Chimera Investment Corporation (CIM) 2026 Q1 法說會逐字稿

Greetings, and welcome to the Chimera Investment Corporation first-quarter 2026 earnings call. (Operator Instructions) As a reminder, this conference is being recorded.

各位好，歡迎參加 Chimera Investment Corporation 2026 年第一季財報電話會議。（接線員指示）提醒各位，本次會議將被錄音。

I would now like to turn the call over to your host, Tyra Walton, Head of Investor Relations. Thank you. You may begin.

現在我想把電話會議交給本次主持人——投資人關係主管 Tyra Walton。謝謝。您可以開始了。

Thank you, operator, and thank you, everyone, for joining us today. I'm Tyra Walton, Head of Investor Relations. This morning, Chimera released its results for the first quarter of 2026. The earnings release and presentation for the quarter are both available on our website at chimerareit.com.

謝謝接線員，也謝謝各位今天加入。我是投資人關係主管 Tyra Walton。今天早上，Chimera 已公布 2026 年第一季業績。本季的新聞稿與簡報皆可於我們網站 chimerareit.com 取得。

Before we begin, I'd like to review the safe harbor statement. Today's remarks may contain 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.

在開始之前，我想先說明安全港聲明。今天的發言可能包含前瞻性陳述，也就是對未來事件的預測、推估或其他說法。這些事件係基於目前的預期與假設，並受風險與不確定性影響；相關內容已於我們最近的年度與季度向 SEC 申報文件中的「風險因素」章節列示。

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, 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.

實際事件與結果可能與這些前瞻性陳述有重大差異。我們鼓勵各位閱讀我們財報新聞稿以及季度與年度申報文件中的前瞻性陳述免責聲明。在本次電話會議中，我們也可能討論非 GAAP 財務衡量指標。請參閱我們的 SEC 申報文件與財報補充資料，以取得與最可比 GAAP 指標之調節表。

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 call over to our President and Chief Executive Officer, Phil Kardis.

此外，本次電話會議內容可能包含具時效性的資訊，僅在本次財報電話會議當日為準確。我們不承擔且明確聲明不負有更新或修訂該等資訊之任何義務。接下來我將把電話交給我們的總裁兼執行長 Phil Kardis。

Thank you, Tyra. Good morning, and welcome to Chimera Investment Corporation's first quarter 2026 earnings call. Joining me on the call are Subra Viswanathan, our Chief Financial Officer; Jack MacDowell, our Chief Investment Officer; and Kyle Walker, the President and CEO of HomeXpress Mortgage.

謝謝你，Tyra。各位早安，歡迎參加 Chimera Investment Corporation 2026 年第一季財報電話會議。與我一同參與的還有：財務長 Subra Viswanathan、投資長 Jack MacDowell，以及 HomeXpress Mortgage 的總裁兼執行長 Kyle Walker。

After my remarks, Subra will review the financial results. Jack will review the investment portfolio, and then Kyle will review HomeXpress results. We operate in a market where conditions change -- can change quickly. Rates move, spreads widen, liquidity tightens and then rarely in a straight line.

在我發言之後，Subra 將回顧財務結果；Jack 將回顧投資組合；接著 Kyle 將回顧 HomeXpress 的業績。我們所處的市場環境會變動——而且可能變得很快。利率波動、利差擴大、流動性收緊，且很少是直線式的變化。

This year has been a clear reminder of that reality. During the quarter, treasury yields moved higher across the curve, while the 2/10s spread flattened. Prior to the Iran conflict, mortgage rates briefly touched the 3.5-year low, going to reverse higher by 40 basis points as volatility returned. Mortgage basis widened relative to treasuries and swaps, equity volatility spiked at one point doubling before stabilizing.

今年清楚提醒了我們這個現實。本季期間，公債殖利率在整條曲線上走高，而 2 年/10 年期利差趨於平坦。在伊朗衝突之前，房貸利率一度觸及 3.5 年低點，隨後在波動回歸時反轉上升 40 個基點。房貸基差相對於公債與利率交換擴大，股市波動率一度飆升至接近翻倍後才趨於穩定。

Oil prices moved sharply higher. And at the same time, rate markets alternated between periods of calm and episodes of rapid repricing. Overlaying this, the market expectations for monetary policy shifted meaningfully. At the start of the year, the market anticipated two to three rate cuts in 2026.

油價大幅走高。同時，利率市場在平靜期與快速重新定價的階段之間交替出現。在此背景下，市場對貨幣政策的預期也出現顯著轉變。年初時，市場預期 2026 年將降息兩到三次。

By quarter end, those expectations had largely dissipated. And in fact, there's now some discussion of the possibility of rate hikes. I highlight these dynamics to underscore a central point. We are operating in a market where uncertainty is not episodic. It's structural. We don't try to predict where the market will be. We focus on being prepared for wherever it goes.

到了季末，這些預期大多已消退。事實上，現在甚至出現了對升息可能性的討論。我強調這些動態，是為了凸顯一個核心觀點：我們所處的市場，不確定性不是偶發性的，而是結構性的。我們不試圖預測市場將走向何處；我們專注於為任何可能的走向做好準備。

Our objective is clear: to build a company that's not dependent on any single market environment. The question then is straightforward. How did we perform in this environment? And how are we positioned going forward? I'll give you a sneak peek. We think we did very well and believe we are well positioned to take advantage of opportunities throughout the rest of the year.

我們的目標很明確：打造一家不依賴任何單一市場環境的公司。接下來問題就很直接：在這樣的環境下，我們表現如何？未來又如何布局？我先透露一下：我們認為本季表現非常好，並相信我們已做好準備，在今年剩餘時間把握各種機會。

So let's start with HomeXpress. HomeXpress had another strong quarter. Despite volatility, origination volume increased 39% compared to the first quarter of 2025, reaching $884 million. Moreover, they were able to generate $11 million of earnings before taxes, depreciation and amortization, representing an annualized return on equity of 16.8%. This is what we aim for, growth with discipline and returns that justify the capital employed.

