The following discussion of our financial condition and results of operations should be read in conjunction with the consolidated financial statements and notes to those statements included in Item 1 of this Quarterly Report on Form 10-Q. SPECIAL NOTE REGARDING FORWARD-LOOKING STATEMENTS We make forward-looking statements in this report that are subject to risks and uncertainties. These forward-looking statements include information about, among other things, possible or assumed future results of our business, financial condition, liquidity, results of operations, plans and objectives. When we use the words “goal,” “target,” “assume,” ‘‘believe,’’ ‘‘expect,’’ ‘‘anticipate,’’ ‘‘estimate,’’ “project,” “budget,” “forecast,” “predict,” “potential,” ‘‘plan,’’ ‘‘continue,’’ ‘‘intend,’’ ‘‘should,’’ ‘‘may,’’ “could,” “would,’’ “will’’ or similar expressions, we intend to identify forward-looking statements. Statements regarding the following subjects, among others, are forward-looking by their nature: •our ability to obtain funding on favorable terms and access the capital markets; •our ability to achieve optimal levels of leverage and effectively manage our liquidity; •changes in inflation, the yield curve, interest rates and mortgage prepayment rates; •our ability to manage credit risk related to our investments and comply with the Dodd-Frank Act and related laws and regulations relating to credit risk retention for securitizations; •rates of default, delinquencies, forbearance, deferred payments or decreased recovery rates on our investments; •the concentration of properties securing our securities and residential loans in a small number of geographic areas; •our ability to execute on our business and investment strategy; •our ability to determine accurately the fair market value of our assets; •changes in our industry, the general economy or geopolitical conditions, including the ongoing conflicts involving the U.S. in the Middle East; •our ability to successfully integrate and realize the anticipated benefits of any acquisitions, including the acquisition of HomeXpress; •our ability to originate or acquire quality and profitable loans at an appropriate and consistent cost; •our ability to sell the loans that we originate or acquire; •our ability to refinance or obtain additional liquidity for borrowing; •our ability to manage, maintain and expand our relationships with our clients, the independent mortgage brokers and bankers; •our ability to operate our investment management and advisory services and manage any regulatory rules and conflicts of interest; •the degree to which our hedging strategies may or may not be effective; •our ability to effect our strategy to securitize residential mortgage loans; •our ability to compete with competitors and source target assets at attractive prices; •the ability of servicers and other third parties to perform their services at a high level and comply with applicable law and expanding regulations; •our dependence on information technology and its susceptibility to cyber-attacks; •the development, proliferation and use of artificial intelligence; •our ability to find and retain qualified executive officers and key personnel; •our ability to comply with extensive government regulation, including, but not limited to, federal and state consumer lending regulations; •the impact of and changes in governmental regulations, tax law and rates, accounting guidance, refinancing or borrowing guidelines and similar matters; •our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended (the “1940 Act”); •our ability to maintain our classification as a real estate investment trust (“REIT”) for U.S. federal income tax purposes; •the volatility of the market price and trading volume of our shares; and •our ability to make distributions to our stockholders in the future. Forward-looking statements are based on our beliefs, assumptions and expectations of our future performance, taking into account all information currently available to us. You should not place undue reliance on these forward-looking statements. These beliefs, assumptions and expectations can change as a result of many possible events or factors, not all of which are known to us. If a change occurs, our business, financial condition, liquidity, results of operations and prospects may vary materially from those expressed in our forward-looking statements. Any forward-looking statement speaks only as of the date on which it is made. New risks and uncertainties arise from time to time, and it is impossible for us to predict those events or how they may affect us. Except as required by law, we are not obligated to, and do not intend to, update or revise any forward-looking statements, whether as a result of new information, future events or otherwise. Executive Summary 65 We are a diversified, internally managed REIT, that serves the U.S. residential real estate market. Through our Investment Portfolio and Residential Origination segments, we acquire, manage, finance and originate residential mortgage and real estate-related assets, with the objective of delivering attractive risk-adjusted returns to shareholders. In 2025, we reevaluated the composition of our reportable segments based on changes in the significance of certain business activities, including the acquisition of HomeXpress Mortgage Corp. (“HomeXpress”) in October 2025 (the “HomeXpress Acquisition”), and the manner in which our management reviews operating results and allocates resources. As a result of this reevaluation, we now have two reportable segments: (i) Investment Portfolio, and (ii) Residential Origination. The Investment Portfolio segment consists of our investments and third-party advisory services activities. The Residential Origination segment consists of the stand-alone residential mortgage origination business of HomeXpress that originates Non-QM residential mortgage loans (both consumer loans and Investor Loans) and other Non-Agency and Agency mortgage loan products. Investment Portfolio Segment As of June 30, 2026, based on the fair value of our interest-earning assets, approximately 55.6% of our investment portfolio was allocated to residential mortgage loans held for investment, 36.9% to Agency MBS, 5.1% to Non-Agency RMBS, 2.2% to LHFS, and less than 1% to interests in MSR financing receivables. We utilize a variety of channels, including securitizations, warehouse facilities, repurchase agreements and other capital market activities to finance our investments, manage liquidity, improve capital efficiency, support the implementation of our investment strategies, as well as enhance our return on equity. We manage interest rate risk using hedging instruments such as interest rate swaps, swap futures, treasury futures, swaptions, and interest rate caps. We also use TBA securities to hedge certain risks within our Agency portfolio. Our investment strategy is intended to be effective across a variety of economic, rate, and credit environments. We seek to approach portfolio management in a disciplined manner and expect to operate in an environment characterized by ongoing uncertainty related to global trade dynamics, fiscal and monetary policy, inflation, labor market conditions, economic growth, and domestic and geopolitical tensions. Fees earned from investment management, as well as third-party asset management and advisory services, are included in this segment. Residential Origination Segment HomeXpress is a specialty mortgage lender focused primarily on providing first lien, consumer Non-QM loans, and Investor Loans solutions to the residential housing market on a national scale through mortgage brokers and bankers. As of June 30, 2026, HomeXpress had approximately 6,300 approved wholesale brokers and non-delegated correspondent bankers. Non-QM loans are designed for borrowers who do not meet traditional qualified mortgage standards and typically carry higher interest rates and offer more flexible solutions. Investor Loans are secured by first liens on non-owner occupied 1–8 unit investment rental properties. HomeXpress is a leading originator of these residential mortgage loans and does so substantially on a wholesale basis through independent mortgage brokers and bankers. In the second quarter of 2026, HomeXpress sold 69% of all of the loans it originated on a servicing-released basis to third-party institutional investors, and the remaining 31% of the loans were purchased by the Investment Portfolio segment under our strategy of sponsoring securitizations of Non-QM loans using HomeXpress collateral. HomeXpress uses warehouse financing to fund loans from origination through sale. While the residential real estate market and associated mortgage loan origination volumes are heavily influenced by economic factors such as interest rates, housing prices and employment conditions, additional loan origination growth for HomeXpress is expected to be realized from further development of its existing wholesale origination network, as well as the growth of its recently implemented non-delegated correspondent channel. Additional growth is also expected from the expansion of its FHA, VA and conventional Agency-conforming channel and the implementation of delegated correspondent lending platform. As of June 30, 2026, LHFS by HomeXpress constituted approximately 5.4% of our interest-earning assets based on fair value. Market Conditions and our Strategy Interest Rates, Inflation, Labor Markets, and Economic Activity Financial markets during the second quarter of 2026 were shaped primarily by evolving expectations for Federal Reserve monetary policy amid persistent inflation, resilient labor market conditions and continued geopolitical developments. Although tensions in the Middle East remained elevated early in the quarter, energy markets stabilized following a temporary ceasefire and easing concerns over disruptions to global oil supplies. While lower oil prices moderated inflation concerns, inflation remained above the Federal Reserve’s long-term target, contributing to continued uncertainty regarding the path of monetary policy. 66 At its June meeting, the Federal Reserve maintained its target range for the federal funds rate at 3.50% to 3.75%. Although no change in policy rates was announced, updated economic projections reflected persistent inflation concerns and a more restrictive policy outlook than investors had anticipated entering the quarter. As a result, investor expectations shifted from near-term interest rate cuts toward the possibility of a rate increase later in the year. Treasury yields increased across the curve during the quarter, led by shorter-term maturities as markets repriced expectations for future monetary policy. The yield on the two-year U.S. Treasury increased by 38 basis points to 4.17%, while the ten-year U.S. Treasury yield increased by 15 basis points to 4.47%. The yield curve flattened meaningfully during the quarter, with the spread between the two-year and ten-year Treasury yields narrowing from 52 basis points to 29 basis points. Mortgage and Credit Markets Mortgage and credit markets remained constructive throughout the second quarter despite higher benchmark interest rates. Primary mortgage rates increased only modestly as tighter mortgage spreads modestly offset a portion of the increase in Treasury yields. The average 30-year fixed mortgage rate increased from 6.38% to 6.49% during the quarter, while mortgage rate spreads relative to the 10-year Treasury yield tightened from the elevated levels experienced earlier in the year. Agency mortgage-backed securities outperformed comparable-duration U.S. Treasuries during the quarter. Current coupon Agency MBS spreads tightened 18 basis points against a blend of treasuries and 21 basis points against a similar blend of swaps, while option-adjusted spreads also narrowed. Continued purchases by Fannie Mae and Freddie Mac, together with strong institutional demand, provided favorable technical support. Residential mortgage credit markets also performed well during the quarter. Non-QM securitization issuance remained robust with the first half pace running well ahead of 2025 issuance volumes by a significant margin. Despite elevated new issuance, spreads tightened across most non-agency residential mortgage sectors, reflecting strong investor appetite and favorable market technicals. AAA Non-QM spreads tightened approximately 10 basis points during the quarter, although higher benchmark interest rates resulted in increased yields on new issue securities which were reflected in whole loan pricing. Investor participation continued to broaden across the residential mortgage credit market, while lower-rated residential credit generally outperformed as investors sought incremental yield amid a constructive credit environment. Housing Fundamentals Housing market fundamentals remained generally supportive even with mortgage rates near multi-year highs. Home prices were broadly stable to modestly higher, with several national indices reporting improving year-over-year growth during the quarter. Housing market conditions continued to vary by region. Price appreciation was strongest across many Northeastern and Midwestern markets, where housing inventory remained constrained relative to historical norms, and more subdued across portions of the South, Sun Belt and Mountain West where supply recovered more rapidly. Although housing supply improved nationally during the quarter, limited inventory supported home prices in some regional markets, while increased supply moderated price appreciation in others. Existing home sales and purchase mortgage activity remained relatively stable despite elevated mortgage rates and resilient labor market conditions. Mortgage credit performance was also resilient during the quarter. Overall mortgage delinquencies increased modestly, although industry data suggested much of the increase reflected seasonal and calendar-related factors rather than broad-based deterioration in borrower performance. Credit performance was strongest among conventional Agency mortgage loans, while stress was concentrated within certain government-insured mortgage programs. Seasonally adjusted prepayment activity also remained subdued as higher mortgage rates continued to limit refinancing activity. Second Quarter 2026 Business Highlights - Investment Portfolio Segment Investment Activity Asset Purchases Agency RMBS. During the second quarter, we settled approximately $967 million of Agency RMBS, deploying capital raised from legacy loan sales (from the first quarter) while simultaneously increasing our allocation to liquid securities. Of the $967 million securities that settled in the second quarter, $601 million were originally traded in the first quarter. These investments enable us to deploy capital in a relatively expedient manner upon raising funds through capital market transactions, asset divestitures, portfolio run-off, or other means and maintain liquidity for future investments or other strategic objectives, including business acquisitions. 67 Agency DUS Bonds. During the second quarter, the Investment Portfolio segment purchased $17 million of Agency CMBS DUS bonds, deploying approximately $800 thousand of capital to acquire these investments. On a levered basis, and after incorporating the cost of interest rate hedging, these bonds are expected to generate attractive returns in the low- to mid-teens. Agency CMBS Project loans. During the quarter, following the funding of the underlying $33 million loan, one of the GNMA construction loan certificate bonds converted into a fully funded Agency CMBS public limited company bond. As discussed in the Asset Sales section below, this bond was subsequently sold during the quarter, resulting in no remaining exposure as of the end of the second quarter. Asset Sales Agency securities. In the second quarter, we sold $575 million of notional in a combination of Agency CMBS, Agency CMBS IOs, Agency CMOs and Agency home equity conversion mortgage (“HECM”) IOs. Net liquidity raised, after payment of principal on a secured financing facility that held these securities as collateral, was $19 million. The capital raised via these sales was re-deployed into higher-yielding Agency Pass-through securities. Securitization Activity During the second quarter we sponsored two securitizations of residential mortgage loans with an aggregate principal balance of $487 million. The mortgage loans for both securitizations were sourced from the redemption of prior Chimera-sponsored securitization CIM 2025-NR1 ($205 million UPB) and also included unsold loans retained from the first quarter redemption of eight securitization deals ($282 million UPB). Net proceeds received from the transactions were in excess of $13 million which was subsequently invested in Agency securities. We sponsored CIM 2026-R1, a $289 million securitization of residential mortgage loans. The loans had a weighted average coupon of 5.50%, with weighted average FICO scores of 639, and LTV ratio of 45.38%. Securities issued by CIM 2026-R1, with an aggregate balance of approximately $245 million, were sold in a private placement to institutional investors. These senior securities represented approximately 85% of the capital structure. We retained subordinate interests in securities with an aggregate balance of approximately $43 million and certain IOs. We also retained an option to call the securitized mortgage loans on the earlier of (i) May 25, 2028, or (ii) when the aggregate principal amount of the offered notes is less than, or equal to, 10% of the aggregate principal amount of the offered notes as of May 26, 2026. The weighted average cost of debt on securities sold was 4.75%. PAS acts as asset manager for the securitization. We also sponsored CIM 2026-NR1, a $198 million securitization of residential mortgage