Executive Summary

Q3 2025 EAD per adjusted diluted share was $0.37, below S&P Global consensus of $0.463; GAAP diluted EPS was -$0.27 as fair value marks and derivative losses offset net interest income . EPS miss vs consensus was driven by negative net unrealized losses on financial instruments and higher transaction expenses tied to HomeXpress closing . Primary EPS Consensus Mean for Q3 was 0.463 vs actual 0.37*.
Book value per share fell 3.2% QoQ to $20.24 (economic return -1.4% with $0.37 dividend), with management citing steeper curve and tighter non-agency RMBS spreads lifting securitized debt valuations more than loans; BV rebounded ~2.4% in October, per Q&A .
Portfolio repositioning continued: net $275M of Agency MBS added, first MSR financing receivable completed ($35.5M NAV), and $120M unsecured notes issued; cash ended at $491M ahead of the Oct 1 close of HomeXpress (acquired for ~$240M cash plus ~2.08M shares) .
Management views HomeXpress as earnings-accretive starting Q4 2025 with 2026 after-tax gross earnings contribution guided to $53–$68M at 20–25% ROE, and intends to securitize roughly one deal per quarter without disrupting third‑party relationships .

What Went Well and What Went Wrong

What Went Well

Closed the HomeXpress acquisition on Oct 1, positioning CIM as a fully integrated mortgage platform across origination, asset management, and permanent capital; CEO: “we are well positioned to execute on our mission to diversify and grow earnings going into year end and into 2026” .
Liquidity and balance sheet actions: $491M cash at quarter‑end; issued $120M of 8.875% unsecured notes; sold $617M of retained/non‑agency/Agency CMBS IO to release $116M capital, while adding $275M Agency MBS and completing first MSR financing receivable ($35.5M NAV) .
Economic net interest income remained resilient at $68.6M with 5.9% asset yield, 4.5% cost of funds, and 1.4% economic spread; EAD per share of $0.37 was flat YoY vs $0.36 in Q3’24 despite portfolio repositioning .

What Went Wrong

Book value per share declined 3.2% QoQ to $20.24 (economic return -1.4%), as tightening non‑agency RMBS/steeper curve boosted securitized debt valuations more than loan marks; management described a timing lag in loan price reflection .
GAAP diluted EPS of -$0.27 was pressured by $(37.0)M net unrealized losses on financial instruments and derivative losses; transaction expenses rose $9.9M tied to HomeXpress closing .
Revenue (S&P “Revenue”) missed consensus materially (Q3 actual $38.23M vs est. $83.94M*), reflecting lower realized gains and derivative headwinds vs expectations; EPS also missed (0.37 vs 0.463*) *.

Financial Results

Quarterly progression (2025)

Metric	Q1 2025	Q2 2025	Q3 2025
GAAP Diluted EPS ($)	$1.77	$0.17	$(0.27)
EAD per Adjusted Diluted Share ($)	$0.41	$0.39	$0.37
Interest Income ($M)	$190.62	$201.30	$209.10
Net Interest Income ($M)	$69.22	$66.01	$65.01
Economic Net Interest Income ($M)	$72.30	$69.08	$68.56
Yield on Avg Interest‑Earning Assets (%)	5.9%	6.0%	5.9%
Avg Cost of Funds (%)	4.4%	4.5%	4.5%
Economic Net Interest Spread (%)	1.5%	1.5%	1.4%
Book Value/Share ($)	$21.17	$20.91	$20.24
Total Leverage (x)	3.9x	4.5x	4.8x
Recourse Leverage (x)	1.2x	1.8x	2.0x
Cash ($M)	$253	$250	$491

YoY comparison

Metric	Q3 2024	Q3 2025
GAAP Diluted EPS ($)	$1.39	$(0.27)
EAD per Adjusted Diluted Share ($)	$0.36	$0.37
Net Interest Income ($M)	$66.45	$65.01
Book Value/Share ($)	$22.35	$20.24

Estimates vs Actuals (S&P Global; Primary EPS mapped to EAD; Revenue per S&P)

Metric	Q1 2025	Q2 2025	Q3 2025
Primary EPS Consensus Mean ($)	0.404*	0.458*	0.463*
Primary EPS Actual ($)	0.41*	0.41*	0.37*
Revenue Consensus Mean ($M)	73.75*	83.45*	83.94*
Revenue Actual ($M)	200.99*	62.98*	38.23*

Values retrieved from S&P Global.
Notes: Primary EPS (S&P) aligns with CIM’s reported EAD per adjusted diluted share; S&P “Revenue” differs from GAAP net interest income presentation and reflects S&P-defined total revenues.*

Portfolio/Segment Snapshot (Fair Value)

Segment	Dec 31, 2024 FV ($M)	Sep 30, 2025 FV ($M)	Mix Sep 30, 2025 (%)
Loans Held for Investment	10,660.79	10,343.00	73.1%
Agency RMBS	2,247.14	2,889.05	20.4%
Non‑Agency RMBS	1,010.99	868.84	6.2%
Agency CMBS	41.68	35.43	0.3%
MSR Interests (Financing Receivables)	—	35.53	—