先從 HomeXpress 談起。HomeXpress 本季再度交出強勁成績。儘管市場波動，承作量較 2025 年第一季成長 39%，達到 8.84 億美元。此外，其稅前、折舊與攤銷前盈餘（EBITDA）達 1,100 萬美元，換算年化股東權益報酬率為 16.8%。這正是我們追求的：在紀律下成長，並取得足以合理化所投入資本的報酬。

Turning next to our investment portfolio. We continue to reposition the portfolio to unlock value and build more durable earnings. During the quarter, our allocation to loans decreased from 62% to 55% and our allocation to Agency RMBS increased from 15% to 21%. The primary driver for this shift was the redemption of eight securitizations backed by $1.5 billion of seasoned reperforming loans.

接著談我們的投資組合。我們持續重新配置投資組合，以釋放價值並建立更具韌性的獲利能力。本季期間，我們對貸款的配置比重由 62% 降至 55%，而對機構 RMBS（Agency RMBS）的配置比重由 15% 升至 21%。此一轉變的主要原因，是贖回了 8 檔以 15 億美元已具年資的再履約貸款（seasoned reperforming loans）為擔保的證券化交易。

We sold $1.2 billion of those loans, generating $195 million in net proceeds and retained $287 million for current income and future securitization. With an estimated breakeven ROE of just under 8%, the reinvestment of these proceeds has the potential to generate an additional $15 million in annual earnings.

我們出售其中 12 億美元的貸款，產生 1.95 億美元的淨收益，並保留 2.87 億美元以取得當期收益並供未來證券化之用。以估計損益兩平 ROE 略低於 8% 計算，將這些收益再投資，有潛力額外帶來每年約 1,500 萬美元的盈餘。

The takeaway, we increased earnings power while improving portfolio flexibility. As we look at our portfolio repositioning over the past 15 months, our estimated investment levered returns, including the addition of HomeXpress, have increased by approximately 20%. Also since the beginning of the year, we have been purchasing newly originated loans from HomeXpress.

重點是：我們在提升獲利能力的同時，也改善了投資組合的彈性。回顧過去 15 個月的投資組合重新配置，我們估計的投資槓桿報酬（包含納入 HomeXpress）約提升了 20%。此外，自年初以來，我們也開始購買 HomeXpress 新承作的貸款。

We plan to launch the new CIM HomeX securitization program later this quarter or early next. Overall, our portfolio had a very strong quarter. But as a REIT, the real test is our dividend. So how are we doing? First quarter earnings available for distribution EAD was $0.54 per share, which covered the $0.45 dividend by 120%. Over the past 10 quarters, our EAD has exceeded our dividend in nine, missing once by a single penny.

我們計畫在本季稍晚或下季初推出新的 CIM HomeX 證券化計畫。整體而言，我們的投資組合本季表現非常強勁。但作為一家 REIT，真正的考驗在於股利。因此我們表現如何？第一季可供分配盈餘（EAD）為每股 0.54 美元，對每股 0.45 美元的股利覆蓋率為 120%。過去 10 個季度中，我們的 EAD 有 9 個季度高於股利，僅有 1 次差距為 1 美分。

Over that same period, we increased the dividend from $0.33 to $0.45 per share, a 36% increase while maintaining EAD coverage of more than 1.1x. I want to let that sink in for a minute. We've grown and covered our dividend for the past 2.5 years. That consistency is not accidental. It reflects a focus on generating durable earnings. So what's our outlook for the remainder of the year and how are we positioned?

在同一期間，我們將每股股利從 0.33 美元提高到 0.45 美元，增幅 36%，同時維持 EAD 覆蓋率高於 1.1 倍。我希望各位花點時間消化這點：過去 2.5 年，我們一邊成長、一邊覆蓋股利。這種一致性並非偶然，而是源自於我們對可持續獲利的專注。那麼，今年剩餘時間的展望如何？我們又如何布局？

Looking ahead, we expect continued uncertainty, political, geopolitical and market-driven. But despite that uncertainty, we remain optimistic about the future. We have structured the platform to preserve optionality across origination, investment and asset management so that we can adapt as conditions evolve.

展望未來，我們預期不確定性仍將持續，包含政治、地緣政治以及市場因素所驅動的變數。但即便如此，我們仍對未來保持樂觀。我們已建構平台，在承作、投資與資產管理各環節保留選擇權，以便在環境演變時能夠調整。

And more than that, we have the capital and the liquidity to take advantage of that optionality. We ended the quarter with $476 million of cash, approximately $200 million of unencumbered assets and nearly $500 million of equity allocated to Agency RMBS.

不僅如此，我們也具備資本與流動性來運用這些選擇權。季末我們持有 4.76 億美元現金、約 2 億美元未設質資產，以及近 5 億美元配置於機構 RMBS 的股東權益資本。

So as we look over the rest of the year, we believe we have both the liquidity and the flexibility to continue to play offense and act when opportunities arise. Specifically, we will continue to grow and diversify the portfolio, expand originations, build fee-based income and pursue acquisitions. With that, I'll turn it over to Subra to walk you through the financials.

因此，展望今年剩餘時間，我們相信我們同時具備流動性與彈性，能持續採取進攻策略，並在機會出現時果斷行動。具體而言，我們將持續擴大並多元化投資組合、擴增承作量、建立以費用為基礎的收入，並尋求併購機會。接下來我把時間交給 Subra，帶各位檢視財務數字。

Thanks, Phil. GAAP net loss for the quarter was approximately $65 million. We generated approximately $46 million of earnings available for distribution or $0.54 per share compared with $34 million and $0.41 per share in Q1 of 2025. This improvement reflects higher net interest income from the portfolio and the addition of HomeXpress. Our quarterly dividend of $0.45 per share was covered by earnings at approximately 1.2 times.