loans. The loans had a weighted average coupon of 5.44%, with weighted average FICO scores of 600, and LTV ratio of 56.85%. Securities issued by CIM 2026-NR1, with an aggregate balance of approximately $143 million, were sold in a private placement to institutional investors. These senior securities represented approximately 72.50% of the capital structure. We retained subordinate interests in securities with an aggregate balance of approximately $54 million. We also retained an option to call the securitized mortgage loans, at the direction of the majority class B1 certificate holder, on any payment date after May 26, 2027. The weighted average cost of debt on securities sold was 5.00%. PAS acts as asset manager for the securitization. During the first quarter, the Investment Portfolio segment committed to purchase $187 million of newly originated Non-QM loans and Investor Loans from our subsidiary, HomeXpress. The Investment Portfolio segment further committed to purchase an additional $131 million of loans during the second quarter. An aggregate of $301 million of loans acquired from HomeXpress, settled during the second quarter of 2026. We intend to establish a securitization program for Non-QM loans and Investor Loans, providing an additional source of liquidity and capital for HomeXpress originations. We expect to continue acquiring loans and plan to launch the program once a sufficient balance has been aggregated, subject to market conditions. The inaugural securitization is currently expected to close in the third or fourth quarter of 2026. In addition, we entered into $305 million of notional interest rate swaps during the quarter to help mitigate exposure to interest rate volatility on these loans. Secured Financing Activity During the second quarter of 2026, our overall secured financing costs declined by 10 basis points. Secured financing agreements (recourse liabilities) increased by a net $738 million, primarily reflecting the use of leverage to support our Agency RMBS investments. Agency RMBS financing increased toward quarter-end, while Agency CMO’s, Agency CMBS (including 68 IOs), Non-Agency RMBS and Loan financing declined due to redemption of certain securitized bonds, paydowns and asset sales. As previously noted, the $282 million portfolio of RPL loans acquired through the first-quarter securitization unwind, which had been financed through a loan warehouse facility, was repaid during the quarter, as the loans were sold into the two new securitizations completed this quarter. At quarter end, total recourse financing exposure for the investment portfolio was $7.0 billion, with $5.0 billion attributable to Agency RMBS and $1.9 billion attributable to residential credit investments. We continue to evaluate opportunities to finance retained securities from securitizations using longer-term, limited recourse or, where appropriate, non-mark-to-market financing structures. Currently, $1.2 billion, or 17%, of our residential credit-related recourse financings is in these types of facilities. Hedging Activity Residential Credit Portfolio. We continued to use derivatives to mitigate the impact of interest rates on our future financing costs and protect against the potential for higher interest rates eroding our earnings and dividend-paying ability. Our hedging strategy for the residential credit portfolio seeks to limit the impact of higher short-term interest rates, while maintaining optionality in the event interest rates decline in the future. During the second quarter, we purchased a SOFR-based interest rate cap with a 3.00% strike rate, a $500 million notional amount, and a June 2028 maturity for a total premium of $10 million. During the same period, we also exited a $500 million interest rate cap with a 3.95% strike rate that was scheduled to mature in February 2027. As of June 30, 2026, we maintained open interest rate hedge positions attributable to the residential credit portfolio that included: (i) a $500 million interest rate cap with a strike rate of 3.00% maturing in June 2028, (ii) a $500 million interest rate cap with a strike rate of 3.00% maturing in January 2028, (iii) a $600 million interest rate cap with a strike rate of 3.30% maturing in March 2028, and (iv) $50 million 4.05% par rate equivalent pay-fixed two-year Eris swap futures maturing in March 2027. Agency RMBS Portfolio. During the quarter, we purchased SOFR-based interest rate caps with a 3.00% strike rate, representing a total notional amount of $1.8 billion, for an aggregate premium of $43 million. We also entered into interest rate swap contracts with an aggregate notional amount of $781 million, with maturities ranging from 2 to 30 years and fixed pay rates ranging from 3.85% to 4.28%. During the quarter, we terminated interest rate swap contracts with an aggregate notional amount of $1.5 billion, realizing gains of $11.6 million and receiving $3.6 million of net interest payments. As of June 30, 2026, we maintained the following open interest rate hedge positions related to the Agency RMBS portfolio: (i) interest rate caps with an aggregate notional amount of $1.8 billion and a weighted average strike rate of 3.00%; (ii) interest rate swaps with an aggregate notional amount of $2.8 billion, a weighted average fixed pay rate of 3.76%, and remaining maturities ranging from less than one year to 30 years; and (iii) $60 million of 3.87% par rate equivalent pay-fixed 10-year Eris swap futures maturing in June 2035 and $230 million of 3.60% par rate equivalent pay-fixed 5-year Eris swap futures maturing in June 2030. Mortgage TBA Derivatives. During the quarter, we closed out short TBA mortgage securities positions with an aggregate notional amount of $966 million, recognizing realized gains of $1.4 million across various counterparties. We also recognized $1 million of TBA dollar roll (“drop”) expense during the quarter. As of June 30, 2026, we had no open short TBA mortgage securities positions. Investment and third-party asset management and advisory fees Through the Palisades acquisition in December 2024 (the “Palisades Acquisition”), we started earning investment management and advisory fees. In addition, PAS was hired to provide asset management services for five securitizations issued by Chimera, four of which remain active. We also continue to provide services to unaffiliated investors and private credit funds. Palisades’ fee-based income (both transaction and advisory fees) contributed $7 million in revenue during the second quarter of 2026. Fee income declined during the second quarter primarily due to a 29% decline in transaction management volume from a higher-fee-paying client, which was only partially offset by replacement activity from other clients at lower fee rates. As a result, total fee income declined by approximately $1 million compared with the prior quarter. 69 Second Quarter 2026 Business Highlights - Residential Origination Segment HomeXpress’ loan origination strategy is focused on providing consistent high-quality service to its network of independent mortgage brokers and bankers and having an agile and responsive approach to shifts in market demand for its loan products, institutional investor appetite and regulatory environments. We expect continued growth in loan originations to come from further penetration of HomeXpress’ existing independent mortgage brokers network and the development of new relationships with them and non-delegated correspondent lenders. Our business strategy is also focused on driving loan origination process and operational efficiencies through our customized technology and risk assessment framework so that we can control and enhance the cost of originating our loans. HomeXpress currently sells all the loans it originates on a servicing-released basis to third-party institutional investors for cash premiums. HomeXpress uses warehouse financing to fund originated loans prior to sale. During the second quarter of 2026, HomeXpress originated residential mortgage loans as detailed by the product and channel breakdown below. The weighted average interest rate, FICO score and LTV on all these loans were 7.036%, 740 and 72.7%, respectively. The UPB of mortgage loans originated across channels are as follows: As of June 30, 2026 (dollars in thousands) Wholesale Non Del Correspondent Total Units UPB % of UPB Units UPB % of UPB Units UPB % of UPB Consumer Non-QM 576 $ 426,223 39.0 % 120 $ 86,334 7.9 % 696 $ 512,557 46.9 % Investor Loans 1,407 $ 470,011 42.9 % 164 $ 54,410 5.0 % 1,571 $ 524,421 47.9 % FHA, VA, Conventional and Jumbo 136 $ 57,000 5.2 % — $ — — % 136 $ 57,000 5.2 % Total 2,119 $ 953,234 87.1 % 284 $ 140,744 12.9 % 2,403 $ 1,093,978 100.0 % HomeXpress funded $1.1 billion of volume during the quarter ended June 30, 2026 as compared to $884 million during the first quarter, an increase of 23.8% quarter over quarter. Secured Financing Activity HomeXpress maintained a sufficient overall liquidity position during the second quarter of 2026 with its cash balances and seven warehouse lines of credit. HomeXpress had total available capacity of $1.5 billion in warehouse lines as of June 30, 2026, which are all priced based on the 30-day SOFR plus a weighted pricing spread of approximately 192 basis points. As of June 30, 2026, HomeXpress held $802 million on UPB on the balance sheet that was financed with $727 million of advances from the warehouse lines of credit, with an average advance rate of 91%. Fair Value Prior to funding a loan, HomeXpress typically enters into an IRLC with the prospective borrower. These IRLCs are accounted for as derivatives and are valued based on market conditions, loan characteristics, estimated remaining direct expenses, and subject to the anticipated loan funding probability (Pull-through Rate). As of June 30, 2026, the fair value of HomeXpress’ IRLCs was a $4 million asset. Upon funding of a locked loan, the IRLC is derecognized and the loan is recorded as LHFS at fair value, with origination fees recognized and direct loan origination costs expensed as incurred. As of June 30, 2026, the total estimated fair value of HomeXpress’ LHFS in excess of principal balance was $17 million. The table below shows the effect on fair value of the IRLC based on a change in the Pull-through Rate: 70 Effect on fair value of a change in Pull-through Rate Change in input (1) Effect on fair value (in thousands) (20)% $ (1,060) (10)% $ (516) (5)% $ (254) 5% $ 240 10% $ 446 20% $ 838 (1) Pull-through rate adjustments for individual loans are limited to adjustments that will increase the individual loan’s Pull-through Rate to 100%. Hedging Activity HomeXpress operates a daily hedging program that utilizes financial instruments (shorting two-year and five-year U.S. Treasury futures) and FNMA and GNMA TBAs to protect its operational results from interest rate risk from the Non-Agency and Agency production, respectively. The program covers loans from the day the IRLC is issued through the day a loan is committed for sale to an investor. As of June 30, 2026, HomeXpress had hedging instruments with a notional amount of $232 million for U.S. Treasury futures, $18 million for TBAs and $295 million for IRLC. Operational Results For the second quarter of 2026, HomeXpress reported net income of $9 million. This was derived from gain on origination and sale of loans, net of approximately $22 million, net interest income of $4 million, total operating expenses of approximately $14 million, and amortization of intangibles and depreciation expense of approximately $3 million. Net income, excluding amortization of intangibles and depreciation and income tax expense was $12 million in the first quarter, which represents 107 basis points of HomeXpress’ loan origination volume for the quarter. Operating expenses Investment Portfolio Segment Compensation and benefits expenses decreased by $2 million, to $13 million in the second quarter of 2026 from $15 million in the first quarter of 2026. The decrease was primarily attributable to a one-time acceleration of stock-based compensation expense recognized in the first quarter related to retirement-eligible employees. General and administrative expenses decreased by $1 million, to $9 million in the second quarter of 2026 from $10 million in the prior quarter, primarily reflecting normal quarter-to-quarter timing of operating expenditures. Servicing expenses decreased by $1 million, to $4 million in the second quarter of 2026 from $5 million in the first quarter, primarily due to lower loan balances and loan counts resulting from our portfolio reallocation strategy. Transaction expenses increased to $3 million in the second quarter of 2026 from $98 thousand in the first quarter of 2026. The increase was primarily driven by higher securitization activity during the second quarter. Residential Origination Segment Compensation and benefits expenses for the Residential Origination segment remained relatively unchanged at $12 million for both the first and second quarters of 2026. Compensation and benefits primarily consist of salaries, incentive compensation, employee benefits, and other personnel-related costs. As of June 30, 2026, the Residential Origination segment had 358 employees compared to 351 as of March 31, 2026. General and administrative expenses for the Residential Origination segment also remained relatively unchanged at $2 million for both the second and first quarters of 2026. General and administrative expenses include occupancy, technology and platform costs, professional fees, and other corporate overhead allocated to the segment. These expenses are generally fixed in nature but may fluctuate based on operating scale, continued investments in the origination platform, and integration activities related to the HomeXpress Acquisition. Earnings and Book Value 71 During the first half of 2026, we continued to execute our strategy of diversifying our portfolio while maintaining flexibility to capitalize on evolving market opportunities. In connection with these activities, we selectively evaluated and completed asset dispositions of investments that we believe were fully valued, did not meet our risk-adjusted return thresholds, or were no longer aligned with our long-term portfolio objectives. These sales consisted primarily of underlying loans from sponsored securitizations, with proceeds redeployed into higher-yielding investments to enhance earnings power, dividend capacity, and return on equity. During the quarter, spreads on mortgage loans and related securitized assets held on the balance sheet tightened modestly compared to the prior quarter. The yield on the two-year U.S. Treasury increased 38 basis points to 4.17%, while the ten-year U.S. Treasury yield increased 15 basis points to 4.47%. The movement in rates caused our Investment Portfolio segment’s mark-to-market on loan balances to decline by $59 million and our securitized debt to increase by $15 million quarter over quarter. Agency mortgage spreads also tightened by approximately 18 basis points against a blend of treasury yields during the quarter. After accounting for interest rate and TBA hedges, the market value of the Agency MBS portfolio increased by approximately $24 million. These factors contributed to a decline in book value per share of approximately 3.2%, to $17.75 as of June 30, 2026, compared to $18.34 in the prior quarter. We declared common stock dividends of $0.45 per share for the second quarter of 2026. Economic return on book value, defined as the change in book value plus dividends, was (0.76)% for the second quarter, while Earnings Available for Distribution (“EAD”) return on average common equity was 10.35%. EAD is a non-GAAP measure. Please see “Earnings Available for Distribution” below for a reconciliation of EAD to its most directly comparable GAAP measure. Strategy Outlook We continue to focus on building a diversified residential mortgage origination platform that can generate income from assets, gains on sale, and fees from operations with the long-term goal of growing both dividends and overall business value. Specifically, we will continue to look for opportunities to grow and diversify our portfolio, increase liquidity and grow our fee-based income revenue streams. With respect to our portfolio, we intend to continue to look for opportunities to securitize mortgage loans (whether we manufacture or acquire the loans) and we expect to grow our Agency RMBS and MSR portfolios. In addition to supporting our regulatory compliance, we believe that a scaled Agency MBS allocation will provide portfolio diversification, more stable dividends and a source of liquidity for opportunistic asset and business acquisitions. We intend to evaluate opportunities to acquire additional MSRs, which we believe will help hedge our loan portfolio and lending operations, and provide a diverse source of income and enhance our dividend paying ability. With the HomeXpress and Palisades Acquisitions, we have embarked on our strategy of enhancing returns to our shareholders through the diversification of revenue from fee-based income. Looking forward to the remainder of 2026, we will pursue opportunities to grow our residential mortgage origination platform both organically and through acquisitions. We believe that HomeXpress is well positioned to grow originations in 2026 and we will continue to assess the strategy of selling versus retaining the loan production volume of HomeXpress, and its implications on our short-term results and long-term earnings potential. HomeXpress considers loan origination volumes, loan sale premiums and cost efficiency to be key performance indicators and uses these to measure management’s effectiveness in realizing its objectives. As indicated previously, we have initiated our inaugural securitization program through acquisition of loans originated by HomeXpress into our investment portfolio, which will be securitized later in the year. With respect to our non-discretionary advisory business, we anticipate heightened competition could pressure client flow volumes which may lead to margin compression across existing and potential client relationships. We will, however, continue to navigate through the market challenges and look to maintain and/or grow our non-discretionary investment management and advisory services through a combination of organic and external growth, depending on opportunities and market conditions. Funding for these portfolio diversification and growth initiatives are expected to come from both our existing portfolio as well as capital market activities. We may continue to call, and if market conditions are appropriate, either sell loans or re-securitize the loans. Our ability to call and either sell or re-securitize the loans, as well as access the capital markets will depend on a number of factors, including prevailing portfolio objectives and market conditions. 