SHARPE
Reported results
- Net loss of $178.9 million, or $0.90 per common share for Q3 2026, compared to net income of $72.1 million, or $0.53 per share, for Q3 2025
- Net interest income of $59.1 million, or $0.30 per common share, for Q3 2026
- Net realized and unrealized losses of $231.7 million, or $1.17 per common share, on RMBS and derivative instruments for Q3 2026
- Total expenses of $6.3 million, or $0.03 per common share, for Q3 2026
- Book value per common share decreased to $6.02 at September 30, 2026, from $7.54 at December 31, 2025; total return of (12.47)% for Q3 2026
- Adjusted leverage ratio of 8.8 to 1 at September 30, 2026, compared to 7.4 to 1 at September 30, 2025
Notes
The company did not provide forward-looking guidance figures. The material notes that Q3 2026 experienced very challenging market conditions with significant increases in interest rates. Average yield on RMBS increased from 5.74% in Q2 2026 to 5.91% in Q3 2026, and repurchase agreement borrowing costs increased from 3.80% in Q2 2026 to 3.92% in Q3 2026. The company repurchased approximately 4.95 million shares during Q3 2026 and approximately 1.67 million shares in October 2026. Effective duration of the portfolio increased to 4.327 at September 30, 2026 from 2.513 at December 31, 2025.
Price and volatility reaction
The stock moved +3.1% on the print. No front-expiry chain was on file, so there is no straddle expected move. 30-day ATM implied volatility moved -4.1 vol points across the event (constant-maturity series — not the front-week crush).
| Measure | Value | Basis |
|---|---|---|
| Close before release | 4.9 | 2026-10-22 |
| Close after release | 5.05 | 2026-10-23 |
| Realised move | +3.1% | close to close |
| 30d ATM IV change | -4.1 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 2026-10-22 (8-K, Item 2.02). Read the original filing on sec.gov.