謝謝，Phil。本季 GAAP 淨損約為 6,500 萬美元。我們創造了約 4,600 萬美元的可供分配盈餘，或每股 0.54 美元；相較之下，2025 年第一季為 3,400 萬美元與每股 0.41 美元。此一改善反映投資組合淨利息收入提高，以及納入 HomeXpress 的貢獻。我們每股 0.45 美元的季度股利，約由盈餘以 1.2 倍覆蓋。

GAAP book value per share declined by 6.9% to $18.34. Excluding the impact of redemption of eight securitization deals and related loan sales, book value was down by 2.5%. Jack will provide additional details on the transaction and its impact on book value and earnings. In addition, the transaction released $195 million in equity, which was immediately redeployed into agency securities, increasing liquidity and supporting earnings accretion.

依 GAAP 計算之每股帳面價值下滑 6.9% 至 18.34 美元。若排除贖回八筆證券化交易及相關貸款出售的影響，帳面價值下降 2.5%。Jack 將就該交易及其對帳面價值與盈餘的影響提供更多細節。此外，該交易釋放了 1.95 億美元的股東權益，並立即重新部署至機構證券，提升流動性並支持盈餘增厚。

Redeeming the securitized debt reduced net interest expense by $4 million, reflecting the exclusion of accrued carry interest on the payoff. In addition, income from our MSR-related investments benefited from early payout protection payments of $2 million. Together, these items contributed approximately $0.07 to earnings available for distribution per share and are not expected to recur.

贖回證券化債務使淨利息費用減少 400 萬美元，反映於清償時排除已累計的 carry 利息。此外，我們與 MSR 相關投資的收益受惠於 200 萬美元的提前給付保護款。合計而言，這些項目約為每股可分配盈餘貢獻 0.07 美元，且預期不會再度發生。

With that, at the firm level for the quarter, economic return on GAAP book value was negative 4.6% based on the quarterly change in book value and the $0.45 first quarter dividend per common share. Annualized GAAP return on average equity was negative 6.97%, while annualized EAD return on average common equity was 11.53%.

因此，就公司層面而言，本季 GAAP 帳面價值的經濟報酬率為負 4.6%，係基於本季帳面價值變動以及每股普通股 0.45 美元的第一季股利。年化 GAAP 平均股東權益報酬率為負 6.97%，而年化 EAD 平均普通股權益報酬率為 11.53%。

Segment performance for the first quarter was as follows: -- for the investment portfolio, economic net interest income was $72.8 million, while annualized economic net interest income return on average equity was 13.03%. The yield on average interest-earning assets was 6%. Our average cost of funds was 4.2% and the resulting net interest spread was 1.8%. For the Residential Origination segment, HomeXpress funded $884 million of loans.

第一季各事業部門表現如下：— 就投資組合而言，經濟淨利息收入為 7,280 萬美元，而年化經濟淨利息收入對平均股東權益報酬率為 13.03%。平均生息資產收益率為 6%。我們的平均資金成本為 4.2%，因此淨利差為 1.8%。就住宅貸款承作（Residential Origination）部門而言，HomeXpress 撥款（funded）貸款 8.84 億美元。

EBITDA defined as earnings before taxes, depreciation and amortization was $11.4 million and annualized EBITDA ROE was 16.8%. With respect to leverage and liquidity, our total leverage was 5.2:1, while recourse leverage was 2.9:1. Recourse leverage rose this quarter as we continue to increase our capital allocation to Agency RMBS securities.

EBITDA（定義為稅前、折舊及攤銷前盈餘）為 1,140 萬美元，年化 EBITDA ROE 為 16.8%。就槓桿與流動性而言，我們的總槓桿為 5.2:1，而追索權槓桿（recourse leverage）為 2.9:1。本季追索權槓桿上升，因我們持續提高對機構 RMBS 證券的資本配置。

We ended the quarter with $675 million in total cash and unencumbered assets compared to $528 million at the end of the year. Total consolidated secured financing outstanding was $7 billion. It was comprised of $629 million related to our residential origination warehouse loans and the remaining approximately $6.4 billion was for our investment portfolio.

本季末我們的現金及未設質資產合計為 6.75 億美元，較去年底的 5.28 億美元增加。合併口徑的已擔保融資未償餘額為 70 億美元。其中 6.29 億美元與住宅承作的倉儲貸款（warehouse loans）相關，其餘約 64 億美元用於投資組合。

Within the investment portfolio, $4.1 billion of secured financing supported Agency RMBS positions against which we maintained $3.7 billion in swaps and swaps futures across varying maturities and $966 million in TBAs. $1.9 billion was secured by residential credit assets, of which $1.2 billion or 62% carried non or limited mark-to-market features and $1 billion or 54% of this were floating rate facilities.

在投資組合內，41 億美元的擔保融資用於支持機構 RMBS 部位；針對該等部位，我們持有 37 億美元、不同到期的利率交換（swaps）與交換期貨（swaps futures），以及 9.66 億美元的 TBA。另有 19 億美元以住宅信用資產作為擔保，其中 12 億美元（62%）具備無或有限的市價評價（mark-to-market）條款，而其中 10 億美元（54%）為浮動利率融資工具。

We also utilized $224 million of warehouse capacity during the quarter to finance retained loans post redemption of the eight deals I discussed earlier. Finally, on expenses. Compensation expense increased by $8.5 million quarter-over-quarter, mainly driven by a return to a more normalized run rate and higher stock-based compensation.

本季我們亦動用 2.24 億美元的倉儲額度，以在我先前提及的八筆交易贖回後，為保留貸款提供融資。最後談費用：薪酬費用較上季增加 850 萬美元，主要受回到較正常的費用水準以及較高的股票基礎薪酬所帶動。

In the Investment Portfolio segment, the prior quarter reflected a lower accrual while the first quarter returned to a more normalized run rate. We also recognized higher stock-based compensation in the first quarter related to grants awarded to retirement-eligible employees. In the Residential Originations segment, expenses increased by approximately $1.4 million, driven by primarily by a higher headcount.