72 Consolidated Business Operations Net Income Summary The table below presents our net income on a GAAP basis for the quarters ended June 30, 2026 and March 31, 2026, and the six months ended June 30, 2026 and June 30, 2025. Net Income (dollars in thousands, except share and per share data) (unaudited) For the Quarters Ended For the Six Months Ended June 30, 2026 March 31, 2026 QoQ Change June 30, 2026 June 30, 2025 YoY Change Net Interest Income: Interest income (1) $ 221,625 $ 219,295 $ 2,330 $ 440,920 $ 391,914 $ 49,006 Interest expense (2) 151,116 144,293 6,823 295,408 256,684 38,724 Net interest income 70,509 75,002 (4,493) 145,512 135,230 10,282 Increase in provision for credit losses 7,192 2,824 4,368 10,016 7,796 2,220 Other income (losses): Net unrealized gains (losses) on derivatives 15,398 18,150 (2,752) 33,548 (9,024) 42,572 Realized gains (losses) on derivatives 9,527 2,870 6,657 12,397 (17,872) 30,269 Periodic interest on derivatives, net 2,061 1,834 227 3,895 9,202 (5,307) Net gains (losses) on derivatives 26,986 22,854 4,132 49,840 (17,694) 67,534 Investment management and advisory fees 6,540 7,165 (625) 13,704 17,745 (4,041) Interest income from investment in MSR financing receivables, net (3) 838 2,311 (1,473) 3,149 — 3,149 Net unrealized gains (losses) on financial instruments at fair value (43,386) (37,536) (5,850) (80,923) 135,866 (216,789) Net realized gains (losses) on sales of investments (9,623) (40,428) 30,805 (50,051) (1,915) (48,136) Gains (losses) on extinguishment of debt (2,748) (38,858) 36,110 (41,605) 2,122 (43,727) Other investment gains (losses) 1,229 (910) 2,139 320 2,536 (2,216) Gain on origination and sale of loans, net 22,210 21,385 825 43,595 — 43,595 Total other income (losses) 2,046 (64,017) 66,063 (61,971) 138,660 (200,631) Other expenses: Compensation and benefits (4) 25,102 26,706 (1,604) 51,808 24,745 27,063 General and administrative expenses 11,479 12,161 (682) 23,640 13,721 9,919 Servicing and asset manager fees 4,431 5,522 (1,091) 9,953 14,737 (4,784) Depreciation, amortization, and impairment of intangible assets 4,076 9,648 (5,572) 13,725 1,902 11,823 Transaction expenses 3,207 98 3,109 3,305 6,077 (2,772) Total other expenses 48,295 54,136 (5,841) 102,431 61,182 41,249 Income (loss) before income taxes 17,068 (45,974) 63,042 (28,906) 204,912 (233,818) Income tax (benefit) expense (301) (2,064) 1,763 (2,365) 2,165 (4,530) Net income (loss) $ 17,369 $ (43,910) $ 61,279 $ (26,541) $ 202,747 $ (229,288) Dividends on preferred stock 21,381 21,097 284 42,478 42,783 (305) Net income (loss) available to common shareholders $ (4,012) $ (65,007) $ 60,995 $ (69,019) $ 159,964 $ (228,983) Net income (loss) per share available to common shareholders: Basic $ (0.05) $ (0.78) $ 0.73 $ (0.82) $ 1.97 $ (2.79) Diluted $ (0.05) $ (0.78) $ 0.73 $ (0.82) $ 1.94 $ (2.76) Weighted average number of common shares outstanding: Basic 83,813,331 83,661,145 152,186 83,739,672 81,386,680 2,352,992 Diluted 83,813,331 83,661,145 152,186 83,739,672 82,564,708 1,174,964 Dividends declared per share of common stock $ 0.45 $ 0.45 $ — $ 0.90 $ 0.74 $ 0.16 (1) Includes interest income of consolidated VIEs of $106,189 and $129,069 for the quarters ended June 30, 2026 and March 31, 2026, respectively, and $235,258 and $286,220 for the six months ended June 30, 2026 and 2025, respectively. (2) Includes interest expense of consolidated VIEs of $54,598 and $63,879 for the quarters ended June 30, 2026 and March 31, 2026, respectively, and $118,478 and $142,690 for the six months ended June 30, 2026 and 2025, respectively. 73 (3) Includes interest income from investment in MSR financing receivables of a consolidated VIE of $454 and $1,395 for the quarters ended June 30, 2026 and March 31, 2026, respectively, and $1,850 for the six months ended June 30, 2026. We did not hold any investments in MSR financing receivables for the six months ended June 30, 2025. (4) Includes a related-party, non-cash imputed compensation expense from the Palisades Acquisition of $341 and $341 for the quarters ended June 30, 2026 and March 31, 2026, respectively, and $682 and $682 for the six months ended June 30, 2026 and 2025, respectively. Comparability of Results Our results for the quarter and six months ended June 30, 2026 reflect the continued integration and full-period impact of our Residential Origination segment, which was acquired during the fourth quarter of 2025, and as such, prior periods may not be directly comparable. Results of Operations for the Quarters Ended June 30, 2026 and March 31, 2026, and for the Six Months Ended June 30, 2026 and June 30, 2025. The primary source of income for our Investment Portfolio segment is interest income earned on our assets, net of interest expense paid on our financing liabilities, and investment and asset management fees earned through our investment management and advisory business. The primary source of income for our Residential Origination segment is derived from our mortgage lending activities and is comprised primarily of net gain or loss from the sale of LHFS, and to a lesser extent, net interest income. Quarter Ended June 30, 2026 compared to the Quarter Ended March 31, 2026 For the quarter ended June 30, 2026, our net loss available to common shareholders was $4 million, or $(0.05) per average basic common share, compared to a net loss of $65 million, or $(0.78) per average basic common share for the quarter ended March 31, 2026. The decrease of $61 million in net loss available to common shareholders for the quarter ended June 30, 2026, as compared to the quarter ended March 31, 2026, was primarily driven by a decrease in losses on extinguishment of debt of $36 million, a decrease in net realized losses on sales of investment of $31 million, and an increase in interest income of $2 million, offset by an increase in interest expense of $7 million and an increase in net unrealized losses on financial instruments at fair value of $6 million. These changes were driven by favorable mark-to-market impacts resulting from tighter credit spreads on mortgage loans, securitized assets and Agency MBS, partially offset by the effects of changes in interest rates. Our total other expenses decreased by $6 million for the quarter primarily due to an impairment of certain asset management contracts that was recognized in the prior quarter. Six Months Ended June 30, 2026 compared to the Six Months Ended June 30, 2025 For the six months ended June 30, 2026, our net loss available to common shareholders was $69 million, or $(0.82) per average basic common share, compared to a net income of $160 million, or $1.97 per average basic common share for the six months ended June 30, 2025. The decrease of $229 million in net income available to common shareholders for the six months ended June 30, 2026, as compared to the six months ended June 30, 2025, was primarily driven by a decrease in net unrealized gains on financial instruments at fair value of $217 million, an increase in losses on extinguishment of debt of $44 million, an increase in net realized losses on sales of investments of $48 million, and an increase to compensation and benefits of $27 million due to the inclusion of staffing costs and rising headcounts from the HomeXpress Acquisition. The decrease in net income available to common shareholders was partially offset by an increase in net gains on derivatives of $68 million, an increase in net interest income of $10 million, a decrease in servicing and asset manager fees of $5 million, and the addition of gain on origination and sale of loans, net, of $44 million attributable to HomeXpress operations which were not a part of our results of operations for the six months ended June 30, 2025. Interest Income Quarter Ended June 30, 2026 compared to the Quarter Ended March 31, 2026 Our interest income revenues are driven primarily by our Investment Portfolio segment. Interest income increased slightly by $2 million, or 1.1%, to $222 million for the quarter ended June 30, 2026 as compared to $219 million for the quarter ended March 31, 2026. This slight increase in our interest income during the quarter ended June 30, 2026 was due to a slight increase in our average interest-earning asset balances of $174 million as compared to the quarter ended March 31, 2026. The increase in interest income is also due to a higher average balance of LHFS in our Residential Origination segment during the quarter. In addition, as a result of our portfolio reallocation, interest income on loans decreased by approximately $24 million, which was fully offset by a corresponding $24 million increase in interest income from Agency RMBS. 74 Six Months Ended June 30, 2026 compared to the Six Months Ended June 30, 2025 Interest income increased by $49 million, or 12.5%, to $441 million for the six months ended June 30, 2026 as compared to $392 million for the six months ended June 30, 2025. This increase was primarily driven by the reallocation of our portfolio from loans held for investment to Agency Pass-throughs. The increase in our Agency RMBS portfolio average balance increased by $2.9 billion, resulting in an increase in interest income of $85 million. This was offset by decreases in our Loans held for investment and Non-Agency portfolios average balance of $2.2 billion and $285 million, respectively, due to asset sales and paydowns during the period, resulting in a decrease in interest income of $59 million and $9 million, respectively, as compared to the six months ended June 30, 2025. We also recognized interest income of $29 million from LHFS related to our Residential Origination segment in the current period which was not part of our operations during the prior year. Interest Expense Quarter Ended June 30, 2026 compared to the Quarter Ended March 31, 2026 Interest expense increased by $7 million, or 4.7%, to $151 million for the quarter ended June 30, 2026, as compared to $144 million for the quarter ended March 31, 2026. The increase was driven by an increase in our borrowings under secured financing agreements collateralized by an Agency RMBS balance of $1.0 billion to finance purchases during the quarter, resulting in an increase in interest expense on secured financing agreements collateralized by Agency RMBS of approximately $17 million. The increase in interest expense was partially offset by a reduction in our average securitized debt balance of $880 million, as we called one securitization which resulted in a decrease of $10 million in interest expense on Securitized debt, collateralized by loans during the quarter ended June 30, 2026, as compared to the quarter ended March 31, 2026. The interest expense on secured financing agreements collateralized by Loans held for investments decreased by $2 million due to lower average loan balances resulting from our assets sales in the second quarter of 2026. Six Months Ended June 30, 2026 compared to the Six Months Ended June 30, 2025 Interest expense increased by $39 million, or 15.1%, to $295 million for the six months ended June 30, 2026, as compared to $257 million for the six months ended June 30, 2025. This increase was primarily driven by an increase in our borrowings under secured financing agreements collateralized by an Agency RMBS balance of $2.9 billion to finance the Agency RMBS purchases during the period. During the six months ended June 30, 2026, the interest expense on secured financing agreements collateralized by Agency RMBS increased by $60 million due to higher balances. The increase was also driven by the additional interest expense of $21 million on warehouse financing used by HomeXpress to fund our loans from origination through sale. These increases were partially offset by a decrease in our average securitized debt balance of $1.3 billion, as we called eight securitizations, resulting in a decrease of $25 million in interest expense on securitized debt during the six months ended June 30, 2026, as compared to the six months ended June 30, 2025, and lower average loan balances of $421 million, resulting in a decrease of $10 million in interest expense on secured financing agreements collateralized by Loans held for investments year over year. Economic Net Interest Income - Investment Portfolio Segment Economic net interest income of our Investment Portfolio segment is a non-GAAP financial measure that equals GAAP net interest income adjusted for net periodic interest on derivatives, interest income from our Residential Origination segment and interest income from investment in MSR financing receivables, and excludes interest earned on cash and interest expense from our Residential Origination segment. For the purpose of computing economic net interest income and ratios relating to cost of funds measures throughout this section, interest expense includes net payments on our derivatives, which is presented as a part of Net gains (losses) on derivatives in our Consolidated Statements of Operations. Interest rate swaps, interest rate caps and swap futures are used to manage the increase in interest paid on secured financing agreements in a rising rate environment. Presenting the net contractual interest payments on interest rate derivatives with the interest paid on interest-bearing liabilities reflects our total contractual interest payments. We believe this presentation is useful to investors because it depicts the economic value of our investment strategy by showing all components of interest expense and net interest income of our investment portfolio. However, Economic net interest income should not be viewed in isolation and is not a substitute for net interest income computed in accordance with GAAP. Where indicated, interest expense, adjusting for any interest earned on cash, is referred to as Economic interest expense. Where indicated, net interest income reflecting net periodic interest on derivatives and any interest earned on cash, is referred to as Economic net interest income. The following table reconciles the Economic net interest income to GAAP net interest income and Economic interest expense to GAAP interest expense for the periods presented. 75 GAAP Interest Income Interest Income on Mortgage Loan Origination Other (1) Economic Interest Income GAAP Interest Expense Periodic Interest On Derivatives, net & Interest Expense on Mortgage Loan Origination Economic Interest Expense GAAP Net Interest Income Periodic Interest On Derivatives, net Other (1) Net Interest Income on Mortgage Loan Origination Economic Net Interest Income For the Quarter Ended June 30, 2026 $ 221,625 $ (14,420) $ (2,772) $ 204,433 $ 151,116 $ (12,972) $ 138,144 $ 70,509 $ 2,061 $ (2,772) $ (3,509) $ 66,289 For the Quarter Ended March 31, 2026 $ 219,295 $ (13,706) $ (472) $ 205,117 $ 144,293 $ (11,958) $ 132,335 $ 75,002 $ 1,834 $ (472) $ (3,582) $ 72,782 For the Quarter Ended December 31, 2025 $ 220,328 $ (12,355) $ (3,540) $ 204,433 $ 154,150 $ (15,101) $ 139,049 $ 66,178 $ 5,422 $ (3,540) $ (2,676) $ 65,384 For the Quarter Ended September 30, 2025 $ 209,100 $ — $ (2,204) $ 206,896 $ 144,089 $ (5,751) $ 138,338 $ 65,011 $ 5,751 $ (2,204) $ — $ 68,558 For the Quarter Ended June 30, 2025 $ 201,297 $ — $ (2,002) $ 199,295 $ 135,287 $ (5,067) $ 130,220 $ 66,010 $ 5,067 $ (2,002) $ — $ 69,075 (1) Primarily interest income on cash and cash equivalents from our Investment Portfolio and Residential Origination segments and interest income from investment in MSR financing receivables. Net Interest Rate Spread - Investment Portfolio Segment The following tables show our average earning assets held, interest earned on assets, yield on average interest earning assets, average debt balance, economic interest expense, economic average cost of funds, economic net interest income and net interest rate spread for the periods presented. 