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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 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 HomeXpress 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 fivefold increase in the sector's market share in the last 4 years. Forecast for the size of the 2026 non-QM market range between $110 billion and $150 billion. We like markets with durable tailwinds. Third, the management team. HomeXpress 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 HomeXpress' loans. By connecting origination and asset management, we can widen that reach to others and support the performance of HomeXpress' loans. While HomeXpress has not had its own securitization program, Chimera 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, HomeXpress 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 channel. Sixth, the MSR opportunity. HomeXpress currently sells all loans 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 reoccurring 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 1 for $267 million. That's the sum of the 6/30 (sic) [ 8/30 ] book value of nearly $120 million, $120 million premium and about $28 million in stock. The price will be adjusted based on the 9/30 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 HomeXpress leadership team remains in place, and we granted retention stock to HomeXpress' employees that vest in 3 years because ownership builds alignment and alignment builds results. Let's talk about the numbers. Through September 30, HomeXpress 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 pretax earnings of $15 million to $18 million and after-tax earnings of $13 million to $15 million. That's after the application of our net operating losses, and annualized return on equity of 19% to 23%. For 2026, we project $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, again, after the application of our NOLs. That's a 20% to 25% return on equity. So looking ahead, what does it all mean? It means we believe HomeXpress 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.

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 for $240 million in cash comprised of an estimated adjusted book value of $120 million. This is subject to certain post-closing adjustments and a cash premium of $120 million plus the issuance of 2,077,151 shares of common stock. Okay. So I just wanted to update one remark from Phil's earlier prepared remarks. The -- Phil mentioned that the adjusted book value was as of 6/30, but it is actually the adjusted book value as of 8/30, make a correction. The purchase price that we paid. And for liquidity, continuing on, separately during the quarter, we added $275 million of Agency RMBS securities and closed on our initial $38 million MSR investment. For repo and hedging, we had $2.1 billion outstanding repo liabilities secured by the residential credit portfolio. 53% of the outstanding residential credit repo or $1.1 billion had a floating rate sensitivity, and we maintained $2.2 billion in notional value of various interest rate hedges protecting the repo liabilities. We had $1.3 billion of either non or limited mark-to-market features on our outstanding repo agreements, representing 64% of our secured recourse funding for the residential credit portfolio. On the Agency RMBS side, we had $2.4 billion notional value of interest rate swap, swap futures and cancelable swaps with varying tenors protecting against $2.4 billion of outstanding repo liabilities. For the third quarter of 2025, our economic net interest income return on average equity was 10.6%. Our GAAP return on average equity was negative 0.1%, and our EAD return on average equity was 7.3%. And lastly, compensation, general, administrative and servicing expenses were higher by $2 million, primarily driven by onetime severance payments. Our transaction expenses were higher by $10 million this quarter, reflecting the costs associated with HomeXpress acquisitions. I will now turn the call over to Jack to review our portfolio and investment activity.

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 the non-QM credit curve flattening as AAA spreads tightened in the context of 15 basis points and BBB spreads held steady. In the legacy reperforming loan sector, which represents the majority of our portfolio, AAA and senior unrated bonds tightened by approximately 10 and 25 basis points. Overall, mortgage credit fundamentals remain solid, supported by high homeowner equity, low incidence of default and near historic low unemployment. Even so, rising defaults and isolated idiosyncratic events in non-mortgage sectors have prompted heightened investor awareness. Turning to our portfolio. Book value declined approximately 3.2% during the quarter, largely driven by the combined effects of tighter non-Agency RMBS spreads and the rally in short-term rates, each of which lifted the valuation of our securitized debt more significantly than the corresponding gains in our loan portfolio. We made substantial progress in repositioning the portfolio during the quarter. while also preparing for the HomeXpress acquisition. To put that in context, excluding the Palisades acquisition, we began the year with more than 90% of our economic capital allocated to residential credit, just 4% in Agency MBS and the remainder in cash. As of October 1, we are beginning to see a more balanced and diversified portfolio with robust sources of income. The residential credit allocation is now below 70%. Agency MBS has increased to about 17%. MSRs are small but growing at just over 1%. And importantly, we deployed roughly $267 million or about 13% of our economic portfolio into the HomeXpress investment. The issuance of $120 million in senior unsecured debt during the quarter allowed us to retain a larger portion of the Agency MBS portfolio in advance of that acquisition. Our investment strategy remains centered on rotating out of fully valued assets and redeploying capital across opportunities that align with our long-term portfolio construction goals and enhance earnings power. During the quarter, we exited $453 million of retained and non-agency bonds, including senior and subordinate positions, along with the $164 million notional Agency CMBS IO position. These sales released approximately $116 million of net liquidity at a breakeven GAAP ROE of just over 7%. We purchased a net $275 million of Agency MBS, settled our previously announced MSR transaction and increased our cash balance ahead of the HomeXpress closing. This elevated cash balance was a temporary drag on earnings, but we believe that drag will be more than offset by the near-term contributions from HomeXpress as illustrated on Slide 9 of the presentation. Our agency pass-through portfolio now stands at just over $2.5 billion across the coupon stack. Leverage on the agency pass-through book increased modestly to 7.3x from 6.6x during the quarter, with rate and spread sensitivities remaining within risk parameters. We continue to hedge with swaps to maintain tight duration alignment, match our SOFR-based funding and capture additional carry. These positions continue to deliver high-quality income with levered ROEs in the low to mid-teens. On the credit side, the majority of our portfolio is made up of reperforming loans that exhibit high levels of borrower home equity and over 17 years of seasoning. Loan performance remained stable with these loans reporting a modest increase in delinquencies of 20 basis points during the quarter. Recourse leverage on the residential credit portfolio declined by approximately $329 million to $2.1 billion, reflecting asset sales and normal course paydowns. 64% of this financing was structured as non-mark-to-market or limited mark-to-market, up from 58% in the second quarter, while the floating rate component declined from 58% to 53%. As discussed last quarter, our interest rate hedging strategy for the residential credit portfolio remains designed to protect earnings power in a rising rate environment while maintaining upside in the declining rate scenario. During the quarter, we added $600 million in 1.5x 2-year swaptions to further hedge our floating rate liability exposure further out the curve. We continue to evaluate opportunities to unlock value and reinvestment capital by exercising call rights on our legacy securitizations. The scope of our review currently includes 18 transactions collateralized by approximately $5.9 billion of loans. At times, we may call these deals and either sell or resecuritize the loans. These activities can allow us to unlock capital to reinvest in higher return opportunities that drive earnings growth and support our portfolio repositioning efforts. While redeeming debt at par can reduce book value when the debt is valued at a discount, we balance those near-term effects against the benefits of our long-term portfolio objectives. These activities are designed to enhance earnings durability and reinforce the portfolio's resilience across economic, interest rate and credit environments. Turning to HomeXpress. We're excited to welcome the team as this transaction further diversifies our earnings base, creates synergies with our third-party asset management activities and supports our long-term portfolio goals by enabling us to retain loans for our own investment and securitization programs. Overall, the third quarter was another transitional period for both the portfolio and the broader business. We continue to unlock value organically through strategic divestitures, redeployed capital into accretive investments, most notably HomeXpress, diversified our portfolio and sources of income and enhanced our platform capabilities. We remain focused on executing our strategy. And with the HomeXpress acquisition now closed, we are well positioned to capture earnings tailwinds heading into the fourth quarter and into 2026. That concludes our prepared remarks. We'll now turn the line back to the operator for questions.

[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.