在投資組合部門，上季反映較低的應計（accrual），而第一季回到較正常的水準。我們亦於第一季認列較高的股票基礎薪酬，係與授予符合退休資格員工的獎酬相關。在住宅承作部門，費用約增加 140 萬美元，主要由於人員編制增加所致。

In summary, the first quarter reflects the impact of a deliberate portfolio repositioning with capital released and deployed into higher return opportunities, while the underlying business continues to perform. We believe the steps taken this quarter position us well for improved earnings and returns for the future.

總結而言，第一季反映了我們有意進行投資組合重新定位的影響：釋放資本並部署至更高報酬的機會，同時核心業務仍持續表現良好。我們相信本季採取的措施使我們在未來具備更佳的盈餘與報酬改善條件。

With that, I'll turn the call over to Jack.

接下來，我把電話會議交給 Jack。

Thank you, Subra, and good morning, everyone. As Phil mentioned, the quarter began on constructive footing, supported by GSE demand for Agency MBS and expectations for Fed easing. That tone shifted in early February as liquidity and credit concerns reemerged, particularly in private credit. Conditions deteriorated further with the escalation of the conflict in the Middle East that continued throughout the balance of March.

謝謝你，Subra，各位早安。如 Phil 所提到，本季一開始基調正向，受惠於 GSE 對機構 MBS 的需求以及市場對聯準會降息的預期。然而在二月初，流動性與信用疑慮再度浮現，特別是在私募信貸（private credit）領域，氛圍隨之轉變。隨著中東衝突升級並延續至三月底，市場狀況進一步惡化。

Since quarter end, mortgage spreads have tightened from their wides and credit has firmed across products, though rates remain higher and markets continue to digest an evolving geopolitical environment. Against this backdrop, our focus has remained consistent. Over the past year, we have been executing a deliberate strategy to optimize our portfolio, in particular, raising capital organically by economically relevering securitization structures, divesting fully valued assets and increasing our allocation to more liquid investments.

自季末以來，房貸利差已自最寬水準收斂，且各類產品的信用狀況轉趨穩健，儘管利率仍偏高，市場也持續消化不斷演變的地緣政治環境。在此背景下，我們的重點始終如一。過去一年，我們一直在執行一項審慎策略以優化投資組合，特別是透過在經濟上重新加槓桿（economically relevering）證券化結構、處分已充分反映價值的資產，以及提高對更具流動性投資的配置，以有機方式籌集資本。

That strategy positioned us well heading into the March volatility, enabling us to de-risk quickly when conditions deteriorated and deploy promptly upon raising capital. During the quarter, we completed a series of strategic transactions involving the redemption of eight securitizations collateralized by $1.5 billion of legacy re-performing loans.

該策略使我們在三月波動來臨前處於有利位置，讓我們能在情勢惡化時迅速去風險（de-risk），並在籌得資本後及時部署。本季我們完成一系列策略性交易，包含贖回八筆以 15 億美元既有再履約貸款（legacy re-performing loans）作為擔保品的證券化。

We sold $1.2 billion of the loans and retained approximately $287 million that we plan to resecuritize in the near term. These transactions released approximately $195 million of capital at a breakeven ROE of just under 8%, and we estimate the redeployment of that capital has the potential to increase annual earnings power by $15 million. You can see additional details on slide 10 of the accompanying presentation.

我們出售了 12 億美元的貸款，並保留約 2.87 億美元，計畫在近期重新證券化。這些交易以略低於 8% 的損益兩平 ROE 釋放約 1.95 億美元資本；我們估計將該資本重新部署，有潛力使年度獲利能力增加 1,500 萬美元。更多細節請參閱隨附簡報第 10 頁。

I want to take a moment to walk through how these transactions impacted our reported book value as the mechanics of calling legacy securitizations can create movements that do not fully reflect the economic outcomes. When we call these securitizations at par, we redeemed securities that were carried on our balance sheet at a discount.

我想花點時間說明這些交易如何影響我們所報導的帳面價值，因為召回（call）既有證券化的運作機制可能造成一些變動，未必能完全反映其經濟結果。當我們以面值（par）召回這些證券化時，我們贖回了在資產負債表上以折價入帳的證券。

That discount, approximately $43 million flowed through as a reduction in book value. In total, these strategic transactions accounted for nearly two thirds of our change in book value during the quarter, and absent these actions, book value would have been down approximately 2.5%, reflecting the impact of spread movements and rate volatility during the quarter.

該折價約 4,300 萬美元，會以帳面價值減少的形式反映。整體而言，這些策略性交易約占本季帳面價值變動的近三分之二；若不採取這些行動，帳面價值約會下降 2.5%，主要反映本季利差變動與利率波動的影響。

As of last Friday, our estimated book value is up about 1%. So for context, the majority of our book value decline this quarter was a direct result of strategic actions that are designed to improve the quality of our portfolio and enhance our go-forward earnings potential. We are committed to preserving capital and managing risk, and we assess value at risk based on the earnings-generating capacity of our capital, not short-term market movements in securitized liabilities.

截至上週五，我們估計的帳面價值上升約 1%。因此作為背景說明，本季帳面價值下滑的大部分，直接源自旨在提升投資組合品質並強化未來獲利潛力的策略性行動。我們致力於保全資本並管理風險；我們衡量風險價值（value at risk）是以資本的獲利生成能力為基礎，而非證券化負債在短期市場中的價格波動。

We continued our capital reallocation efforts, repositioning the portfolio toward a more balanced mix, enhancing our liquidity profile and the potential for more durable risk-adjusted earnings. Our allocation to residential credit decreased to 65% from 72% at year-end, with loan exposure coming down to 55% from 62%, driven mainly by asset sales during the quarter.

我們持續推動資本再配置，將投資組合重新定位為更均衡的組合，提升流動性輪廓，並提高更具持久性的風險調整後盈餘潛力。我們對住宅信用的配置由去年底的 72% 降至 65%；其中貸款曝險由 62% 降至 55%，主要受本季資產出售所驅動。

In turn, we added $1.9 billion of Agency MBS, bringing that allocation to 21%, up six percentage points quarter-over-quarter with our specified pool portfolio ending at $4.9 billion. In March, amidst the onset of the conflict in the Middle East, we added selectively to our agency portfolio in five and six coupons where spreads have widened most and we were under-allocated, reducing overall portfolio duration at a time when we wanted to maintain a more defensive posture.