76 For the Quarters Ended June 30, 2026 March 31, 2026 (dollars in thousands) (dollars in thousands) Average Balance Interest Average Yield/Cost Average Balance Interest Average Yield/Cost Assets: Interest-earning assets (1)(4): Agency RMBS (3) $ 5,005,152 $ 68,137 5.3 % $ 3,658,521 $ 43,775 5.2 % Agency CMBS (6) 38,544 899 9.3 % 40,251 415 4.1 % Non-Agency RMBS (3) 677,333 23,230 13.7 % 699,370 24,225 13.8 % Loans held for investment 8,102,064 110,291 5.4 % 9,308,041 134,391 5.8 % Loans held for sale (3) 56,982 1,038 7.3 % N/A N/A N/A MSR (5) 38,221 838 8.8 % 38,221 2,311 3.2 % Total $ 13,918,296 $ 204,433 5.9 % $ 13,744,404 $ 205,117 6.0 % Liabilities and stockholders’ equity: Interest-bearing liabilities (2)(4): Secured financing agreements collateralized by: Agency RMBS (3) $ 4,843,317 $ 47,147 3.9 % $ 3,827,937 $ 29,723 3.7 % Agency CMBS 31,732 351 4.4 % 31,182 299 3.8 % Non-Agency RMBS (3) 412,063 5,296 5.1 % 463,374 6,043 5.2 % Loans held for investment 1,393,527 22,467 6.4 % 1,457,771 24,423 6.7 % Loans held for sale (3) 52,630 686 5.2 % N/A N/A N/A Securitized debt 5,741,507 55,832 3.9 % 6,621,547 65,482 4.0 % Long term debt 259,750 6,365 9.8 % 259,750 6,365 9.8 % Total $ 12,734,526 $ 138,144 4.3 % $ 12,661,561 $ 132,335 4.2 % Economic net interest income/net interest rate spread $ 66,289 1.6 % $ 72,782 1.8 % Net interest-earning assets/net interest margin $ 1,183,770 1.9 % $ 1,082,843 2.1 % Ratio of interest-earning assets to interest bearing liabilities 1.09 1.09 (1) Interest-earning assets at amortized cost. (2) Interest includes periodic interest on derivatives, net. (3) These amounts have been adjusted to reflect the daily outstanding averages for which the financial instruments were held during the period. (4) This table excludes interest-earning assets and interest-bearing liabilities of our Residential Origination segment. Our Residential Origination segment includes average interest-earning assets of $810 million, average interest-bearing liabilities of $769 million, interest income of $15 million, interest expense of $11 million, and net interest income of $4 million. (5) The average balance amount represents committed capital by us during the period. Average Yield has been normalized for one-time early payoff payments received during the quarter ended March 31, 2026. (6) Average Yield includes the receipt of one-time extension fee received during the second quarter. 77 For the Six Months Ended June 30, 2026 June 30, 2025 (dollars in thousands) (dollars in thousands) Average Balance Interest Average Yield/Cost Average Balance Interest Average Yield/Cost Assets: Interest-earning assets (1)(4): Agency RMBS (3) $ 4,298,184 $ 111,911 5.3 % $ 1,445,971 $ 26,807 5.5 % Agency CMBS (6) 39,285 1,313 6.7 % 41,683 1,812 8.7 % Non-Agency RMBS (3) 689,152 47,455 13.7 % 974,489 56,558 11.6 % Loans held for investment 8,771,171 244,683 5.6 % 10,965,678 303,685 5.5 % Loans held for sale (3) 28,491 1,038 7.3 % N/A N/A N/A MSR (5) 38,221 3,149 6.0 % N/A N/A N/A Total $ 13,864,504 $ 409,549 5.9 % $ 13,427,821 $ 388,862 5.8 % Liabilities and stockholders' equity: Interest-bearing liabilities (1)(4): Secured financing agreements collateralized by: Agency RMBS (3) $ 4,160,168 $ 76,870 3.8 % $ 1,306,879 $ 17,158 4.6 % Agency CMBS 31,485 651 4.1 % 30,234 684 4.5 % Non-Agency RMBS (3) 435,309 11,339 5.2 % 638,508 18,899 5.9 % Loans held for investment 1,417,546 46,890 6.6 % 1,838,307 57,079 6.2 % Loans held for sale (3) 26,315 686 5.2 % N/A N/A N/A Securitized debt 6,243,787 121,312 3.9 % 7,579,850 146,716 3.9 % Long term debt 259,750 12,730 9.8 % 139,750 6,947 9.9 % Total $ 12,574,360 $ 270,478 4.3 % $ 11,533,528 $ 247,483 4.3 % Economic net interest income/net interest rate spread $ 139,071 1.6 % $ 141,379 1.5 % Net interest-earning assets/net interest margin $ 1,290,144 2.0 % $ 1,894,293 2.1 % Ratio of interest-earning assets to interest-bearing liabilities 1.10 1.16 (1) Interest-earning assets at amortized cost. (2) Interest includes periodic interest on derivatives, net. (3) These amounts have been adjusted to reflect the daily outstanding averages for which the financial instruments were held during the period. (4) This table excludes interest-earning assets and interest-bearing liabilities of our Residential Origination segment. Our Residential Origination segment includes average interest-earning assets of $798 million, average interest-bearing liabilities of $722 million, interest income of $29 million, interest expense of $21 million, and net interest income of $8 million. (5) The average balance amount represents committed capital by us during the period. Average Yield has been normalized for one-time early payoff payments received during the six months ended June 30, 2026. (6) Average Yield includes the receipt of one-time extension fee received during the second quarter. Economic Net Interest Income and the Average Earning Assets - Investment Portfolio Segment Quarter Ended June 30, 2026 compared to the Quarter Ended March 31, 2026 Our Economic net interest income (which is a non-GAAP measure, see “Economic net interest income” discussion earlier for details) decreased by $7 million to $66 million for the quarter ended June 30, 2026, from $73 million for the quarter ended March 31, 2026. Our net interest rate spread, which equals the yield on our average interest-earning assets less the economic average cost of funds, decreased to 1.6% for the quarter ended June 30, 2026 compared to 1.8% for the quarter ended March 31, 2026. Our Average net interest-earning assets increased by $101 million to $1.2 billion for the quarter ended June 30, 2026, compared to $1.1 billion for the quarter ended March 31, 2026. Our net interest margin, which equals the yield on our average interest-earning assets less the economic average cost of funds, decreased by 20 basis points for the quarter ended June 30, 2026, as compared to the quarter ended March 31, 2026. Six Months Ended June 30, 2026 compared to the Six Months Ended June 30, 2025 78 Our Economic net interest income (which is a non-GAAP measure, see “Economic net interest income” discussion earlier for details) decreased by $2 million to $139 million for the six months ended June 30, 2026, from $141 million for the six months ended June 30, 2025. Our net interest rate spread, which equals the yield on our average interest-earning assets less the economic average cost of funds increased to 1.6% for the six months ended June 30, 2026, compared to 1.5% for the six months ended June 30, 2025. Our Average net interest-earning assets decreased by $604 million to $1,290 million for the six months ended June 30, 2026, compared to $1.9 billion for the same period in 2025. Our net interest margin, which equals the yield on our average interest-earning assets less the economic average cost of funds, decreased by 10 basis points for the six months ended June 30, 2026, as compared to the six months ended June 30, 2025. Economic Interest Expense and the Cost of Funds - Investment Portfolio Segment The borrowing rate at which we are able to finance our assets using secured financing agreements is typically correlated to SOFR and the term of the financing. The borrowing rate on the majority of our securitized debt is fixed and correlated to the term of the financing. The table below shows our average borrowed funds, Economic interest expense, average cost of funds (inclusive of periodic interest on swaps and swap futures), average one-month SOFR, average three-month SOFR and average one-month SOFR relative to average three-month SOFR. Average Debt Balance Economic Interest Expense Average Cost of Funds Average One-Month SOFR Average Three-Month SOFR Average One-Month SOFR Relative to Average Three-Month SOFR (Ratios have been annualized, dollars in thousands) For the Quarter Ended June 30, 2026 $ 12,734,526 $ 138,144 4.30 % 3.64 % 3.67 % (0.03) % For the Quarter Ended March 31, 2026 $ 12,661,561 $ 132,335 4.20 % 3.67 % 3.67 % 0.00 % For the Quarter Ended December 31, 2025 $ 12,406,262 $ 139,049 4.50 % 3.91 % 3.82 % 0.09 % For the Quarter Ended September 30, 2025 $ 12,278,733 $ 138,338 4.50 % 4.29 % 4.05 % 0.24 % For the Quarter Ended June 30, 2025 $ 11,501,566 $ 130,220 4.50 % 4.32 % 4.30 % 0.02 % Average interest-bearing liabilities increased by $73 million for the quarter ended June 30, 2026, as compared to the quarter ended March 31, 2026. Economic interest expense increased by $6 million for the quarter ended June 30, 2026, as compared to the quarter ended March 31, 2026, due to an increase in borrowings under our secured financing agreements to fund our Agency RMBS purchases. While we may use interest rate hedges to mitigate risks related to changes in interest rate, the hedges may not fully offset interest expense movements. Provision for Credit Losses For the quarter ended June 30, 2026, we recorded an increase in provision for credit losses of $7 million, as compared to an increase in provision of credit losses of $3 million for the quarter ended March 31, 2026. For the six months ended June 30, 2026, we recorded an increase in provision for credit losses of $10 million, as compared to an increase in provision of credit losses of $8 million for the six months ended June 30, 2025. The changes in provision for credit losses for the quarter and six months ended June 30, 2026, as compared to the quarter ended March 31, 2026 and six months ended June 30, 2025, are primarily due to a deterioration in cashflows on a combination of Non-Agency senior and subordinated bonds. In addition, certain Non-Agency RMBS positions now have higher unrealized losses and resulted in the recognition of an allowance for credit losses which was previously limited by unrealized gains on these investments. Net Gains (Losses) on Derivatives We use derivatives to economically hedge the effects of changes in interest rates on our portfolio, specifically our secured financing agreements. Unrealized gains and losses include the change in market value, period over period, on our derivatives portfolio. Changes in market value are generally a result of changes in interest rates. We may or may not ultimately realize these unrealized derivative gains and losses depending on trade activity, changes in interest rates and the values of the underlying securities. The net gains and losses on our derivatives include both unrealized and realized gains and losses. 79 Realized gains and losses include the net cash paid and received on our derivatives portfolio during the period as well as sales, terminations and settlements related to our derivatives portfolio. The tables below show a summary of our net gains (losses) on derivative instruments for the quarters ended June 30, 2026 and March 31, 2026 and six months ended June 30, 2026 and June 30, 2025, respectively. For the Quarters Ended June 30, 2026 March 31, 2026 (dollars in thousands) Periodic interest on derivatives, net $ 2,061 $ 1,834 Realized gains (losses) on derivative instruments, net: Interest rate swaps 11,554 (3,409) Swap futures — — U.S. Treasury futures — — Swaptions — 2,022 Interest rate cap (3,377) (3,712) TBAs 1,350 7,969 Total realized gains (losses) on derivative instruments, net 9,527 2,870 Net unrealized gains (losses) on derivative instruments, net: Interest rate swaps 7,655 9,342 Swap futures 2,936 1,780 U.S. Treasury futures — — Swaptions — 1,044 Interest rate cap 6,365 4,425 TBAs (1,558) 1,559 Total Net unrealized gains (losses) on derivative instruments, net: 15,398 18,150 Total gains (losses) on derivative instruments, net $ 26,986 $ 22,854 For the Six Months Ended June 30, 2026 June 30, 2025 (dollars in thousands) Periodic interest on derivatives, net $ 3,895 $ 9,202 Realized gains (losses) on derivative instruments, net: Interest rate swaps 8,145 (11,941) Swap futures — (390) U.S. Treasury futures — 82 Swaptions 2,022 (5,623) Interest rate cap (7,089) — TBAs 9,319 — Total realized gains (losses) on derivative instruments, net 12,397 (17,872) Net unrealized gains (losses) on derivative instruments, net: Interest rate swaps 16,997 (3,896) Swap futures 4,716 (641) U.S. Treasury futures — (117) Swaptions 1,045 — Interest rate cap 10,790 (4,370) TBAs — — Total Net unrealized gains (losses) on derivative instruments, net: 33,548 (9,024) Total gains (losses) on derivative instruments, net $ 49,840 $ (17,694) In addition, the net gains (losses) attributable to derivatives on our Residential Origination segment was $5 million and $7 million for the quarter and six months ended June 30, 2026 which is reported in Gain on origination and sale of loans, net, in our Consolidated Statements of Operations. The net gains (losses) attributable to derivatives on our Residential Origination segment was $2 million for the quarter ended March 31, 2026. We did not have any net gains (losses) attributable to derivatives on our Residential Origination segment for the six months ended June 30, 2025. 80 During the quarters ended June 30, 2026, and March 31, 2026, we recognized total net gains on derivatives of $27 million and $23 million respectively. During the six months ended June 30, 2026 and June 30, 2025, we recognized total net gains on derivatives of $50 million and total net losses on derivatives of $18 million, respectively. Changes in market value are generally a result of changes in interest rates. We may or may not ultimately realize these unrealized derivative gains and losses depending on trade activity, changes in interest rates and the values of the underlying securities. Interest Rate Swaps The weighted average pay rate on our interest rate swaps at June 30, 2026 was 3.73% and the weighted average receive rate was 3.68%. At June 30, 2026, the weighted average maturity on our interest rate swaps was less than eight years. The weighted average pay rate on our interest rate swaps at December 31, 2025 was 3.44% and the weighted average receive rate was 3.87%. At December 31, 2025, the weighted average maturity on our interest rate swaps was less than six years. We had net realized gains of $12 million and net realized losses of $3 million related to swap terminations during the quarter ended June 30, 2026 and March 31, 2026, respectively. We had net realized gains of $8 million and net realized losses of $9 million related to the swap terminations and swap maturities during the six months ended June 30, 2026 and the six months ended June 30, 2025, respectively. Swap Futures During the quarters ended June 30, 2026 and March 31, 2026, we had swap futures with a notional of $340 million and $340 million, respectively. We had no swap future terminations during the quarters ended June 30, 2026 and March 31, 2026, respectively. During the six months ended June 30, 2026 and June 30, 2025, we had swap futures with a notional of $340 million and $340 million, respectively. We had no swap future terminations during the six months ended June 30, 2026. During the quarter ended June 30, 2025, we had a realized loss of $390 thousand on the sale of 400 10-year SOFR swap future contracts, 400 two-year SOFR swap future contracts, and 250 five-year SOFR swap future contracts. Swaptions During the quarters and six months ended June 30, 2026 and March 31, 2026, we had no open swaption positions. We did not have any realized gains related to swaptions for the quarter ended June 30, 2026. We had net realized gains of $2 million related to swaptions during the quarter ended March 31, 2026. During the six months ended June 30, 2026 and June 30, 2025, we had realized gains of $2 million and net realized losses of $6 million related to swaptions, respectively. Interest Rate Caps During the quarter ended June 30, 2026, we entered into six interest rate caps. We paid $55 million for $2.3 billion notional two-year, three-year and five-year interest rate caps with strike rates of 3.00% with SOFR as the market reference rate. During the quarter ended March 31, 2026, we entered into two interest rate caps. We paid $5 million for a $500 million notional two-year interest rate cap with a strike rate of 3.00% on SOFR as the market reference rate. We paid $8 million for a $600 million notional two-year interest rate cap with a strike rate of 3.30% on SOFR as the market reference rate. We held $3.4 billion notional two-year three-year, and five-year interest rate caps with a weighted average strike rate of 3.05% with SOFR as the market reference rate. We partially terminated a $500 million two-year interest rate cap with a strike rate of 3.95% with SOFR as the market reference rate for a realized loss of $3 million. During the quarter ended March 31, 2026, we partially terminated a $500 million two-year interest rate cap with a strike rate of 3.95% with SOFR as the market reference rate for a realized loss of $4 million. During the six months ended June 30, 2026, we terminated $1.0 billion notional interest rate cap with a 3.95% strike rate for a realized loss of $7 million. During the six months ended June 30, 2025, we had no terminations of interest rate caps. Treasury Futures Contracts For our Investment Portfolio segment, during the quarter ended June 30, 2026, we had no open U.S. Treasury future positions. For our Investment Portfolio segment, during the quarter ended June 30, 2026, we had no realized gains or losses. For our Investment Portfolio segment, during the quarter ended March 31, 2026, we had no open U.S. Treasury future positions and we had no realized gains or losses. 