SHARPE
Reported results
- GAAP comprehensive loss per common share: $(1.28), consisting of $(1.17) net loss per common share and $(0.11) other comprehensive loss per common share
- Non-GAAP net spread and dollar roll income per common share: $0.37 (excluding $0.05 per share catch-up premium amortization benefit)
- Tangible net book value per common share: $7.13 as of September 30, 2026, down 16.9% from $8.58 as of June 30, 2026
- GAAP net loss per common share (diluted): $(1.17); GAAP comprehensive loss per common share (diluted): $(1.28)
- Investment portfolio: $94.4 billion, comprised of $91.4 billion Agency MBS, $2.4 billion net TBA securities, and $0.6 billion CRT and non-Agency securities
- Tangible net book value ‘at risk’ leverage: 7.9x as of September 30, 2026 (7.6x average for the quarter)
Notes
The company distinguished non-GAAP net spread and dollar roll income ($0.37 per share) from GAAP comprehensive loss ($1.28 per share), excluding catch-up premium amortization adjustments due to CPR estimate changes. Other comprehensive loss included unrealized losses on Agency securities marked-to-market through OCI. The company issued 97.6 million shares through ATM offerings for net proceeds of $992 million during the quarter.
Price and volatility reaction
The stock moved +4.3% on the print. No front-expiry chain was on file, so there is no straddle expected move. 30-day ATM implied volatility moved -0.2 vol points across the event (constant-maturity series — not the front-week crush).
| Measure | Value | Basis |
|---|---|---|
| Close before release | 8.44 | 2026-10-19 |
| Close after release | 8.8 | 2026-10-20 |
| Realised move | +4.3% | close to close |
| 30d ATM IV change | -0.2 vol pts | constant-maturity series, not the front expiry |
Source
The figures above come from the earnings release the company filed with the SEC on 2026-10-19 (8-K, Item 2.02). Read the original filing on sec.gov.