相對地，我們新增 19 億美元的機構 MBS，使該配置提升至 21%，較上季增加 6 個百分點；其中指定池（specified pool）投資組合期末為 49 億美元。三月在中東衝突爆發之際，我們在利差擴大最明顯且我們配置不足的 5 與 6 coupon 上，選擇性增加機構投資組合部位，並在我們希望維持較防禦性姿態之時降低整體投資組合存續期間（duration）。

We also actively managed risk through TBA positions, initially shorting $500 million as the conflict intensified before unwinding those positions after raising liquidity through loan sales. We subsequently reestablished shorts on a portion of our portfolio to maintain flexibility across the stack. We continue to hedge our agency portfolio with interest rate swaps, consistent with our SOFR-based funding and the carry advantage provided by current swap spread levels.

我們也透過 TBA 部位積極管理風險；在衝突升溫之際，我們起初放空 5 億美元，之後在透過出售貸款提高流動性後，將這些部位回補。我們隨後在投資組合的一部分重新建立空頭，以維持在整個資本結構（stack）上的彈性。我們持續以利率交換（interest rate swaps）對我們的機構（agency）投資組合進行避險，這與我們以 SOFR 為基礎的資金來源一致，且受惠於目前交換利差（swap spread）水準所提供的套息優勢。

On the credit side, our hedge composition shifted during the quarter from pay fixed swaps and swaptions to interest rate caps, providing an asymmetric payoff in the event of a material decline in short-term rates. As Phil mentioned, we began retaining HomeXpress loans in the first quarter and anticipate launching our first securitization in late Q2 or early Q3.

在信用端，我們的避險組合於本季由支付固定利率的交換（pay fixed swaps）與交換選擇權（swaptions）轉向利率上限（interest rate caps），以在短期利率出現實質下滑時提供不對稱的報酬結構。正如 Phil 所提到的，我們在第一季開始保留 HomeXpress 貸款，並預期在第二季末或第三季初推出我們的第一筆證券化。

These loans are representative of HomeXpress's normal production with investor loans making up approximately 55% of the population, reporting a 70% average loan-to-value ratio, 735 average credit score and 7% average coupon. We see securitization execution outpacing whole loan pricing in the current market. And given our flexibility to hold, securitize or sell, we are well positioned to capture that differential.

這些貸款代表 HomeXpress 的正常產出，其中投資人貸款約占整體的 55%，平均貸款價值比（LTV）為 70%，平均信用分數為 735，平均票息為 7%。我們認為在目前市場中，證券化的執行價格優於整筆貸款（whole loan）定價。鑑於我們可選擇持有、證券化或出售的彈性，我們具備良好條件以掌握這一價差。

Turning now to credit. Performance across our loan portfolio remains strong. Delinquencies in the legacy re-performing book ticked up, though this was largely due to the composition of loans we sold versus retained. On the RTL side, the dollar balance of delinquencies remained stable and losses nominal.

接著談信用。整體而言，我們貸款投資組合的表現仍然強勁。既有的再履約（re-performing）貸款組合逾期率略有上升，但主要是因為我們出售與保留貸款的組成差異所致。在 RTL 方面，逾期的美元餘額維持穩定，損失亦屬輕微。

And in our investor loan cohort, delinquencies driven by a natural seasoning of the 2023 vintage are in line with expectations and reverted back into the mid-5% range as of the April remittance reports. Stepping back, the first quarter demonstrated both the value and the necessity of the transformation we have been executing over the past year.

而在我們的投資人貸款族群中，由 2023 年批次（vintage）自然熟成所帶動的逾期情況符合預期，並在 4 月匯款報告（remittance reports）中回落至 5% 中段水準。回頭看，第一季同時展現了我們過去一年所推動轉型的價值與必要性。

The loan sale activities released capital and materially improved our earnings capacity. Our growing agency portfolio gave us flexibility to redeploy and de-risk dynamically as conditions shifted. And HomeXpress continues to contribute to earnings while building a pipeline for our securitization program.

貸款出售活動釋放了資本，並實質提升了我們的獲利能力。我們持續成長的機構（agency）投資組合，讓我們能在環境變化時更具彈性地重新配置資產並動態降風險。而 HomeXpress 也持續貢獻獲利，同時為我們的證券化計畫建立管線。

We entered this year with a clear plan, diversify the portfolio, strengthen liquidity and grow durable sources of income. The actions we took this quarter advanced each of those objectives. We covered our dividend. We improved the composition of the portfolio, and we redeployed the capital freed up from the legacy transactions into higher returning opportunities. The strategy is delivering results, and we see continued growth in the earnings power of this platform. With that, I will turn it over to Kyle to discuss residential origination.

我們在今年初就有明確計畫：分散投資組合、強化流動性並成長具持續性的收入來源。本季採取的行動推進了上述每一項目標。我們覆蓋了股利。我們改善了投資組合的結構，並將既有交易釋放出的資本重新部署至報酬更高的機會。這項策略正在帶來成果，我們也看到此平台的獲利能力持續成長。接下來我把時間交給 Kyle，請他談住宅貸款承作（origination）。

Thank you, Jack, and good morning, everyone. HomeXpress delivered strong results in the first quarter, building on the momentum from the prior quarter. We originated $884 million in total loan volume, representing a 39% increase as compared to the first quarter of last year.

謝謝你，Jack，各位早安。HomeXpress 在第一季交出強勁成果，延續上一季的動能。我們總承作量為 8.84 億美元，較去年第一季成長 39%。

Despite market volatility emerging late in the quarter, our origination volume, all of which is first lien residential mortgages was not meaningfully impacted due to two key reasons. First, the loan submission to close process has a natural lag of about 35 days. As a result, much of our first quarter's volume was already in the pipeline before market conditions shifted. Our first quarter results, therefore, largely reflect the origination pipeline activity built earlier in the quarter.