81 For our Investment Portfolio segment, during the six months ended June 30, 2025, we covered our open short position of 1,000 two-year U.S. Treasury Futures contracts for a net realized gain of $82 thousand. For our Residential Origination segment, during the quarter ended June 30, 2026, we entered into 540 short five-year and 2,180 short two-year U.S. Treasury futures contracts with notional amounts of $54 million and $436 million respectively, which we subsequently covered for a realized gain of $2 million. We are short 262 five-year and 1,030 two-year U.S. Treasury futures contracts at June 30, 2026. For our Residential Origination segment, during the quarter ended March 31, 2026, we entered into 233 short five-year and 905 short two-year U.S. Treasury futures contracts with notional amounts of $23 million and $181 million, respectively, which we subsequently covered for a realized gain of $112 thousand. For our Residential Origination segment during the six months ended June 30, 2026, we covered treasury positions for a realized gain of $2 million. Interest Rate Lock Commitments For our Residential Origination segment, we enter into IRLCs with prospective borrowers to originate mortgage loans at a specified interest rate. This creates a derivative which is valued based on market conditions, loan characteristics, estimated remaining direct expenses, and subject to the Pull-through Rate. At June 30, 2026, the notional amount of the locked pipeline was $295 million with a fair value of $4 million. During the quarter ended June 30, 2026, we had net realized loss of $103 thousand. During the quarter ended March 31, 2026, we had net realized gains of $300 thousand on IRLCs with fair value of $4 million. During the six months ended June 30, 2026, we had net realized gains of $200 thousand on IRLCs with fair value of $4 million. TBAs As of June 30, 2026, for our Investment Portfolio segment, we had TBA purchase contracts and TBA sale contracts with aggregate notional amounts of $2.2 billion each, resulting in a net TBA notional position of zero. During the period, we recognized realized gains of approximately $9 million related to TBA derivative transactions. Drop expense for the quarter ended June 30, 2026 was $1 million. For the quarter ended June 30, 2026, we had a realized gain of $1 million. For the quarter ended March 31, 2026, we had TBA sales contracts with notional amounts of $966 million. Drop expense for the quarter ended March 31, 2026 was $438 thousand. At March 31, 2026, we had a realized gain of $8 million. For the six months ended June 30, 2026, we had a realized gain of $9 million. As of June 30, 2026, for the Residential Origination segment, during the period ended June 30, 2026, we entered into 33 Agency TBA contracts with an aggregate notional amount of $40 million. These contracts were subsequently covered, resulting in a realized gain from hedging instruments of $29 thousand included within Gain on origination and sale of loans, net. As of June 30, 2026, we held 11 open Agency TBA positions. The Residential Origination segment did not have any Agency TBA activity for the quarter ended March 31, 2026 or six months ended June 30, 2025. Long Term Debt Expense During the second quarter of 2024, we issued $65 million aggregate principal amount of 9.00% unsecured senior notes due 2029 that pay quarterly interest. After deducting the underwriting discount and other debt issuance costs, we received approximately $62 million of proceeds. During the third quarter of 2024, we issued $75 million aggregate principal amount (including the additional amount issued pursuant to the exercise of the over-allotment option) of 9.25% unsecured senior notes due 2029 that pay quarterly interest. After deducting the underwriting discount and other debt issuance costs, we received approximately $72 million of proceeds. During the third quarter of 2025, we issued $120 million aggregate principal amount (including the additional amount issued pursuant to the exercise of the over-allotment option) of 8.875% unsecured senior notes due 2030 that pay quarterly interest. After deducting the underwriting discount and other debt issuance costs, we received approximately $116 million of proceeds. At June 30, 2026, the outstanding principal amount of these notes was $260 million and the accrued interest payable on this debt was $3 million. At June 30, 2026, the unamortized deferred debt issuance cost was $7 million. Investment management and advisory fees During the fourth quarter of 2024, we started earning investment management and advisory fees through certain investment management agreements entered into with our investment partnerships and privately offered pooled investment vehicles, insurance companies, and other institutional clients. We recognized investment management and advisory fees of $7 million 82 and $7 million for the quarters ended June 30, 2026 and March 31, 2026, respectively. We recognized investment management and advisory fees of $14 million and $18 million for the six months ended June 30, 2026 and June 30, 2025, respectively. Gain on origination and sale, net The following table provides a summary of the composition of gain on origination and sale of loans, net, for the quarter and six months ended June 30, 2026: For the Quarter Ended For the Six Months Ended June 30, 2026 June 30, 2026 (dollars in thousands) Premium from loan sales $ 20,909 $ 56,156 Mark to market changes on LHFS 6,987 (1,298) Unrealized gains from hedging derivative instruments 3,116 4,269 Unrealized gains from IRLC (103) 200 Periodic interest on derivatives, net 97 97 Realized gains from hedging instruments, net 2,364 2,476 Provision for loan repurchase reserves (683) (756) Loan origination income, net (2,918) (4,125) Direct loan origination costs, net (7,559) (13,424) Gain on origination and sale of loans, net $ 22,210 $ 43,595 Gain on origination and sale, net, represents the primary source of revenue for our Residential Origination segment. Gain on origination and sale, net, includes gain or loss from the sale of LHFS, net change in the valuations of the IRLC and LHFS, realized and unrealized change in value of the derivative instruments, provisions or benefit for loan repurchase reserves, net points and fees collected at closing, and the direct loan originations costs incurred. Premium from loan sales is the primary driver to gain on origination and sale, net. This consists of the premium received from, or discount paid to, the investor at the time a loan is settled. In the second quarter, HomeXpress settled $1 billion of loans, inclusive of the $301 million purchased by our Investment Portfolio segment, for an average gain on sale of 103.18%. The valuation of LHFS approximates the servicing released market value of a loan sold to a private investor. The valuation of our LHFS is derived from the execution price of committed loan sales and market observations for loans not yet committed to a loan sale transaction. Unrealized gains from hedging derivative instruments and unrealized gains from IRLCs reflect the period-over-period change in the fair value of those instruments. In aggregate, these amounts constitute the Net unrealized gains (losses) on derivatives within the Residential Origination segment. At June 30, 2026, HomeXpress had $557 million of Non-Agency loans committed to sale. Realized gains from derivative instruments, net, reflect gains recognized upon settlement of hedging positions. Benefits (provision) for loan repurchase reserves records the net change in the estimated losses pertaining representations and warranties associated with a mortgage loan sale. Loan origination income, net, reflects the fees earned, net of lender credits from originating the loans. These consist of fees related to loan origination, discount points, underwriting, processing and other fees. Lender credits typically are related to rebates or concessions for certain loan origination costs. Direct loan origination costs, net, are the direct expenses associated with the origination of a mortgage loan. These costs include loan verification services, interim servicing expenses, third party due diligence fees, and commissions to sales employees. Under fair value accounting, these expenses are realized when incurred. During the six months ended June 30, 2026, our Investment Portfolio segment purchased $301 million of newly originated Non-QM loans and Investor Loans from HomeXpress. We entered into $305 million of notional interest rate swaps during the period to help mitigate exposure to interest rate volatility on these loans. We recognized $97 thousand of periodic interest on derivatives, net, related to these interest rate swaps which is included within gain on origination and sale of loans, net, for our Investment Portfolio segment for the quarter ended June 30, 2026. We recognized gain on origination and sale of loans, net, of $22 million and $21 million for the quarters ended June 30, 2026 and March 31, 2026, respectively. We recognized gain on origination and sale of loans, net, of $44 million for the six months 83 ended June 30, 2026. We did not hold LHFS during the six months ended June 30, 2025, and therefore did not record any gain on origination and sale of loans, net, during the prior year. Interest Income from investment in MSR financing receivables In July 2025, we entered into purchase agreements to acquire base and excess servicing compensation rights, also known as MSRs, associated with a $6.5 billion portfolio of mortgage loans from a licensed, GSE-approved residential mortgage loan servicer. In these arrangements, the licensed servicer holds legal title to the MSRs and is responsible for performing all servicing activities, while we provide financing or capital support and, in return, receive the economic benefits of a base and excess servicing spread. We entered into a Reference Spread Agreement for Agency Loans to purchase the base servicing fee on the mortgage servicing loans at a rate of 12.5 basis points less the cost of servicing and other ancillary fees and income. We also entered into a True Excess Spread Agreement for Fannie Mae Loans entitling us to monthly distributions of the servicing fees collected by the mortgage loan servicer in excess of 12.5 basis points per annum and other related servicing cash flows. Recurring servicing fees, ancillary income, recapture income, and float earnings associated with MSRs are recognized on a cash basis when earned and received. We recognized interest income on our investments in MSR financing receivables, net, of $1 million and $2 million for the quarters ended June 30, 2026 and March 31, 2026, respectively. We recognized interest income on our investments in MSR financing receivables, net, of $3 million for the six months ended June 30, 2026. The quarter ended March 31, 2026 and the six months ended June 30, 2026 balances include the early payoff protection associated with the MSR acquired in 2025. We did not have any interest income on investments in MSR financing receivables for the six months ended June 30, 2025 Net Unrealized Gains (Losses) on Financial Instruments at Fair Value During the quarter ended June 30, 2026, rates moved higher as rising energy prices contributed to renewed inflation concerns. For the quarter, the yield on the two-year U.S. Treasury increased by 38 basis points to 4.17%, while the ten-year U.S. Treasury yield rose 15 basis points to 4.47%. These movements affected the fair value of our financial instruments. We recorded net unrealized losses on financial instruments at fair value of $43 million and $38 million for the quarters ended June 30, 2026 and March 31, 2026, respectively. We recorded net unrealized losses on financial instruments at fair value of $81 million and net unrealized gains on financials statements at fair value of 136 million for the six months ended June 30, 2026 and June 30, 2025, respectively. Gains and Losses on Sales of Assets We do not forecast sales of investments as we generally expect to invest for long-term gains. However, from time to time, we may sell assets to create liquidity necessary to pursue new opportunities, to achieve targeted leverage ratios, as well as for gains when prices indicate a sale is most beneficial to us or is the most prudent course of action to maintain a targeted risk-adjusted yield for our investors. During the quarter ended June 30, 2026, we rebalanced a portion of our investment portfolio and sold certain Agency RMBS and Agency CMBS assets, which resulted in a net realized loss of $10 million. Proceeds from these sales were largely re-invested in Agency RMBS Pass-through securities and enabled us to maintain liquidity which can be used for investments or acquisitions. Gain and Loss on Extinguishment of Debt When we acquire our outstanding securitized debt, we extinguish the outstanding debt and recognize a gain or loss based on the difference between the carrying value of the debt and the cost to acquire the debt which is reflected in the Consolidated Statements of Operations as a gain or loss on extinguishment of debt. Securitized Debt Collateralized by Non-Agency RMBS We did not acquire any securitized debt collateralized by Non-Agency RMBS during the quarters ended June 30, 2026 and March 31, 2026, or during the six months ended June 30, 2026 and June 30, 2025. Securitized Debt Collateralized by Loans Held for Investment 84 During the quarter ended June 30, 2026, we acquired securitized debt collateralized by Loans held for investment with an amortized cost balance of $140 million for $143 million, which resulted in net loss on extinguishment of debt of $3 million. During the quarter ended March 31, 2026, we redeemed eight securitizations collateralized by $1.5 billion of fully valued reperforming loans. We sold $1.2 billion of these seasoned reperforming loans and retained $287 million in Loans held for investment. In conjunction with the redemption of these securitizations, we acquired securitized debt collateralized by Loans held for investment with an amortized cost balance of $1.0 billion for $1.0 billion. These transactions resulted in net loss on extinguishment of debt of $39 million. During the six months ended June 30, 2025, we acquired securitized debt collateralized by Loans held for investment with an amortized cost balance of $314 million for $312 million, which resulted in net gain on extinguishment of debt of $2 million. Compensation, General and Administrative Expenses and Transaction Expenses The table below shows our total compensation and benefits expense, general and administrative, or G&A expenses, and transaction expenses as compared to average total assets and average equity for the periods presented. Total Compensation, G&A and Transaction Expenses Total Compensation, G&A and Transaction Expenses/Average Assets Total Compensation, G&A and Transaction Expenses/Average Equity (Ratios have been annualized, dollars in thousands) For the Quarter Ended June 30, 2026 $ 39,788 0.99 % 6.52 % For the Quarter Ended March 31, 2026 $ 38,965 0.98 % 6.19 % For the Quarter Ended December 31, 2025 $ 28,164 0.73 % 4.38 % For the Quarter Ended September 30, 2025 $ 30,623 0.82 % 4.72 % For the Quarter Ended June 30, 2025 $ 18,865 0.54 % 2.86 % Compensation and benefits costs were approximately $25 million and $27 million for the quarters ended June 30, 2026 and March 31, 2026, respectively. Compensation and benefits costs were approximately $52 million and $25 million for the six months ended June 30, 2026 and June 30, 2025, respectively. The decrease in Compensation and benefits costs for the quarter ended June 30, 2026 compared to the quarter ended March 31, 2026 is primarily attributable to a one-time acceleration of stock-based compensation expense recognized in the first quarter related to retirement-eligible employees. The increase in Compensation and benefits costs for the six months ended June 30, 2026 compared to the six months ended June 30, 2025, was driven by higher overall compensation expense related to the increase in employee headcount and expenses related to the acquisition of HomeXpress. General and administrative expenses were approximately $11 million and $12 million for the quarters ended June 30, 2026 and March 31, 2026, respectively. General and administrative expenses were approximately $24 million and $14 million for the six months ended June 30, 2026 and June 30, 2025, respectively. The increase in general and administrative expenses for the six months ended June 30, 2026 was primarily driven by inclusion of HomeXpress. General and administrative expenses are primarily comprised of legal, market data and research, auditing, consulting, information technology, rent and independent investment consulting expenses. During the quarters ended June 30, 2026 and March 31, 2026, we incurred transaction expenses of $3 million and $98 thousand, respectively. These transaction expenses are due to higher securitization activity in the current quarter. During the six months ended June 30, 2026 and June 30, 2025, we incurred transaction expenses of $3 million and $6 million, respectively. The higher transaction expenses in the prior period are related to the HomeXpress Acquisition. Servicing and Asset Manager Fee Expense Servicing fees and asset manager expenses were $4 million and $6 million for the quarters ended June 30, 2026 and March 31, 2026, respectively. Servicing fees and asset manager expenses were $10 million and $15 million for the six months ended June 30, 2026 and June 30, 2025, respectively. The quarter to date and year to date decline is primarily due to our sales of loans held for investment of $1.7 billion during the year resulting in lower loan balances and loan counts. These servicing fees are primarily related to the servicing costs of the whole loans held in consolidated securitization vehicles and are paid from interest income earned by the VIEs. Servicing fees generally ranged from 2 to 50 basis points of UPBs of our consolidated VIEs. Servicing fees paid by our Residential Origination segment are for the interim servicing of loans from origination to sale and are included in gain on origination and sale of loans, net, in our Consolidated Statements of Operations. Depreciation and amortization, and impairment expense 85 We recognized intangible assets related to investment management agreements, internally developed software, developed technology, broker relationships, trade name and licenses acquired in the acquisitions. The long-lived fixed assets are comprised of leasehold improvements, furniture and fixtures, and computers. The fixed assets and intangible assets are depreciated or amortized over their estimated useful lives. We acquired both intangible assets and long-lived fixed assets through the acquisitions of Palisades and HomeXpress during the fourth quarters of 2024 and 2025, respectively. During the quarters ended June 30, 2026 and March 31, 2026, we recognized depreciation and amortization, and impairment expense of $4 million and $10 million, respectively. During the six months ended June 30, 2026 and June 30, 2025, we recognized depreciation and amortization, and impairment expense of $14 million and $2 million, respectively. We recorded an impairment charge of $5 million to reduce the carrying value of certain asset management contracts