Greetings. Welcome to Chimera Investment Corporation Third Quarter Earnings Call. [Operator Instructions] Please note, this conference is being recorded. I would now like to turn the conference over to Miyun Sung, 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 uncertainties, 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 Kardis.

Thanks, Miyun. 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 MacDowell, 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 HomeXpress 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, proved that discipline and culture matter. Because Palisades manages assets for third parties who own HomeXpress loans, we knew the high quality of their production. So when HomeXpress came to market, we reached out. We had an introductory call with Kyle Walker, as CEO and members of the senior team. That conversation was the first of many over the ensuing months. They confirmed we weren't just buying a platform, we were partnering with a team that shares our values and vision. We saw 7 key reasons why this acquisition made sense. First, it met our high standard. When we look at a potential acquisition, we asked 3 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? HomeXpress passed each test. I'll discuss profitability, operations and synergies 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…

Thank you, Phil. I will review Chimera's financial highlights for the third quarter of 2025. GAAP net loss for the third quarter was $22 million or $0.27 per share. GAAP book value at the end of third quarter was $20.24 per share. For the third quarter, our economic return on GAAP book value was negative 1.4% based on the quarterly change in book value and the $0.37 third quarter dividend per common share. And year-to-date 2025, our economic return on GAAP book value was 8.3%. On an earnings available for distribution basis, net income for the third quarter was $30 million or $0.37 per share. Our economic net interest income for the third quarter was $69 million. For the third quarter, the yield on average interest-earning assets was 5.9%. Our average cost of funds was 4.5%, and our net interest spread was 1.4%. Total leverage for the third quarter was 4.8:1, while recourse leverage ended the quarter at 2:1. Recourse leverage increased this quarter as we continue to increase our capital allocation to Agency RMBS securities. For liquidity and strategic developments, the company ended the quarter -- ended the third quarter with $752 million in total cash and unencumbered assets compared to $561 million at the end of second quarter. During the quarter, we strategically raised liquidity through staggered sales of select assets. We sold $617 million of retained bonds, non-Agency RMBS and Agency CMBS IO positions, releasing $116 million of capital. In addition, we issued $120 million of 8.875% senior unsecured notes due 2030. Net of the underwriting discount and other debt issuance costs, we raised $116 million in capital. The increase in cash balance prepared us with anticipated funds required to close the HomeXpress acquisition, which was finalized on October 1. We closed on our acquisition of HomeXpress…

Thanks, Subra, and good morning, everyone. We had a busy third quarter as the team remained focused on repositioning the portfolio while maintaining elevated levels of cash in preparation for the HomeXpress acquisition. Against this backdrop, the U.S. economy remained mixed but generally resilient. Growth was supported by continued strength in nonresidential investment, particularly in artificial intelligence-related infrastructure, equipment and software, while labor conditions show gradual signs of cooling. Policy and regulatory developments once again shaped the tone of financial markets. The Federal Reserve shifted from holding the line on restrictive policy to actively easing, cutting the target Fed funds rate by 25 basis points in September. Importantly, the Fed acknowledged that risks have begun to tilt toward labor market conditions rather than inflation alone, reinforcing a market narrative that policy is now oriented towards sustaining growth and employment rather than focusing solely on price stability. In rates, the curve steepened as front-end yields led the rally. The 2-year treasury declined 11 basis points during the quarter, while the 10-year fell 8, widening the 2s 10 spread to 54 basis points. Agency MBS continued to offer attractive carry even as OAS tightened amid lower volatility and strong demand. Current coupon nominal spreads tightened by 24 basis points versus swaps and 21 basis points versus treasuries. Primary mortgage rates declined roughly 35 basis points to 6.32%, spurring a rise in refinance activity as the refinance share of applications climbed from 40% in early July to more than 60% in late September. Housing activity improved modestly, though existing home sales at a $4.1 million annual pace remains well below the 27-year average of $5.2 million. Credit markets remained firm. Investment-grade and high-yield corporate spreads tightened 9 and 23 basis points, respectively. Non-Agency RMBS saw strong demand and healthy absorption of supply with…

[Operator Instructions] Our first questions come from the line of Bose George with KBW.

This is Frankie Labetti on for Bose. Congrats on the deal closing as well. And first question is on book value. You noted that the change was due to like the steeper yield curve and the increase in value of the securitized debt more than the value of the loans. Can you just walk through that and why the loans don't get a similar mark? Is it due to like liquidity or -- yes.