儘管本季後段市場波動浮現，我們的承作量（全部為第一順位住宅抵押貸款）並未受到明顯影響，主要有兩個原因。第一，從送件到結案（close）的流程本來就有約 35 天的自然落後期。因此，在市場環境轉變之前，我們第一季的多數量能已在管線中。故此，我們第一季的結果在很大程度上反映的是本季較早時建立的承作管線活動。

Second, consumer non-QM and business purpose loan demand is less dependent on rate-driven refinancing activity, which also supported our pipeline stability through the late quarter disruption. Looking ahead, our pull-through rates and broker engagement have remained relatively consistent entering the second quarter. Submissions did moderate briefly during the disruption, but activity has begun to normalize.

第二，消費者非 QM（non-QM）與商業目的貸款的需求，較不依賴由利率驅動的再融資活動，這也在本季後段的擾動期間支撐了我們管線的穩定性。展望未來，進入第二季後，我們的成交轉換率（pull-through rates）與經紀商參與度大致維持一致。擾動期間送件量確實短暫放緩，但活動已開始回歸正常。

Demand continues to be driven less by rate-sensitive refinancing activity and more by borrowers with specific financing needs, including consumer home purchases, cash-out refinancings and investment property purchases. As a result, despite elevated and ongoing interest rate volatility, the underlying demand for HomeXpress loan origination remains firm.

需求持續較少由對利率敏感的再融資活動所驅動，而更多來自具有特定融資需求的借款人，包括消費者購屋、現金提領再融資（cash-out refinancings）以及投資型不動產購置。因此，儘管利率波動仍高且持續，HomeXpress 的貸款承作基本需求仍然穩健。

Our experienced leadership team has successfully navigated many past market disruptions and cycles. That experience enables us to make strategic decisions and pivot effectively with changes in the market. One area we have been focusing on is increasing our percentage of consumer non-QM loans, which generally carry higher average loan balances.

我們經驗豐富的領導團隊成功因應過許多過往的市場擾動與循環。這些經驗使我們能做出策略性決策，並在市場變化時有效轉向。我們目前聚焦的一個領域，是提高消費者非 QM 貸款的占比，這類貸款通常具有較高的平均貸款金額。

Our average loan size increased from $424,000 in March to $451,000 in April. This compares with a $410,000 average for the first -- for the entire first quarter. By increasing the average loan size, we can generate more volume with the same number of loans, further improving our efficiency. HomeXpress delivered strong profitability in the quarter, generating an EBITDA of $11.4 million.

我們的平均貸款金額從 3 月的 42.4 萬美元提高到 4 月的 45.1 萬美元。相較之下，第一季全季平均為 41.0 萬美元。透過提高平均貸款金額，我們可以在相同筆數下產生更多量能，進一步提升效率。HomeXpress 本季獲利能力強勁，EBITDA 達 1,140 萬美元。

Our net origination margin, which reflects both gain on sale as well as operating cost to produce our loans was 114 basis points. In this environment, we remain focused on driving efficiency while maintaining disciplined pricing and sound underwriting standards. On the front end, we've integrated with ARIVE, so brokers can access our products and pricing directly in their workflow and submit loans without jumping between systems.

我們的淨承作利差（net origination margin）為 114 個基點，該指標同時反映出售收益（gain on sale）以及生產貸款的營運成本。在此環境下，我們仍專注於提升效率，同時維持有紀律的定價與健全的承作審核（underwriting）標準。在前端方面，我們已與 ARIVE 完成整合，讓經紀商可在其工作流程中直接存取我們的產品與定價，並在不需在系統間切換的情況下送件。

That has helped reduce some of the back and forth and improve submission quality. We're also using AI to reduce manual work in underwriting, automating parts of income verification. Our efforts have helped us handle more volume and bring down cost per loan as we scale. We continue to assess other opportunities to incorporate AI into our systems. Credit quality on new originations remained consistent and key metrics, including weighted average FICO and LTV ratios were maintained in line with our historical loan production levels.

這有助於減少來回溝通並提升送件品質。我們也運用 AI 來降低核貸中的人工工作量，將部分收入驗證流程自動化。我們的努力使我們在擴張時能處理更多量能並降低每筆貸款成本。我們也持續評估將 AI 納入系統的其他機會。新承作的信用品質維持一致，包含加權平均 FICO 與 LTV 比率等關鍵指標，皆與我們歷史貸款生產水準一致。

To support production, we increased our total warehouse funding capacity to $1.5 billion during the quarter. That, combined with our strong cash position provides ample liquidity to support our expected production levels. Our seven warehouse facilities are maintained with large and leading financial institutions.

為支援生產，我們在本季將總倉儲融資（warehouse funding）額度提高至 15 億美元。再加上我們強勁的現金部位，提供充足流動性以支撐我們預期的生產水準。我們的七條倉儲融資額度皆由大型且領先的金融機構提供並維持。

We also continue to deliver HomeXpress's high-touch service model that distinguishes our platform, maintaining relationships with our more than 6,000 approved broker sources, which are serviced by our 142 account executives and related sales staff.

我們也持續提供 HomeXpress 的高接觸（high-touch）服務模式，以此作為平台差異化，並維繫與超過 6,000 家核准經紀來源的關係；這些關係由我們 142 位客戶經理（account executives）及相關銷售人員提供服務。

As our first quarter results demonstrate, HomeXpress is contributing meaningfully to Chimera's earnings base. Going forward, we will continue to scale the platform responsibly, maintain credit discipline and originate loans with attractive economics. With that, I'll turn the call back over to Phil.