associated with the Palisades Acquisition to its estimated fair value during the first quarter of 2026. Segment Results of Operations Investment Portfolio segment The Investment Portfolio segment consists of our investments and third-party advisory services activities and includes our investments in financial assets including (i) residential mortgage loans and properties, (ii) real estate-related securities, (iii) consumer loans, (iv) MSR-related investments and (v) certain ancillary investments and equity method investments, as well as associated financing, hedging, and various allocable expenses. Prior to the fourth quarter of 2025, these activities comprised our single reportable segment. Residential Origination segment In conjunction with the HomeXpress Acquisition, the Residential Origination segment consists of our stand-alone mortgage loan origination business of HomeXpress that originates Non-QM residential mortgage loans (both consumer loans and Investor Loans), and other Non-Agency and Agency mortgage loan products, and includes the related residential mortgage LHFS and other operational aspects including the goodwill and intangible assets resulting from the HomeXpress Acquisition. The segment information presented below reflects our current reportable segment structure. Because the Residential Origination segment was established upon the completion of the HomeXpress Acquisition on October 1, 2025, the Residential Origination segment had no revenues or expenses for the six months ended June 30, 2025. Accordingly, the segment results for the six months ended June 30, 2026 are not directly comparable to those for the prior-year period. The following presents, for each reportable segment, revenues, the measure of segment profit or loss, and significant segment expenses. Segment results are prepared on the same basis as our consolidated financial statements and are reconciled to consolidated amounts below: 86 For the Quarter Ended June 30, 2026 March 31, 2026 (dollars in thousands) Investment Portfolio Residential Origination Total Investment Portfolio Residential Origination Total Net interest income: Interest income $ 206,910 $ 14,715 $ 221,625 $ 205,346 $ 13,949 $ 219,295 Interest expense 140,205 10,911 151,116 134,169 10,124 144,293 Net interest income 66,705 3,804 70,509 71,177 3,825 75,002 Increase in provision for credit losses 7,192 — 7,192 2,824 — 2,824 Other income (losses): Net unrealized gains (losses) on derivatives 15,398 — 15,398 18,150 — 18,150 Realized gains (losses) on derivatives 9,527 — 9,527 2,870 — 2,870 Periodic interest on derivatives, net 2,061 — 2,061 1,834 — 1,834 Net gains (losses) on derivatives 26,986 — 26,986 22,854 — 22,854 Investment management and advisory fees 6,540 — 6,540 7,165 — 7,165 Interest income from investment in MSR financing receivables, net 838 — 838 2,311 — 2,311 Net unrealized gains (losses) on financial instruments at fair value (43,386) — (43,386) (37,536) — (37,536) Net realized losses on sales of investments (9,623) — (9,623) (40,428) — (40,428) Gains (losses) on extinguishment of debt (2,748) — (2,748) (38,858) — (38,858) Other investment losses 1,229 — 1,229 (910) — (910) Gain on origination and sale of loans, net (68) 22,278 22,210 — 21,385 21,385 Total other income (losses) (20,232) 22,278 2,046 (85,402) 21,385 (64,017) Other expenses: Compensation and benefits 13,223 11,879 25,102 15,066 11,640 26,706 General and administrative expenses 9,027 2,452 11,479 10,035 2,126 12,161 Servicing and asset manager fees 4,431 — 4,431 5,522 — 5,522 Depreciation, amortization, and impairment expense 644 3,432 4,076 6,222 3,427 9,649 Transaction expenses 3,207 — 3,207 98 — 98 Total other expenses 30,532 17,763 48,295 36,943 17,193 54,136 Income (loss) before income taxes 8,749 8,319 17,068 (53,991) 8,017 (45,974) Income tax (benefit) expense 47 (348) (301) (2,106) 42 (2,064) Net income (loss) 8,702 8,667 17,369 (51,885) 7,975 (43,910) Dividends on preferred stock 21,381 — 21,381 21,097 — 21,097 Net income (loss) available to common shareholders $ (12,679) $ 8,667 $ (4,012) $ (72,982) $ 7,975 $ (65,007) 87 For the Six Months Ended June 30, 2026 June 30, 2025 (dollars in thousands) Investment Portfolio Residential Origination Total Investment Portfolio Residential Origination Total Net interest income: Interest income $ 412,255 $ 28,665 $ 440,920 $ 391,914 $ — $ 391,914 Interest expense 274,372 21,036 295,408 256,684 — 256,684 Net interest income 137,883 7,629 145,512 135,230 — 135,230 Increase in provision for credit losses 10,016 — 10,016 7,796 — 7,796 Other income (losses): Net unrealized gains (losses) on derivatives 33,548 — 33,548 (9,024) — (9,024) Realized gains (losses) on derivatives 12,397 — 12,397 (17,872) — (17,872) Periodic interest on derivatives, net 3,895 — 3,895 9,202 — 9,202 Net gains (losses) on derivatives 49,840 — 49,840 (17,694) — (17,694) Investment management and advisory fees 13,704 — 13,704 17,745 — 17,745 Interest income from investment in MSR financing receivables, net 3,149 — 3,149 — — — Net unrealized gains (losses) on financial instruments at fair value (80,923) — (80,923) 135,866 — 135,866 Net realized losses on sales of investments (50,051) — (50,051) (1,915) — (1,915) Gains (losses) on extinguishment of debt (41,605) — (41,605) 2,122 — 2,122 Other investment losses 320 — 320 2,536 — 2,536 Gain on origination and sale of loans, net (68) 43,663 43,595 — — — Total other income (losses) (105,634) 43,663 (61,971) 138,660 — 138,660 Other expenses: Compensation and benefits 28,289 23,519 51,808 24,745 — 24,745 General and administrative expenses 19,062 4,578 23,640 13,721 — 13,721 Servicing and asset manager fees 9,953 — 9,953 14,737 — 14,737 Depreciation, amortization, and impairment expense 6,866 6,859 13,725 1,902 — 1,902 Transaction expenses 3,305 — 3,305 6,077 — 6,077 Total other expenses 67,475 34,956 102,431 61,182 — 61,182 Income (loss) before income taxes (45,242) 16,336 (28,906) 204,912 — 204,912 Income tax (benefit) expense (2,059) (306) (2,365) 2,165 — 2,165 Net income (loss) (43,183) 16,642 (26,541) 202,747 — 202,747 Dividends on preferred stock 42,478 — 42,478 42,783 — 42,783 Net income (loss) available to common shareholders $ (85,661) $ 16,642 $ (69,019) $ 159,964 $ — $ 159,964 Earnings Available for Distribution Earnings available for distribution (“EAD”) is a non-GAAP measure and is defined as GAAP net income (loss) excluding: (i) Net unrealized gains (losses) on financial instruments at fair value; (ii) Net realized gains (losses) on sales of investments; (iii) Gains (losses) on extinguishment of debt; (iv) Increase in provision for credit losses; (v) Net unrealized gains (losses) on derivatives; (vi) Realized gains (losses) on derivatives; (vii) Transaction expenses; (viii) stock compensation expenses for retirement eligible awards; (ix) Depreciation, amortization, and impairment of intangible assets, net of any tax impact; (x) non-cash imputed compensation expense related to business acquisitions; and (xi) Other investment gains (losses). Non-cash imputed compensation expense reflects the portion of the consideration paid in the Palisades Acquisition that pursuant to the sellers’ contractual arrangements is distributable to the sellers’ legacy employees (who are now our employees) and that for GAAP purposes is recorded as non-cash imputed compensation expense with an offsetting entry recorded as a non-cash contribution from a related party to stockholders’ equity. The excluded amounts do not include any normal, recurring compensation paid to our employees. 88 Transaction expenses are primarily comprised of costs only incurred at the time of execution of our securitizations, certain structured secured financing agreements, and business combination transactions, and include costs such as underwriting fees, legal fees, diligence fees, accounting fees, bank fees, and other similar transaction-related expenses. These costs are incurred prior to or at the execution of the transaction and do not recur thereafter. Recurring expenses, such as servicing fees, custodial fees, trustee fees, and other similar ongoing fees, are not excluded from EAD. We believe that excluding these costs is useful to investors because it is generally consistent with the treatment applied by our peer group in their non-GAAP measure presentations, mitigates period to period comparability issues tied to the timing of securitization and structured finance transactions, and is consistent with the accounting for the deferral of debt issuance costs prior to the fair value election option made by us. We also believe it is important for investors to review EAD as it is consistent with how management internally evaluates the performance of the Company. Stock compensation expense charges incurred on awards to retirement eligible employees is reflected as an expense over a vesting period (generally 36 months) rather than reported as an immediate expense. We may hold long and/or short positions in TBA securities through transactions commonly referred to as “dollar roll” transactions. Under U.S. GAAP, these transactions are accounted for as derivatives and are carried at fair value. Changes in the fair value of TBA positions consist of two components: (i) drop income (expense) and (ii) mark-to-market adjustments. For financial statement presentation purposes, drop income (expense) is reported within Periodic interest on derivatives, net, while mark-to-market adjustments are reported within Net unrealized gains (losses) on derivatives. Together with any realized gains and losses, these amounts are included in Net gains (losses) on derivatives in our Consolidated Statements of Operations. Management includes drop income (expense) in EAD because it views drop income (expense) as the economic equivalent of net interest income on the underlying Agency securities, reflecting the difference between the implied interest earned and the implied financing cost over the period from trade date to settlement date. This treatment is consistent with how management evaluates the Company’s investment performance and how we believe our investors analyze our investment performance. We view EAD as one measure of our investment portfolio's ability to generate income for distribution to common stockholders. EAD is one of the metrics, but not the exclusive metric, that our Board of Directors considers when determining the amount, if any, of dividends on our common stock. Other metrics that our Board of Directors may consider when determining the amount, if any, of dividends on our common stock include, among others, REIT taxable income, dividend yield, book value, cash generated from the portfolio, reinvestment opportunities, and other cash needs. To maintain our qualification as a REIT, U.S. federal income tax law generally requires that we distribute at least 90% of our REIT taxable income (subject to certain adjustments) annually. EAD is different from REIT taxable income. For example, differences between EAD and REIT taxable income may result from whether the REIT uses mark-to-market accounting for GAAP purposes, accretion of market discount or OID and amortization of premium, and differences in the treatment of securitizations for GAAP and tax purposes, among other items. Further, REIT taxable income generally does not include earnings of our domestic taxable REIT subsidiaries (“TRSs”) unless such income is distributed from current or accumulated earnings and profits. The determination of whether we have met the requirement to distribute at least 90% of our annual REIT taxable income is not based on EAD, and EAD should not be considered as an indication of our REIT taxable income, a guarantee of our ability to pay dividends, or a proxy for the amount of dividends we may pay. We believe EAD helps us and investors evaluate our financial performance period over period without the impact of certain non-recurring transactions. EAD should not be viewed in isolation and is not a substitute for, or superior to, net income (loss) or net income (loss) per basic share computed in accordance with GAAP. In addition, our methodology for calculating EAD may differ from the methodologies employed by other REITs to calculate the same or similar supplemental performance measures, and accordingly, our EAD may not be comparable to the EAD reported by other REITs. The following table provides GAAP measures of net income and net income per diluted share available to common stockholders for the periods presented and details with respect to reconciling the line items to Earnings available for distribution and related per average diluted common share amounts. Earnings available for distribution is presented on an adjusted dilutive shares basis. 89 For the Quarters Ended June 30, 2026 March 31, 2026 December 31, 2025 September 30, 2025 June 30, 2025 (dollars in thousands, except per share data) GAAP net income (loss) available to common stockholders $ (4,012) $ (65,007) $ 6,501 $ (21,997) $ 14,024 Adjustments (1): Net unrealized (gains) losses on financial instruments at fair value 43,386 37,536 17,138 36,995 (6,971) Net realized (gains) losses on sales of investments 9,623 40,428 23,268 (1,991) 1,915 Gain (loss) on extinguishment of debt 2,748 38,858 (20) — — Increase in provision for credit losses 7,192 2,824 5,322 2,587 4,409 Net unrealized (gains) losses on derivatives (15,398) (18,150) (27,303) 7,907 2,554 Realized (gains) losses on derivatives (9,527) (2,870) 17,495 (2,015) 17,954 Transaction expenses 3,207 98 625 9,931 390 Stock Compensation expense for retirement eligible awards (510) 2,023 (449) (506) (501) Depreciation, amortization, and impairment expense (2) 4,076 9,649 4,332 948 949 HomeXpress acquisition intangible amortization tax impact (3) (850) (863) (837) — — Non-cash imputed compensation related to business acquisition 341 341 341 341 341 Other investment (gains) losses (1,229) 910 (1,252) (1,945) (2,953) Earnings available for distribution $ 39,047 $ 45,777 $ 45,161 $ 30,255 $ 32,111 GAAP net income (loss) per diluted common share $ (0.05) $ (0.78) $ 0.08 $ (0.27) $ 0.17 Earnings available for distribution per adjusted diluted common share $ 0.46 $ 0.54 $ 0.53 $ 0.37 $ 0.39 (1) As a result of the business combinations, we updated the determination of earnings available for distribution to exclude non-recurring acquisition-related transaction expenses, non-cash amortization of intangibles and depreciation expenses, and non-cash imputed compensation expenses. These expenses are excluded as they relate to our business combinations and are not directly related to our income-generating activities. (2) Non-cash amortization of intangibles and depreciation expenses related to acquisitions. (3) Tax impact on non-cash amortization of intangibles and depreciation expenses related to business combinations. The table below summarizes the reconciliation from weighted-average diluted shares under GAAP to the weighted-average adjusted diluted shares used for Earnings available for distribution for the periods reported below. For the Quarters Ended June 30, 2026 March 31, 2026 December 31, 2025 September 30, 2025 June 30, 2025 Weighted average diluted shares - GAAP 83,813,331 83,661,145 83,942,704 81,507,492 82,600,108 Potentially dilutive shares (1) 1,958,441 1,709,686 — 1,377,857 — Adjusted weighted average diluted shares - Earnings available for distribution 85,771,772 85,370,831 83,942,704 82,885,349 82,600,108 (1) Potentially dilutive shares related to restricted stock units and performance stock units are excluded from the computation of weighted average GAAP diluted shares because their effect would have been anti-dilutive given the GAAP net loss available to common shareholders for the quarters ended June 30, 2026, March 31, 2026 and September 30, 2025. Earnings available for distribution for the quarter ended June 30, 2026 were $39 million, or $0.46 per average diluted common share, compared to $46 million and $0.54 per average diluted common share for the quarter ended March 31, 2026. The decline in Earnings available for distribution was primarily driven by non-recurring benefits recognized in prior quarter of redeeming the securitized debt reduced interest expense and one-time early payout protection income on our MSR investments. Net Income (Loss) and Return on Total Stockholders' Equity The table below shows our Net income (loss) and Economic net interest income as a percentage of average stockholders' equity Earnings available for distribution as a percentage of average common stockholders' equity, and Average Tangible Common Equity. Return on average equity is defined as our GAAP net income (loss) as a percentage of average equity. Average equity is defined as the average of our beginning and ending stockholders' equity balance for the period reported. Economic net interest income and Earnings available for distribution are non-GAAP measures as defined in previous sections. Tangible Common Equity is a non-GAAP measure and is defined below. 