Chimera Investment Corporation

Greetings. Welcome to Chimera Investment Corporation third quarter earnings call. At this time, all participants are in a listen-only mode. A question and answer session will follow the formal presentation. If anyone should require operator assistance during the conference, please press star zero on your telephone keypad. Please note this conference is being recorded. I would now like to turn the conference over to Mian Sun, Chief Legal Officer. Thank you. You may begin.

Thank you, operator, and thank you, everyone, for participating in Chimera's third quarter 2025 earnings conference call. Before we begin, I'd like to review the safe harbor statement. During this call, we will be making forward-looking statements, which are predictions, projections, or other statements about future events. These events are based on current expectations and assumptions that are subject to risks and uncertainty, which are outlined in the risk factors section in our most recent annual and quarterly SEC filings. Actual events and results may differ materially from these forward-looking statements. We encourage you to read the forward-looking statement disclaimers in our earnings release and our quarterly and annual filings. During the call today, we may also discuss non-GAAP financial measures. Please refer to our SEC filings and earnings supplement for reconciliations to the most comparable GAAP measures. Additionally, the content of this conference call may contain time-sensitive information that is accurate only as of the date of this earnings call. We do not undertake and specifically disclaim any obligation to update or revise this information. I will now turn the conference over to our President and Chief Executive Officer, Phil Cartus.

Thanks, Myung. Good morning, and welcome to Chimera Investment Corporation's third quarter 2025 earnings call. It's great to have you with us today. Joining me are Jack McDowell, our chief investment officer, and Subra Viswanathan, our chief financial officer. After my remarks, Subra will review our results, and then Jack will discuss the portfolio before we open it up for questions. This quarter's story doesn't start in ancient Greece. It doesn't involve hedgehogs or foxes, so we remain proud to be a hedgehog. It began this past spring when we learned that Home Express Mortgage was for sale. At that point, we weren't looking for an originator. We had just completed our strategic analysis, sharpened our focus, and executed on that clarity with the acquisition of Palisades. That integration went smoothly, proof that discipline and culture matter. Because Palisades manages assets for third parties who own Home Express loans, we knew the high quality of their production. So when Home Express came to market, we reached out. We had an introductory call with Kyle Walker, its CEO, and members of the senior team. That conversation was the first of many over the ensuing months that confirmed we weren't just buying a platform, we were partnering with a team that shares our values and vision. We saw seven key reasons why this acquisition made sense. First, it met our high standard. When we look at a potential acquisition, we ask three questions. Does the management team share our values and vision? Is it profitable and well-run? Can it make the whole greater than the sum of the parts? Home Express passed each test. I'll discuss profitability, operations, and synergy shortly, but what are our values and visions? Our values are simple, long-term orientation, high ethical standards, and an insistence on operational excellence. Our vision is to build a company that endures, one where our team members are proud to work, clients receive tangible value, and shareholders are rewarded for their partnership. That's the standard, and Home Express met it. Second, the size and growth of the non-QM market. While there's not a lot of data on non-QM originations, we believe such originations have grown every year since 2021, from about 1.1% of total residential mortgage originations in 2021 to an expected 5.1% or more than $100 billion in 2025. That's a roughly five-fold increase in the sector's market share in the last four years. Forecast for the size of the 2026 non-QM market range between $110 and $150 billion. We like markets with durable tailwinds. Third, the management team. Home Express has an experienced management team that knows how to grow in a disciplined manner, placing quality of production over volume. Fourth, the synergies. The synergies with Palisades and Chimera, we believe, are obvious. Palisades already manages assets for some of the buyers of Home Express's loans, By connecting origination and asset management, we can widen that reach to others and support the performance of Home Express's loans. While Home Express has not had its own securitization program, Khmer is a leader in securitizing residential mortgage loans. We believe that the ability to securitize some of their production at the cost to originate while still satisfying their customer base will provide an additional longer-term source of income. Fifth, expansion runway. Today, Home Express originates business purpose loans in 46 states and consumer loans in 42 states. We plan on adding additional states, including New York, and accelerate the correspondent channel growth alongside the already successful wholesale channels. Six, the MSR opportunity. Home Express currently sells all loan servicing released. They plan to obtain the servicing license they don't have, which will enable us to grow our own MSR book. both from our production and from purchases from third parties, which will create a hedge for our loan portfolio and reincurring income engine. Seventh, agency originations. A small but promising business that adds optionality and balance. Turning to the transaction, we closed the acquisition on October 1st for $267 million. That's the sum of the 630 book value of nearly $120 million, $120 million premium and about $28 million in stock. The price will be adjusted based on the 930 book value and some other true-ups, which we expect will result in an increase in the purchase price of around $5 million. Importantly, the Home Express leadership team remains in place, and we granted retention stock to Home Express's employees that vests in three years, because ownership builds alignment, and alignment builds results. Let's talk about the numbers. Through September 30th, Home Express originated $2.4 billion by UPB, up 36% year-over-year, about 40% consumer, just under 60% business purpose, and the rest agency. For Q4, we expect around $1 billion in originations, yielding expected pre-tax earnings of $15 to $18 million and after-tax earnings of $13 to $15 million. That's after the application of our net operating losses. an annualized return on equity of 19 to 23 percent. For 2026, we project 4 to 4.4 billion in originations, pre-tax earnings of 62 to 80 million, and after-tax earnings of 53 to 68 million, again, after the application of our NOLs. That's a 20 to 25 percent return on equity. So, looking ahead, what does it all mean? It means we believe Home Express is accretive to our earnings. It gives us a new revenue stream, greater diversification, and more recurring income. It accelerates our strategy, growing our assets and fee generation, which we believe will lead to an increase in our dividend-paying ability and total economic return over the long term. We're not just building a bigger company. We're building a better one, one designed for the long term. Now I'll turn it over to Subra to walk you through the financials.