如第一季結果所示，HomeXpress 正在對 Chimera 的獲利基礎做出實質貢獻。展望未來，我們將持續以負責任的方式擴大平台規模、維持信用紀律，並承作具吸引力經濟效益的貸款。接下來我把電話交回給 Phil。

Thank you, Kyle. To sum up, we're not optimizing for quarterly outcomes. We're allocating capital for long-term compounding. Our objective is straightforward, build a residential platform engineered to perform across interest rate cycles, credit cycles and capital market cycles. If we execute, intrinsic value per share will grow and the dividend will follow. That's how we run the business. And that's how we believe it should be evaluated. We'll now open the call to questions.

謝謝你，Kyle。總結來說，我們並不是以季度結果為最佳化目標。我們是在為長期複利配置資本。我們的目標很直接：打造一個能在利率循環、信用循環與資本市場循環中都能表現的住宅平台。若我們執行到位，每股內在價值將成長，股利也會隨之而來。這就是我們經營業務的方式，也就是我們認為應該用來評估我們的方式。現在我們開放提問。

(Operator Instructions)

（接線員指示）

Marissa Lobo, UBS.

Marissa Lobo，瑞銀（UBS）。

On the securitization call strategy, that unlocked capital, but it pressured book value a little bit. How much additional embedded optionality remains in the existing securitization stack? And how should we think about the trade-off between book value volatility and future earnings power?

關於證券化的召回（call）策略，那確實釋放了資本，但也讓帳面價值（book value）受到一些壓力。在現有的證券化資本結構（stack）中，還剩下多少額外的內含選擇權（embedded optionality）？以及我們應該如何看待帳面價值波動與未來獲利能力之間的取捨？

Yes, Marissa, I appreciate the question. Just for context, I mean, as we're looking at these deals and as I think we've talked about on this call and prior calls, the securitization -- securitized debt impact, we're evaluating this very holistically. And we look at the opportunity cost of doing these deals versus the opportunity cost of just continuing to do nothing and letting the capital generate the existing returns.

是的，Marissa，謝謝你的提問。先提供一些背景：當我們在看這些交易時，正如我們在本次與先前的電話會議中所談到的，證券化——證券化負債的影響，我們是以非常整體的方式來評估。我們會比較做這些交易的機會成本，與選擇什麼都不做、讓資本持續產生既有報酬的機會成本。

I mean we have a pretty large portfolio of callable deals. And so we view our job is to constantly be evaluating the economics of calling those and resecuritizing them. But like we said in the prepared remarks, I mean, there's a difference between earnings generating capital and then the capital that is somewhat derived from valuation marks on our securitized debt.

我的意思是，我們有相當龐大的可贖回交易投資組合。因此，我們認為我們的工作就是持續評估贖回這些交易並將其重新證券化的經濟效益。但正如我們在事先準備的發言中所說，我的意思是，能夠產生盈餘的資本，與某種程度上源自我們已證券化負債估值標記的資本之間，是有差異的。

I appreciate that. And looking at the allocation, loans still represent the majority of capital, but agency is growing. So what risk-adjusted return threshold determines whether incremental capital goes to agency or credit assets from here?

我理解。從配置來看，貸款仍然占資本的大多數，但機構資產正在成長。那麼，從現在起，決定增量資本配置到機構資產或信用資產的風險調整後報酬門檻是什麼？

Yes. I mean, so we are thinking about portfolio construction. And so the agency sleeve has been an important component of growth over the last year, one, for the liquidity and the optionality that we've been talking about and making sure that we maintain that. The loans, I mean, the credit element is a core competency of ours.

是的。我的意思是，我們正在思考投資組合的建構。因此，機構資產部位在過去一年一直是成長的重要組成部分：第一，是為了我們一直在談的流動性與選擇權性，並確保我們維持這些。至於貸款，我的意思是，信用這一塊是我們的核心能力。

So it's not that we necessarily are looking to decrease that allocation, so to speak, but we are looking to identify areas where we can extract underperforming capital and redeploy that into higher earning assets. And maybe back to your original question, are there continuing to be opportunities in the portfolio to call deals, extract capital, redeploy it accretively? I think the answer to that is certainly yes.

所以，並不是說我們一定要降低那個配置比例，但我們正在尋找可以把表現不佳的資本抽離出來，並重新部署到更高收益資產的領域。也許回到你最初的問題：投資組合中是否仍持續存在贖回交易、抽出資本並以增益方式重新部署的機會？我認為答案當然是肯定的。

This was a very important quarter for us that culminated in the sale of $1.2 billion of loans. So that was obviously a milestone effort on the team's part. But I probably wouldn't expect in the near term something of that size, but I certainly think there's still opportunities to prune the portfolio and continue to drive earnings power.

這對我們而言是非常重要的一季，最終完成了出售12億美元貸款。因此，這顯然是團隊的一個里程碑式成果。但我可能不會預期短期內還會有同等規模的交易，不過我確實認為仍有機會修剪投資組合，並持續提升獲利能力。

Thank you very much.

非常感謝。

Trevor Cranston, Citizens JMP.

Trevor Cranston，Citizens JMP。

Hey, thanks. Good morning. Question on the agency portfolio. You mentioned establishing a short TBA position in March. It looks like it was about $1 billion at the end of the quarter. Can you say if you guys are continuing to hold that short TBA position or if there's been any other significant changes to the agency book since the end of the quarter?

嗨，謝謝。早安。關於機構投資組合的問題。你提到在3月建立了一個TBA空頭部位。看起來在季末約為10億美元。你能否說明你們是否仍持有該TBA空頭部位，或自季末以來機構資產帳簿是否還有其他重大變動？

No. I guess what I would say is we are using the TBA shorts for two different purposes. One, the one that we put on early in March was at the onset of the Middle East conflict. So that was purely a de-risking effort on the team's part that we were doing in preparation for the loan sales that were occurring and would raise liquidity later in the quarter.

沒有。我想我會說的是，我們使用TBA空頭有兩個不同目的。第一個是我們在3月初建立的，當時正值中東衝突爆發之初。因此，那純粹是團隊為了去風險所做的動作，因為我們在為本季稍後進行的貸款出售做準備，而那將在季內後段提高流動性。

We did take that short off before quarter end. We had reestablished some other shorts, the 966 that you see in the prepared materials. And we have continued to maintain that for all intents and purposes post quarter end. And we use that in part when we see interesting spec pools that -- where we think the payups are attractive or the stores or the call protection is interesting.