90 Return on Average Equity Economic Net Interest Income/Average Equity (1) Earnings available for distribution/Average Common Equity Earnings available for distribution/Average Tangible Common Equity (Ratios have been annualized) For the Quarter Ended June 30, 2026 2.85 % 12.35 % 10.35 % 11.91 % For the Quarter Ended March 31, 2026 (6.97) % 13.03 % 11.53 % 13.24 % For the Quarter Ended December 31, 2025 4.41 % 10.75 % 11.00 % 11.91 % For the Quarter Ended September 30, 2025 (0.09) % 10.56 % 7.26 % 7.44 % For the Quarter Ended June 30, 2025 5.38 % 10.49 % 7.54 % 7.72 % (1) Includes our Economic Net Interest Income and Average equity on our Investment Portfolio. Return on average equity was 2.85% for the quarter ended June 30, 2026, as compared to (6.97)% for the quarter ended March 31, 2026. Economic net interest income as a percentage of average equity on our investment portfolio decreased by 68 basis points for the quarter ended June 30, 2026 as compared to the quarter ended March 31, 2026. Earnings available for distribution as a percentage of average common equity decreased by 118 basis points for the quarter ended June 30, 2026, as compared to the quarter ended March 31, 2026. Tangible Common Equity is a non-GAAP measure and is defined as Total stockholders' equity available to common stockholders less intangible assets and goodwill related to the business acquisitions. We believe that this measure helps our management and investors understand our capital adequacy and changes from period to period in our common stockholders' equity exclusive of changes of intangible assets. The following table presents a reconciliation of Total Stockholders’ Equity to Tangible Common Equity as of the following periods. As of June 30, 2026 March 31, 2026 December 31, 2025 September 30, 2025 June 30, 2025 (dollars in thousands, except share and per share data) Total stockholders' equity $ 2,415,626 $ 2,463,759 $ 2,572,694 $ 2,571,238 $ 2,624,530 Less: Liquidation Preference on Preferred Stock (930,000) (930,000) (930,000) (930,000) (930,000) Total stockholders' equity available to common stockholders $ 1,485,626 $ 1,533,759 $ 1,642,694 $ 1,641,238 $ 1,694,530 Less: Intangibles (100,850) (104,760) (114,246) (18,124) (18,971) Less: Goodwill (95,342) (95,342) (95,342) (22,152) (22,152) Total Intangibles & Goodwill (196,192) (200,102) (209,588) (40,276) (41,123) Tangible Common Equity $ 1,289,434 $ 1,333,657 $ 1,433,106 $ 1,600,962 $ 1,653,407 Financial Condition Portfolio Review During the six months ended June 30, 2026, we focused our efforts on taking advantage of relative value opportunities while simultaneously increasing our liquid securities allocation. During the six months ended June 30, 2026, on an aggregate basis, we purchased $2.8 billion of investments and received $975 million in principal payments related to our Agency MBS, Non-Agency RMBS and Loans held for investment portfolio. The following table summarizes certain characteristics of our portfolio at June 30, 2026 and December 31, 2025. June 30, 2026 December 31, 2025 (dollars in thousands) Interest earning assets at period-end (1) $ 15,044,902 $ 15,017,791 Interest bearing liabilities at period-end $ 13,450,309 $ 13,070,591 GAAP Leverage at period-end 5.6:1 5.1:1 GAAP Leverage at period-end (recourse) 3.3:1 2.4:1 (1) Excludes cash and cash equivalents. 91 June 30, 2026 December 31, 2025 June 30, 2026 December 31, 2025 Portfolio Composition Amortized Cost Fair Value Non-Agency RMBS 5.1 % 5.5 % 5.1 % 5.8 % Senior 2.8 % 2.9 % 3.3 % 3.6 % Subordinated 1.3 % 1.6 % 1.3 % 1.6 % Interest-only 1.0 % 1.0 % 0.5 % 0.6 % Agency RMBS 36.7 % 24.1 % 36.8 % 24.2 % Pass-through 35.0 % 21.6 % 35.2 % 21.8 % CMO 1.6 % 2.4 % 1.6 % 2.3 % Interest-only N/A 0.1 % N/A 0.1 % Agency CMBS 0.1 % 0.3 % 0.1 % 0.2 % ACMBS bond 0.1 % N/A 0.1 % N/A Project loans N/A 0.3 % N/A 0.2 % Interest-only N/A 0.0 % N/A 0.1 % Loans held for investment 55.8 % 69.8 % 55.6 % 69.5 % Loans held for sale 2.1 % N/A 2.2 % N/A Interests in MSR financing receivables 0.2 % 0.3 % 0.2 % 0.3 % Fixed-rate percentage of portfolio 90.0 % 86.5 % 89.7 % 86.1 % Adjustable-rate percentage of portfolio 10.0 % 13.5 % 10.3 % 13.9 % GAAP leverage at period-end is calculated as a ratio of our secured financing agreements and securitized debt liabilities over GAAP book value. GAAP recourse leverage is calculated as a ratio of our secured financing agreements over stockholders' equity. The following table presents details of each asset class in our portfolio, excluding interests in MSR financing receivables, at June 30, 2026 and December 31, 2025. The principal or notional value represents the interest income earning balance of each class. The weighted average figures are weighted by each investment’s respective principal/notional value in the asset class. June 30, 2026 Principal or Notional Value at Period-End (dollars in thousands) Weighted Average Amortized Cost Basis Weighted Average Fair Value Weighted Average Coupon Weighted Average Yield at Period-End (1) Weighted Average 3 Month Prepay Rate at Period-End Weighted Average 12 Month Prepay Rate at Period-End Weighted Average 3 Month CDR at Period-End Weighted Average 12 Month CDR at Period-End Weighted Average Loss Severity(2) Weighted Average Credit Enhancement Non-Agency RMBS Senior $ 827,607 $ 41.90 $ 56.51 5.6 % 21.3 % 5.0 % 5.2 % 2.2 % 2.0 % 23.6 % 1.0 % Subordinated 394,670 45.39 48.58 3.9 % 9.2 % 7.8 % 8.6 % 0.3 % 0.7 % 46.6 % 3.9 % Interest-only 2,327,935 6.11 2.93 0.9 % 3.8 % 5.3 % 5.2 % 0.7 % 1.0 % 43.5 % — % Agency RMBS Pass-through 5,041,259 99.24 99.47 5.3 % 5.3 % 14.2 % 11.5 % N/A N/A N/A N/A CMO 231,192 99.93 100.63 4.9 % 4.9 % 29.1 % 21.5 % N/A N/A N/A N/A Interest-only — — — — % — % — % — % N/A N/A N/A N/A Agency CMBS ACMBS bond 17,905 97.74 97.26 4.1 % 4.4 % — % — % N/A N/A N/A N/A Interest-only — — — — % — % — % — % N/A N/A N/A N/A Loans held for sale 300,981 100.00 102.01 7.0 % 6.9 % — % — % — % — % — % N/A Loans held for investment Re-performing Loans 7,217,579 97.90 97.16 5.4 % 5.5 % 7.3 % 6.9 % 0.5 % 0.4 % — % 11.8 % Prime Loans 370,972 91.26 92.37 4.3 % 3.8 % 11.1 % 5.2 % — % — % — % — % Investor Loans 504,202 102.27 103.28 7.4 % 7.0 % 22.4 % 18.4 % 1.1 % 1.1 % — % 13.8 % RTLs 48,922 98.00 93.16 9.0 % 3.8 % 4.3 % 18.3 % 6.5 % 1.6 % 23.3 % — % (1) Bond Equivalent Yield at period-end. Weighted Average Yield is calculated using each investment's respective amortized cost. (2) Calculated based on reported losses to date, utilizing widest data set available (i.e., life-time losses, 12-month loss, etc.) 92 December 31, 2025 Principal or Notional Value at Period-End (dollars in thousands) Weighted Average Amortized Cost Basis Weighted Average Fair Value Weighted Average Coupon Weighted Average Yield at Period-End (1) Weighted Average 3 Month Prepay Rate at Period-End Weighted Average 12 Month Prepay Rate at Period-End Weighted Average 3 Month CDR at Period-End Weighted Average 12 Month CDR at Period-End Weighted Average Loss Severity(2) Weighted Average Credit Enhancement Non-Agency RMBS Senior $ 852,887 $ 42.78 $ 59.21 5.7 % 20.3 % 4.5 % 4.6 % 2.4 % 2.2 % 23.6 % 1.1 % Subordinated 453,269 48.99 51.47 4.2 % 9.3 % 8.7 % 8.3 % 1.6 % 0.8 % 46.6 % 4.7 % Interest-only 2,428,976 6.03 3.25 0.8 % 4.4 % 5.1 % 5.1 % 1.4 % 1.2 % 43.5 % — % Agency RMBS Pass-through 3,096,299 97.79 99.52 5.0 % 5.3 % 9.6 % 6.3 % N/A N/A N/A N/A CMO 330,871 99.94 100.31 5.1 % 5.1 % 18.7 % 12.3 % N/A N/A N/A N/A Interest-only 367,866 5.07 4.04 0.6 % 6.5 % 7.8 % 8.7 % N/A N/A N/A N/A Agency CMBS Project loans 39,693 101.52 81.98 3.4 % 3.3 % — % — % N/A N/A N/A N/A Interest-only 123,375 2.67 2.11 0.7 % 13.0 % — % — % N/A N/A N/A N/A Loans held for investment Re-performing Loans 8,946,869 97.86 98.21 5.2 % 5.5 % 6.7 % 6.6 % 0.6 % 0.4 % 34.4 % 9.3 % Prime Loans 386,617 90.91 94.50 4.3 % 5.9 % 5.9 % 4.1 % — % — % 37.8 % — % Investor Loans 569,775 102.11 104.20 7.5 % 7.1 % 18.2 % 12.9 % — % — % 32.4 % 12.4 % RTLs 85,339 99.50 96.45 8.4 % 9.0 % 25.2 % 30.5 % 0.4 % 0.5 % 14.1 % — % (1) Bond Equivalent Yield at period-end. Weighted Average Yield is calculated using each investment's respective amortized cost. (2) Calculated based on reported losses to date, utilizing widest data set available (i.e., life-time losses, 12-month loss, etc.) Based on the projected cash flows for our Non-Agency RMBS that are not of high credit quality, a portion of the original purchase discount is designated as Accretable Discount, which reflects the purchase discount expected to be accreted into interest income, and a portion is designated as Non-Accretable Difference, which represents the contractual principal on the security that is not expected to be collected. The amount designated as Non-Accretable Difference may be adjusted over time, based on the actual performance of the security, its underlying collateral, actual and projected cash flow from such collateral, economic conditions and other factors. If the performance of a security is more favorable than previously estimated, a portion of the amount designated as Non-Accretable Difference may be transferred to Accretable Discount and accreted into interest income over time. Conversely, if the performance of a security is less favorable than previously estimated, a provision for credit loss may be recognized, resulting in an increase in the amounts designated as Non-Accretable Difference. The following table presents changes to Accretable Discount (net of premiums) as it pertains to our Non-Agency RMBS portfolio, excluding premiums on interest-only investments, during the previous five quarters. For the Quarters Ended (dollars in thousands) Accretable Discount (Net of Premiums) June 30, 2026 March 31, 2026 December 31, 2025 September 30, 2025 June 30, 2025 Balance, beginning of period $ 59,964 $ 79,422 $ 89,297 $ 108,412 $ 110,861 Accretion of discount (8,774) (9,756) (8,795) (10,803) (8,253) Purchases — — — — — Sales (58) (7,241) (4,224) (10,786) 188 Elimination in consolidation — — — — — Transfers from/(to) credit reserve, net 5,781 (2,460) 3,144 2,474 5,616 Balance, end of period $ 56,913 $ 59,964 $ 79,422 $ 89,297 $ 108,412 Liquidity and Capital Resources General Liquidity measures our ability to meet cash requirements, including for ongoing borrowing commitments such as margin calls on non-MTM facilities, purchases of RMBS, residential mortgage loans and other assets for our portfolio, payment of dividends and other general business needs. Our principal sources of capital and funds for additional investments primarily include earnings, principal paydowns and sales from our investments, borrowings under securitizations and re-securitizations, secured financing agreements and other financing facilities, including warehouse facilities, and proceeds from equity or other securities 93 offerings. Over the past several months, we have deliberately positioned the portfolio to maintain flexibility and to meet liquidity needs as they arise, including the HomeXpress Acquisition that closed on October 1, 2025. Our ability to fund our operations, meet financial obligations and finance target asset acquisitions may be impacted by our ability to secure and maintain our master secured financing agreements, warehouse facilities and secured financing agreement facilities with our counterparties. Because secured financing agreements and warehouse facilities are short-term commitments of capital, lenders may respond to market conditions making it more difficult for us to renew or replace on a continuous basis our maturing short-term borrowings and have and may continue to impose more onerous conditions when rolling forward such financings. If we are not able to renew our existing facilities or arrange for new financing on terms acceptable to us, or if we default on our covenants or are otherwise unable to access funds under our financing facilities, or if we are required to post more collateral or face larger haircuts, we may have to curtail our asset acquisition activities and dispose of assets. To meet our short-term (one year or less) liquidity needs, we expect to continue to borrow funds in the form of secured financing agreements and, subject to market conditions, other types of financing. The terms of the secured financing transaction borrowings under our master secured financing agreement generally conform to the terms in the standard master secured financing agreement as published by SIFMA or similar market accepted agreements, as to repayment and margin requirements. In addition, each lender typically requires that we include supplemental terms and conditions to the standard master secured financing agreement. Typical supplemental terms and conditions include changes to the margin maintenance requirements, net asset value, required “haircuts” (which are the difference expressed in percentage terms between the fair value of the collateral and the amount the counterpart will lend to us) purchase price maintenance requirements, and requirements that all disputes related to the secured financing agreement be litigated or arbitrated in a particular jurisdiction. These provisions may differ for each of our lenders. To meet our longer-term liquidity needs (greater than one year), we expect our principal sources of capital and funds to continue to be provided by earnings, principal paydowns and sales from our investments, borrowings under securitizations and re-securitizations, secured financing agreements and other financing facilities, as well as proceeds from equity, debt or other securities offerings. In addition to the principal sources of capital described above, we may enter into warehouse facilities and use longer-dated structured secured financing agreements. The use of any particular source of capital and funds will depend on market conditions, availability of these facilities, and the investment opportunities available to us. Current Period We held cash and cash equivalents of approximately $444 million and $279 million at June 30, 2026 and December 31, 2025, respectively. As a result of our operating, investing and financing activities described below, our cash position increased by $165 million from December 31, 2025 to June 30, 2026. Our operating activities used net cash of approximately $96 million and provided net cash of approximately $41 million for the six months ended June 30, 2026 and 2025, respectively. The cash flows from operations were primarily driven by interest received in excess of interest paid of $138 million, and proceeds from sale of LHFS, net of cash used related to our origination activities, of $233 million during the six months ended June 30, 2026. The cash flows from operations were primarily driven by interest received in excess of interest paid of $149 million during the six months ended June 30, 2025. Our investing activities used cash of $2 million and $1.4 billion for the six months ended June 30, 2026 and 2025, respectively. During the six months ended June 30, 2026, we used cash to purchase $2.3 billion of Agency MBS and $469 million of Loans held for investment, which were offset by cash received from sales of loans held for investment of $1.7 billion and cash received for principal repayments on Agency MBS, Non-Agency RMBS and Loans held for investment of $975 million, collectively. During the six months ended June 30, 2025, we used cash to purchase $1.9 billion of Agency MBS and $436 million of Loans held for investment, which were offset by cash received for principal repayments on Agency MBS, Non-Agency RMBS and Loans held for investment of $840 million, collectively. Our financing activities provided cash of $264 million and $1.5 billion for the six months ended June 30, 2026 and 2025, respectively. During the six months ended June 30, 2026, we received cash from net proceeds on our secured financing agreements of $1.7 billion and proceeds received from our secured debt borrowings of $379 million. This was offset by cash used for repayment of principal on our securitized debt of $1.7 billion and payment of common and preferred dividends of $112 million. During the six months ended June 30, 2025, we received cash from net proceeds on our secured financing agreements of $1.7 billion and cash proceeds received from our secured debt borrowings of $780 million. This was offset by cash used for repayment of principal on our securitized debt of $903 million and payment of common and preferred dividends of $104 million. 