Guidance Changes

Metric	Period	Previous Guidance	Current Guidance	Change
HomeXpress Funded Loan Volume	Q4 2025	—	~$1.0B	New
HomeXpress Funded Loan Volume	FY 2026	—	$4.0–$4.4B	New
HomeXpress Pre‑Tax Earnings	Q4 2025	—	$15–$18M	New
HomeXpress After‑Tax Gross Earnings	FY 2026	—	$53–$68M	New
HomeXpress After‑Tax ROE	Q4 2025	—	19%–23%	New
HomeXpress After‑Tax ROE	FY 2026	—	20%–25%	New
Common Dividend/Share	Q3 2025	—	$0.37 (paid; used in economic return calc)	Maintained (info)
Preferred A Dividend/Share	Q4 2025	—	$0.50 declared	Declared
Preferred B Dividend/Share	Q4 2025	—	$0.6274 declared	Declared
Preferred C Dividend/Share	Q4 2025	—	$0.5681 declared	Declared
Preferred D Dividend/Share	Q4 2025	—	$0.6083 declared	Declared

Earnings Call Themes & Trends

Topic	Q1 2025 (prior-2)	Q2 2025 (prior-1)	Q3 2025 (current)	Trend
Portfolio Repositioning	Cash‑out refi of non‑REMICs; capital freed for new investments	Added Agency RMBS and MSR; continued diversification	Sold $617M bonds/IO; added $275M Agency; MSR $35.5M NAV	Ongoing diversification
HomeXpress	—	Definitive agreement to acquire HomeXpress	Closed Oct 1; accretive guidance for Q4/FY26	From plan to execution
Agency RMBS Allocation	Modest base	Grew to ~$2.33B pass‑throughs; levered ROEs low‑mid teens	~$2.56B pass‑throughs; leverage 7.3x; hedges $2.4B notional	Growing sleeve
MSR Strategy	—	Initiated MSR strategy	First MSR financing receivable ($35.5M NAV) completed	New income stream
Macro/Rates	—	Rate hold, then easing risk; spreads mixed	Fed cut 25 bps; curve steepened; Agency/OAS tightened	Supportive for MBS
Leverage & Liquidity	3.9x total; ample liquidity	4.5x total; $250M cash	4.8x total; $491M cash	Gradually higher leverage
Hedging	—	Swaps/swap futures hedging agency repo	$2.4B agency hedges; $2.15B residential credit hedges incl. swaptions/caps	Risk-managed

Management Commentary

CEO framing on strategic pivot: “The third quarter marked an important transition in the history of our business as we moved to cash in preparation for the acquisition of HomeXpress… we are well positioned to execute on our mission to diversify and grow earnings going into year end and into 2026” .
CFO on quarter performance and capital: “GAAP net loss for the third quarter was $22 million or $0.27 per share… EAD… was $30 million or $0.37 per share… we sold $617 million… and issued $120 million of 8.875% senior unsecured notes due 2030” .
CIO on book value drivers: “The steepening caused the yields in our securitized debt to decrease more than on the loan side… while our loans actually increased in value, the increase in the value of our liabilities increased more… unrated RPL tightened 20–25 bps… ~55%–60% of our securitized debt” .

Q&A Highlights

Book value dynamics and October update: Management detailed curve-steepening and securitized debt spread tightening outpacing loan marks; BV up ~2.4% through Oct 31 as timing reversed and loan activity settled .
Purchase accounting for HomeXpress premium: Premium above ~$120M book value to be allocated between intangibles and goodwill pending purchase accounting .
Dividend policy vs HomeXpress earnings: Board will balance current dividend needs vs retaining earnings to fund growth/securitizations; split to be assessed over time .
Retention/securitization cadence and returns: Expect ~one retained securitization per quarter as markets permit; target mid‑to‑high teens returns on retained pieces; will not disrupt existing investor partnerships .

Estimates Context

Q3 2025: Primary EPS actual $0.37 vs consensus $0.463 (miss); Revenue actual $38.23M vs consensus $83.94M (miss).*
Q2 2025: Primary EPS actual $0.41 vs consensus $0.458 (miss); Revenue actual $62.98M vs consensus $83.45M (miss).*
Q1 2025: Primary EPS actual $0.41 vs consensus $0.404 (beat); Revenue actual $200.99M vs consensus $73.75M (beat).*
Values retrieved from S&P Global.
Implications: Street may need to lower near‑term “operating EPS” (EAD proxy) and revenue assumptions for Q4 base business, offset by adding HomeXpress contribution beginning Q4 per company guidance .

Key Takeaways for Investors

Near-term: Stock likely trades on integration/realization of HomeXpress accretion and any continued BV recovery into Q4 (management noted +2.4% through Oct 31), plus rate/spread backdrop for Agency and credit .
Core earnings power: Economic NII stable (>$68M) with asset yields ~5.9% and cost ~4.5%; hedging is active across agency and credit to protect spread income .
BV sensitivity: Book value remains sensitive to non‑agency RMBS/loan vs securitized debt relative moves; management expects timing lags in loan pricing can reverse in subsequent months .
Capital flexibility: $491M cash at 9/30 and $120M new unsecured debt support originations/MSR build and Agency sleeve without excessive repo reliance; 64% of credit repo is non/limited MTM .
HomeXpress catalysts: Q4 2025 earnings contribution ($13–$15M after‑tax) and 2026 after‑tax $53–$68M target at 20–25% ROE; potential quarterly retained securitizations add mid‑to‑high‑teens retained returns .
Dividend lens: Management will weigh reinvestment vs payout as HomeXpress scales; Q3 common dividend was $0.37 and preferred Q4 dividends were declared .
Risk watch: Transaction expenses and fair value volatility (derivatives/marks) can drive GAAP EPS variability; credit performance remains stable with seasoned RPLs and high borrower equity .

CHIMERA INVESTMENT CORP (CIM)·Q3 2025 Earnings Summary