我們在季末前已把那個空頭回補掉。我們又重新建立了其他一些空頭，也就是你在準備資料中看到的966。就實務上而言，我們在季末後也持續維持該部位。我們部分會在看到有趣的特定池（spec pools）時使用它——例如我們認為加價（payups）具吸引力，或票息（coupons）或贖回保護（call protection）很有意思的時候。

Whenever we know that we're going to be raising capital at some point in the future, we don't necessarily want to be forced buyers of whatever is in the market at that time. So when we know capital is coming in, we may go ahead and purchase bonds, but we'll offset that risk by shorting TBAs. And that's what you see with that 966 for the most part at quarter end.

每當我們知道未來某個時間點將會募集資本時，我們不一定希望在那個時點被迫去買進市場上當時有的標的。所以當我們知道資本即將進來時，我們可能會先買入債券，但會透過放空TBA來對沖該風險。你在季末看到的那966，大部分就是這個原因。

Okay, Got it. Makes sense. Then on the HomeXpress business, can you maybe give us a little bit of color on sort of early indications on the second quarter, how volumes are holding up with higher mortgage rates? And I guess I'd be curious if you've seen any sort of indication of changes in margin levels as well.

好的，了解。很合理。那關於HomeXpress業務，你能否提供一些第二季初步跡象的補充說明，例如在房貸利率較高的情況下，量能維持得如何？另外我也想知道，你們是否看到利差水準也有任何變化的跡象。

Volume in the second quarter should be very consistent with what we forecasted. So our volume has been increasing month-over-month. The margins appear to be holding. We did a couple of trades to an insurance investor throughout the kind of market dislocation, and that helped us keep the margins right. Now it seems like things are back to normal regarding margin activity.

第二季的量應該會與我們的預測非常一致。因此，我們的量按月持續增加。利差看起來仍能維持。我們在市場出現某種錯位期間，與一家保險投資人做了幾筆交易，這幫助我們把利差維持在合理水準。現在看起來，利差活動方面已回到正常。

Okay, great. Thank you.

好的，很棒。謝謝。

(Operator Instructions)

（接線員指示）

Bose George, KBW.

Bose George，KBW。

Hi, good morning, guys. This is Frankie Labetti on for Bose. To start, just kind of more of a macro question. Given the rate volatility, given some headline risks on unemployment, maybe can you talk about what you're seeing in the market there on credit, how have credit conditions held up?

嗨，各位早安。我是代替Bose的Frankie Labetti。先從比較宏觀的問題開始。考量利率波動，以及一些關於失業的新聞風險，你能否談談你們在信用市場看到的情況，信用狀況維持得如何？

Yes, sure. I mean if you look across our portfolio, and we put like our delinquency history in some charts in the prepared materials. But look, I think what you -- in some of the, call it, 2023 more seasoned vintage pools or, let's say, non-QM, we are starting to see delinquencies rise in what I would say is a normal course.

是的，當然。我的意思是，如果你看我們整個投資組合，我們在準備資料中用一些圖表呈現了逾期歷史。不過你看，我認為你會看到——在一些可以說是2023年較成熟的批次池，或例如非QM（non-QM）方面，我們開始看到逾期以我所說的正常節奏上升。

There's certainly labor market conditions are starting to soften. So we would expect to see delinquencies reflect those conditions. With that being said, this is a much different underwriting than what we've seen like pre-financial crisis. These loans have significant equity in them, which opens up opportunities for much more constructive workout solutions for borrowers.

勞動市場狀況確實開始轉弱，所以我們預期逾期會反映這些狀況。話雖如此，這與我們在金融危機前看到的承作標準非常不同。這些貸款具有可觀的權益（equity），這為借款人提供了更具建設性的協商處理（workout）方案機會。

And I think that's reflected in the very, very low levels of losses that we've seen in all these loans across non-QM and non-agencies. So I think you'll continue to see delinquencies rise in the normal course, but also losses continue to remain very muted just given the amount of equity in the loans.

我認為這也反映在我們在所有這些非QM與非機構貸款上看到的非常、非常低的損失水準。因此，我認為你會在正常情況下持續看到逾期上升，但由於貸款中的權益水位很高，損失也將持續維持在非常溫和的水準。

Great. And then on the HomeXpress platform, like how does Chimera think about retaining servicing or MSR exposure going forward?

很好。那關於HomeXpress平台，Chimera未來如何看待保留服務權或MSR曝險？

Yes. I mean that's a good question. And right now, everything has been sold on a servicing release basis. You know from prior calls and our remarks that building an MSR sleeve is a very important component of our longer-term strategy. So there's certainly discussions about retaining servicing longer term. I think we've still got some work to do on that front, but it's definitely on the drawing board and something that we would hope to do going forward at some point.

是的。我的意思是，這是個好問題。目前所有產品都是以釋放服務權（servicing release）的方式出售。你也知道，從先前的電話會議與我們的說明來看，建立一個MSR部位是我們長期策略中非常重要的一環。因此，確實有在討論長期保留服務權。我想我們在這方面還有一些工作要做，但這絕對在規劃之中，也是我們希望未來某個時間點能推進的事情。

Thank you.

謝謝。

Ladies and gentlemen, this concludes our question-and-answer session. I'll turn the floor back to Mr. Kardis for any final comments.

各位女士先生，問答環節到此結束。我將把時間交還給Kardis先生作最後結語。

Thank you. Thank you, everyone, for joining our first quarter 2026 earnings call, and we look forward to speaking to you next quarter. Have a great day.

謝謝。感謝各位參加我們2026年第一季財報電話會議，我們期待在下個季度再與各位交流。祝各位有美好的一天。

Thank you. This concludes today's conference. You may disconnect your lines at this time. Thank you for your participation.

謝謝。今天的會議到此結束。您現在可以掛斷電話線。感謝您的參與。