subject to conditions) .
Dividend policy post-HomeXpress: Intends to balance reinvestment to grow platform/assets with near-term payouts to support the dividend; focus on total economic return .
Funding costs: Weighted average rates on secured financings declined ~60 bps QoQ due to increased Agency financing mix .
Book value trajectory: Down ~55 bps quarter-to-date through late July; loan portfolio relatively flat; senior securitized debt spreads tightening .
Fed cuts sensitivity and calls: Rate cuts would improve NIM (protected by caps) and likely make more callable deals economic to redeem/resecuritize .
Home equity products: Potential for modest impact on prepayments among seasoned borrowers, but credit remains solid with strong equity and stable cash flows .
HomeXpress retention vs. sales: Plan to maintain strong third-party buyer relationships while thoughtfully retaining a portion of production across REIT, credit funds, and asset management clients; no fixed percentage disclosed .

Estimates Context

Q2 2025 comparison: EAD (S&P “Primary EPS”) $0.39 fell short of consensus $0.458* (miss ~$0.068); revenue ~$63.0M* vs. ~$83.4M* consensus* (miss ~$20.4M*). Coverage limited (EPS: 3; revenue: 1) [functions.GetEstimates Q2 2025].
Forward consensus (next four quarters): S&P “Primary EPS” mean rises from ~$0.463* (Q3’25) to ~$0.545* (Q2’26); revenue consensus ~$80–83M* with only 1–2 estimates per period, implying low visibility* [functions.GetEstimates next 4 quarters].
Values retrieved from S&P Global.

Key Takeaways for Investors

Chimera is executing a multi-pronged transformation: adding HomeXpress origination, scaling Agencies, and beginning MSR investments to diversify earnings and stabilize rate exposure; these moves should support medium-term EAD growth and total return .
Near-term earnings were dampened by paced deployment and higher interest expense, but June deployment and early Q3 MSRs suggest improving carry into Q3/Q4; watch EAD trajectory and book value stabilization as catalysts .
EAD missed consensus and revenue coverage is sparse; traders should focus on spreads, hedge effectiveness, and callable deal execution that can unlock capital for higher-ROE allocations [functions.GetEstimates Q2 2025] .
Funding robustness (58% non-/limited MTM repo on residential credit, 111% floating rate hedge ratio) and Agency swap hedging reduce liquidity risk; recourse leverage increase was purposeful for Agency growth .
Dividend appears supported by EAD and diversified sources; management will balance payout with reinvestment post-HomeXpress—any clarity on retention rate of originations and MSR pacing could be stock-moving .
Macro watch: Yield curve steepening and housing affordability constraints persist; Agency spread and swap OAS dynamics drive carry; Fed path remains the key variable for NIM and callable economics .
Monitor Q3 updates: integration milestones for HomeXpress, additional MSR purchases, callable resecuritizations, and EAD vs. consensus revisions, given low estimate depth that can amplify surprise risk .

CHIMERA INVESTMENT CORP (CIM)·Q2 2025 Earnings Summary