Yes. No, it's a good question. And part of it is a lag in just the timing with respect to when we're seeing spreads change in the securitization markets versus when we actually see that propagate down into the loan market. So that has one effect. The other piece is the shape of the yield curve. So as we saw the 2-year rallied 11 basis points, the 5-year, only 6 basis points, so that steepening caused the yields in our securitized debt to increase -- to decrease more than on the loan side. So that has the effect while our loans actually increased in value, the increase in the value of our liabilities increased more. The other piece I would highlight there, we saw spreads tighten across non-Agency RMBS during the quarter. But when you think about what our portfolio is comprised of, it's really reperforming loans. So there's a rated and a non-rated component there. And the unrated portion of the RPL market is where we saw the tightest spreads that came in somewhere between 20 and 25 basis points. So that represents somewhere between 55%, 60% of our securitized debt. And again, that's what caused the increase in value of our debt more so than what we saw on the loan side.

Great. That's very helpful. And do we have an update of book for the quarter?

Yes, yes. And actually, we've seen some of that reverse. Some of that has to do with the timing and seeing some loan activity during the course of October, but we're up about 2.4% through October 31.

Awesome. And just one last one on the deal, is goodwill $120 million? You noted that the deal was -- that was a premium to book. Is that -- I just want to confirm that.

Yes. This is Subra. Thanks for the question. Well, the total premium was -- well, all the payments above the $120 million book value. Obviously, we haven't closed, and there will be an adjustment, meaning there is some final adjustments to the book value that will come through as we true up September. Now as far as everything is going to be goodwill, that all depends on the purchase accounting. We're going through these numbers right now. And a portion of the purchase accounting, that will -- we are still evaluating how much of that premium is related to intangibles versus goodwill.

[Operator Instructions] Our next questions come from the line of Trevor Cranston with Citizens JMP.

A couple of questions on HomeXpress. First of all, thank you for the projections for Q4 and 2026. That's very helpful. I guess when you guys think about the earnings contribution that you're going to get from HomeXpress, can you talk about how you guys are going to approach that with the dividend? Would you expect to pay out the majority of HomeXpress' earnings as part of the dividend? Or do you think a lot of that will be retained to sort of finance future growth in that business?

Yes, sir, this is Phil. So that's a question and we started to address last time. It's -- first, as you know, it's a final determination by the Board. But we'll look at a variety of factors, which are related to how much HomeXpress would need to retain to continue to grow and as we want to be able to grow our own asset base even through securitizations, for example, versus current dividend needs. I mean we recognize the benefits for both, and we're just going to have to look at the timing and make assessments at that time where we think the split is appropriate between current dividend needs and future growth. it's a little bit wishy, but it's hard to predict right now for that.

Sure. Okay. And then as you look at the origination volume that they're producing, can you talk about kind of your near-term expectations as to how much of that you might retain and securitize for an ongoing investment on the balance sheet and how you sort of view returns on retaining that production as investment relative to some of the other areas you've been deploying capital?

Yes, sure. This is Jack. I guess what we would say, first and foremost, is our intent is not to disrupt any of the partnerships that they have with their existing investor base. That's a very important component of their business. We continue to believe that our job is in part to support that effort. With that being said, given just the predictions for the growth in overall mortgage originations in 2026, and the fact that the non-QM share of total mortgage originations has increased every single year since 2020. We believe that their volume is going to be such that our retention of loans will not disrupt any of those partnerships. So I think a fair assessment of that is we'll look to do something in the context of 4 to 5 securitizations a year, maybe 1 per quarter. When that starts will be a function of market conditions. And it's also a balance between they are generating some healthy gain on sale income. And when we retain those loans for our portfolio, that's a long-term investment decision, but we're also giving up some of those near-term gains. So there's an economic assessment that we go through as well. But I think it's a fair assessment to assume something along the lines of 1 deal per quarter. And the other piece of your question, I think, is with respect to economics. I mean it depends on the structure of the deal, how far we sell down in the capital structure and what we ultimately retain. But we're looking at returns on our retained pieces of those deals somewhere in the context of mid- to high teens.

We have reached the end of our question-and-answer session. I would now like to turn the floor back over to Phil Kardis for closing comments.

Thanks for participating in our third quarter earnings call. We look forward to speaking to you in February about the fourth quarter and 2025 end of the year. So look forward to seeing you. Thanks for joining.

Ladies and gentlemen, thank you for your participation. This does conclude today's teleconference. Please disconnect your lines at this time, and have a wonderful day.