Chimera's Book Value Falls as Mark-to-Market Losses Widen

The Tip Desk · November 11, 2026 · 3 min read

GAAP book value per common share was $14.82 and economic return was (13.98)% in the third quarter, versus $17.75 and (0.76)% in the second quarter.

Chimera Investment Corporation (CIM), a diversified, internally managed REIT for the U.S. residential real estate market, reported a GAAP net loss available to common shareholders of $(194) million, or $(2.31) a share, for the third quarter ended September 30, 2026, as mark-to-market losses on financial instruments widened sharply.

The loss compared with a $(4) million, or $(0.05) a share, loss in the second quarter. Earnings available for distribution, a non-GAAP measure, were $32 million, or $0.38 a share, down from $39 million, or $0.46 a share.

GAAP book value per common share declined to $14.82 from $17.75. Economic return, measured as the change in GAAP book value per common share plus the common stock dividend, was (13.98)%. The company said significant movements in interest rates and mortgage spreads impacted book value.

President and CEO Phillip J. Kardis II said the quarter presented a challenging market environment, with significant credit spread widening and interest rate volatility putting pressure on book value. He said the company is executing on strategic priorities, most recently with the successful launch of Prism, and that its focus is on disciplined capital allocation, maintaining strong liquidity and leveraging the expanded platform.

Net interest income rose to $71.2 million from $70.5 million in the prior quarter. Investment Portfolio net interest income was $66.5 million and Residential Origination net interest income was $4.7 million.

The Investment Portfolio segment swung to a net loss of $(191.2) million available to common shareholders from a $(12.7) million loss in the second quarter. Residential Origination posted a $(2.4) million loss versus $8.7 million of net income available to common shareholders.

Net unrealized losses on financial instruments at fair value widened to $(391.0) million from $(43.4) million in the prior quarter, all in the Investment Portfolio segment. Net gains on derivatives were $207.8 million in Investment Portfolio, versus $27.0 million in the prior quarter.

Residential Origination originated volume of $1.1 billion, up 27% versus the prior-year period, after $1.1 billion, up 30% year over year, in the second quarter. The company said the volume reflected a disciplined approach to pricing amid volatile market conditions. The segment reported a net loss of $(2) million and $439 thousand of EBTDA, versus $9 million of net income and $12 million of EBTDA in the prior quarter. Product mix shifted to consumer Non-QM 42%, Investor Loans 55%, and QM 3%, from consumer Non-QM 47%, Investor Loans 48%, and QM 5%. The correspondent channel accounted for 17% of production.

In the Investment Portfolio, the company said it repositioned the Agency RMBS portfolio toward higher-coupon securities; approximately 90% of specified pools now have coupons of 5% or higher. It committed to purchase $797 million of loans to support securitizations in the quarter, bringing year-to-date purchases to $1.1 billion. Subsequent to quarter-end, it completed the inaugural $291 million Prism securitization backed by loans originated by HomeXpress.

Agency MBS at fair value increased to $5.55 billion from $3.46 billion at year-end 2025. Loans held for investment fell to $7.41 billion from $9.80 billion, and loans held-for-sale rose to $1.99 billion from $896 million. Secured financing agreements increased to $8.62 billion from $6.03 billion at year-end 2025. Cash and cash equivalents were $357.2 million.

Agency RMBS pass-through principal increased to $5.74 billion from $3.10 billion at year-end 2025, with weighted-average coupon 5.6% and yield 5.4%. Agency CMO and Agency interest-only positions were no longer reported at September 30, 2026. Non-Agency RMBS senior principal was $816.4 million with weighted-average fair value 54.25 and yield 21.8%. Interest-only Non-Agency principal was $2.28 billion with fair value 2.32 and yield 3.3%.