94 Our recourse leverage increased at June 30, 2026 to 3.3:1 as compared to 2.4:1 at December 31, 2025. This increase was primarily driven by higher borrowings under secured financing agreements to finance our Agency RMBS purchases. Our recourse leverage excludes the securitized debt which can only be repaid from the proceeds on the assets securing this debt in their respective VIEs. Our recourse leverage is presented as a ratio of our secured financing agreements and long-term debt, which are recourse to our assets and our equity. Based on our current portfolio, leverage ratio and available borrowing arrangements, we believe our assets will be sufficient to enable us to meet anticipated short-term liquidity requirements. However, if our cash resources are insufficient to satisfy our liquidity requirements, we may sell additional investments, reduce our dividends, or issue debt or additional common or preferred equity securities to meet our liquidity needs. As of June 30, 2026 and December 31, 2025, we had $212 million and $249 million of unencumbered assets available to us, respectively, which can be pledged to access additional short-term financing or sold to raise additional cash, if necessary. At June 30, 2026 and December 31, 2025, the secured financing agreements collateralized by MBS, Loans held for investment, and LHFS had the following remaining maturities and borrowing rates. June 30, 2026 December 31, 2025 (dollars in thousands) Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates Overnight $ — N/A N/A $ — N/A N/A 1 to 29 days 4,451,095 4.15 % 3.73% - 8.38% 2,630,804 4.15 % 3.93% - 6.76% 30 to 59 days 1,049,078 3.96 % 3.77% - 6.40% 781,654 4.86 % 3.94% - 6.54% 60 to 89 days 746,512 4.63 % 3.81% - 5.99% 722,995 4.75 % 3.90% - 6.54% 90 to 119 days 88,699 5.83 % 5.30% - 6.40% 263,081 6.78 % 5.37% - 6.97% 120 to 180 days 448,422 5.36 % 5.30% - 6.03% 96,153 5.47 % 5.36% - 6.54% 180 days to 1 year 657,751 7.12 % 4.57% - 8.15% 810,443 6.03 % 4.77% - 8.38% 1 to 2 years 293,052 5.00 % 5.00% - 5.37% 733,206 6.79 % 4.98% - 8.15% Total $ 7,734,609 4.54 % $ 6,038,336 5.02 % (1) The values for secured financing agreements in the table above are net of $37 thousand and $271 thousand of deferred financing costs as of June 30, 2026 and December 31, 2025, respectively. Average remaining maturity of Secured financing agreements secured by: June 30, 2026 December 31, 2025 Agency RMBS 24 Days 26 Days Agency CMBS 15 Days 8 Days Loans held for sale 121 Days 218 Days Non-Agency RMBS and Loans held for investment 210 Days 278 Days We collateralize the secured financing agreements we use to finance our operations with our MBS investments and mortgage loans held in trusts controlled by us. Our counterparties negotiate a “haircut”, which is the difference expressed in percentage terms between the fair value of the collateral and the amount the counterparty will lend to us, when we enter into a financing transaction. The size of the haircut reflects the perceived risk and market volatility associated with holding the MBS by the lender. The haircut provides lenders with a cushion for daily market value movements that reduce the need for a margin call to be issued or margin to be returned as normal daily increases or decreases in MBS market values occur. At June 30, 2026, the weighted average haircut on our secured financing agreements collateralized by Agency RMBS was 4.2%, Agency CMBS was 4.0%, LHFS was 9.0% and Non-Agency RMBS and Loans held for investment was 25.9%. At December 31, 2025, the weighted average haircut on our secured financing agreements collateralized by Agency RMBS was 4.4%, Agency CMBS was 5.4%, and Non-Agency RMBS and Loans held for investment was 27.1%. Because the fair value of the Non-Agency MBS is more difficult to determine in current financial conditions, as well as more volatile period to period than Agency MBS, the Non-Agency MBS typically requires a larger haircut. In addition, when financing assets use the standard form of SIFMA master repurchase agreements, the counterparty to the agreement typically nets its exposure to us on all outstanding repurchase agreements and issues margin calls if movement of the fair values of the assets in the aggregate exceeds their allowable exposure to us. A decline in asset fair values could create a margin call or may 95 create no margin call depending on the counterparty’s specific policy. In addition, counterparties consider a number of factors, including their aggregate exposure to us as a whole and the number of days remaining before the repurchase transaction closes prior to issuing a margin call. To minimize the risk of margin calls, as of June 30, 2026, we have entered into $833 million of financing arrangements for which the collateral cannot be adjusted as a result of changes in market value, minimizing the risk of a margin call as a result in price volatility. We refer to these agreements as non-MTM facilities. These non-MTM facilities generally have higher costs of financing, but lower the risk of a margin call which could result in sales of our assets at distressed prices. All non-MTM facilities are collateralized by Non-Agency RMBS collateral, which tends to have increased volatile price changes during periods of market stress. In addition we have entered into certain secured financing agreements that are not subject to additional margin requirement until the drop in fair value of collateral is greater than a threshold. We refer to these agreements as limited MTM facilities. As of June 30, 2026, we have $356 million of limited MTM facilities. We believe these non-MTM and limited MTM facilities significantly reduce our financing risks. See Note 6 — Fair Value Measurements to our consolidated financial statements for a discussion on how we determine the fair values of the RMBS collateralizing our secured financing agreements. At June 30, 2026, the weighted average borrowing rates for our secured financing agreements collateralized by Agency RMBS was 3.8%, Agency CMBS was 3.8%, LHFS was 5.4% and Non-Agency MBS and Loans held for investment was 6.3%. At December 31, 2025, the weighted average borrowing rates for our secured financing agreements collateralized by Agency RMBS was 4.0%, Agency CMBS was 4.0%, LHFS was 5.84% and Non-Agency MBS and Loans held for investment was 6.4%. We entered into a secured financing agreement during the fourth quarter of 2022 for which we have elected fair value option. We believe electing fair value for this financial instrument better reflects the transactional economics. The total principal balance outstanding on this secured financing at June 30, 2026 and December 31, 2025 was $293 million and $306 million, respectively. The fair value of collateral pledged was $340 million and $360 million as of June 30, 2026 and December 31, 2025, respectively. We carry this secured financing instrument at fair value of $284 million and $299 million as of June 30, 2026 and December 31, 2025, respectively. At June 30, 2026 and December 31, 2025, the weighted average borrowing rate on secured financing agreements at fair value was 5.0%, respectively. At June 30, 2026 and December 31, 2025, the haircut for the secured financing agreements at fair value was 8.0%, respectively. At June 30, 2026, the maturity on the secured financing agreements at fair value was more than one year. The table below presents our average daily secured financing agreements balance and the secured financing agreements balance at each period end for the periods presented. Our balance at period-end tends to fluctuate from the average daily balances due to adjustments to the size of our portfolio resulting from the use of leverage. Period Average secured financing agreements balances Secured financing agreements balance at period end (dollars in thousands) Quarter End June 30, 2026 $ 6,792,752 $ 7,725,542 Quarter End March 31, 2026 $ 6,454,228 $ 6,987,171 Quarter End December 31, 2025 $ 5,589,698 $ 6,031,182 Quarter End September 30, 2025 $ 4,799,281 $ 4,876,986 Quarter End June 30, 2025 $ 3,806,015 $ 4,563,063 Our secured financing agreements do not require us to maintain any specific leverage ratio. We believe the appropriate leverage for the particular assets we are financing depends on the credit quality and risk of those assets. At June 30, 2026 and December 31, 2025, the carrying value of our total interest-bearing debt was approximately $13.5 billion and $13.1 billion, respectively, which represented a leverage ratio of approximately 5.6:1 and 5.1:1 respectively. We include our secured financing agreements, long term debt, and securitized debt in the numerator of our leverage ratio and stockholders’ equity as the denominator. At June 30, 2026, we had secured financing agreements with 24 counterparties. All of our secured financing agreements are secured by Agency MBS, Non-Agency RMBS, Loans held for investment, LHFS, and cash. Under these secured financing agreements, we may not be able to reclaim our collateral but will still be obligated to pay our repurchase obligations. We mitigate this risk by ensuring our counterparties are rated financial institutions. As of June 30, 2026 and December 31, 2025, we had $8.9 billion and $7.4 billion, respectively, of securities or cash pledged against our secured financing agreements obligations. We expect to enter into new secured financing agreements at maturity; however, there is a risk that we will not be able to renew our secured financing agreements when we desire to renew them or obtain favorable interest rates and haircuts as a result of uncertainty in the market including, but not limited to, uncertainty as a result of inflation and increases in the federal funds rate. 96 We offset the interest rate risk of our repurchase agreements primarily through the use of derivatives, which primarily consist of interest rate swaps, swap futures, swaptions, U.S. Treasury futures and interest rate caps. The average remaining maturities on our interest rate swaps at June 30, 2026 was less than eight years. All of our swaps are cleared by a central clearing house. When our interest rate swaps are in a net loss position (expected cash payments are in excess of expected cash receipts on the swaps), we post collateral as required by the terms of our swap agreements. The average remaining maturities on our swap futures at June 30, 2026 is four years. The swap futures are exchange traded instruments. Similar to our interest rate swaps, we post collateral when we are in a net loss position. The interest rate cap has a two-year maturity with a potential payment every ninety days from the initial settlement date. The payment is dependent upon whether the compounded average market reference rate for the ninety day period is greater than the strike rate on the interest rate cap. We will receive a payment if the difference between the two amounts is positive. Exposure to Financial Counterparties We actively manage the number of secured financing counterparties to reduce counterparty risk and manage our liquidity needs. The following table summarizes our exposure to our secured financing agreements counterparties at June 30, 2026: June 30, 2026 Country Number of Counterparties Secured Financing Agreement Derivative Instruments at Fair Value Exposure (1) (dollars in thousands) United States 15 $ 4,992,879 $ 5,041 $ 619,844 Japan 4 1,203,487 1,161 366,503 Canada 2 840,424 39,209 96,483 Spain 1 18,954 — 997 South Korea 1 470,105 — 18,245 France 1 208,760 467 5,045 Total 24 $ 7,734,609 $ 45,878 $ 1,107,117 (1) Represents the amount of securities and/or cash pledged as collateral to each counterparty less the aggregate of secured financing agreement. We regularly monitor our exposure to financing counterparties for credit risk and allocate assets to these counterparties based, in part, on the credit quality and internally developed metrics measuring counterparty risk. Our exposure to a particular counterparty is calculated as the excess collateral that is pledged relative to the secured financing agreement balance. If our exposure to our financing counterparties exceeds internally developed thresholds, we develop a plan to reduce the exposure to an acceptable level. At June 30, 2026, we had amounts at risk with Nomura Securities International, Inc., or Nomura, of 14% of our equity related to the collateral posted on secured financing agreements. The weighted average maturities of the secured financing agreements with Nomura were 172 days. The amount at risk with Nomura was $347 million. At December 31, 2025, we had amounts at risk with Nomura of 18% of our equity related to the collateral posted on secured financing agreements. The weighted average maturities of the secured financing agreements with Nomura were 287 days. The amount at risk with Nomura was $459 million. At June 30, 2026, we did not use credit default swaps or other forms of credit protection to hedge the exposures summarized in the table above. Covenants - Residential Origination Segment In addition to warehouse bank covenants, we are also subject to liquidity and net worth requirements established by the FHFA for Freddie Mac seller/servicers and HUD. The FHFA and HUD have established minimum liquidity requirements and net worth requirements for their approved non-depository single-family sellers/servicers in the case of Freddie Mac and HUD: •FHFA liquidity requirement is equal to 0.035% (3.5 basis points) of total Agency servicing UPB at the entity level plus an incremental 200 basis points of the amount by which total nonperforming Agency servicing UPB exceeds 6% of the applicable Agency servicing UPB. Allowable assets to satisfy liquidity requirement include cash and cash equivalents (unrestricted), certain investment-grade securities that are available for sale or held for trading including Agency mortgage-backed securities, obligations of Fannie Mae or Freddie Mac, and U.S. Treasury obligations, and unused and available portions of committed servicing advance lines. •FHFA net worth requirement is a minimum net worth of $2.5 million plus 0.25% (25 basis points) of UPB at the entity level for total 1-4 unit residential mortgage loans serviced and a tangible net worth/total assets ratio greater than or equal to 6%. •HUD net worth requirement is equal to $1.0 million plus 1% (100 basis points) of adjusted activity up to a $2.5 million net worth requirement. 97 These requirements are calculated based on standalone audited financial statements of HomeXpress and we are currently in compliance with the applicable Agency requirements. Stockholders’ Equity In January 2024, our Board of Directors updated the authorization of our share repurchase program (the “Share Repurchase Program”) to include our preferred stock and increased the authorization by $33 million to $250 million. Such authorization does not have an expiration date, and at present, there is no intention to modify or otherwise rescind such authorization. Shares of our common stock and preferred stock may be purchased in the open market, including through block purchases, through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”). The timing, manner, price and amount of any repurchases will be determined at our discretion and the program may be suspended, terminated or modified at any time, for any reason. Among other factors, we intend to only consider repurchasing shares of our common stock when the purchase price is less than the last publicly reported book value per common share. In addition, we do not intend to repurchase any shares from directors, officers or other affiliates. The program does not obligate us to acquire any specific number of shares, and all repurchases will be made in accordance with Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of stock repurchases. We did not repurchase any of our common stock during the quarters ended June 30, 2026 and 2025. The approximate dollar value of shares that may yet be purchased under the Share Repurchase Program is $250 million as of June 30, 2026. In 2022, we entered into separate Distribution Agency Agreements (the “Existing Sales Agreements”) with each of Credit Suisse Securities (USA) LLC, JMP Securities LLC, Goldman Sachs & Co. LLC, Morgan Stanley & Co. LLC and RBC Capital Markets, LLC. In February 2023, we amended the Existing Sales Agreements and entered into separate Distribution Agency Agreements (together with the Existing Sales Agreements, as amended, the “Sales Agreements”) with J.P. Morgan Securities LLC and UBS Securities LLC (replacing Credit Suisse Securities LLC) to include J.P. Morgan Securities LLC and UBS Securities LLC as additional sales agents. Pursuant to the terms of the Sales Agreements, we may offer and sell shares of our common stock, having an aggregate offering price of up to $500 million from time to time in “at the market offerings” through any of the sales agents under the Securities Act of 1933. We did not issue any shares under the at-the-market sales program during the quarters ended June 30, 2026 and 2025. The approximate dollar value of shares that may yet be issued under our at-the-market sales program is $426 million as of June 30, 2026. We declared dividends to Series A preferred stockholders of $3 million and $6 million, or $0.50 and $1.00 per preferred share, during the quarter and six months ended June 30, 2026. We declared dividends to Series A preferred stockholders of $3 million and $6 million, or $0.50 and $1.00 per preferred share, during the quarter and six months ended June 30, 2025. We declared dividends to Series B preferred stockholders of $8 million and $16 million, or $0.61 and $1.22 per preferred share, during the quarter and six months ended June 30, 2026. We declared dividends to Series B preferred stockholders of $8 million and $17 million, or $0.65 and $1.30 per preferred share, during the quarter and six months ended June 30, 2025. We declared dividends to Series C preferred stockholders of $6 million and $11 million, or $0.56 and $1.10 per preferred share, during the quarter and six months ended June 30, 2026. We declared dividends to Series C preferred stockholders of $5 million and $10 million, or $0.48 and $0.97 per preferred share, during the quarter and six months ended June 30, 2025. We declared dividends to Series D preferred stockholders of $5 million and $9 million, or $0.60 and $1.18 per preferred share, during the quarter and six months ended June 30, 2026. We declared dividends to Series D preferred stockholders of $5 million and $10 million, $0.63 or $1.26 per preferred share, during the quarter and six months ended June 30, 2025. On October 30, 2021, all 5,800,000 issued and outstanding shares of Series A Preferred Stock with an outstanding liquidation preference of $145 million became callable at a redemption price equal to the liquidation preference plus accrued and unpaid dividends through, but not including, the redemption date. On March 30, 2024, all 13,000,000 issued and outstanding shares of Series B Preferred Stock with an outstanding liquidation preference of $325 million became callable at a redemption price equal to the liquidation preference plus accrued and unpaid dividends through, but not including, the redemption date. On March 30, 2024, all 8,000,000 issued and outstanding shares of Series D Preferred Stock with an outstanding liquidation preference of $200 million became callable at a redemption price equal to the liquidation preference plus accrued and unpaid dividends through, but not including, the redemption date. On September 30, 2025, all 10,400,000 issued and outstanding shares of Series C Preferred Stock with an outstanding liquidation preference of $260 million became callable at a redemption price equal to the liquidation preference plus accrued and unpaid dividends through, but not including, the redemption date. 98 After June 30, 2023, all LIBOR tenors relevant to us ceased to be published or became no longer representative. We believe that the federal Adjustable Interest Rate (LIBOR) Act and the related regulations promulgated thereunder are applicable to each of our Series B Preferred Stock, Series C Preferred Stock and Series D Preferred Stock. In light of the applicability of the law to the aforementioned preferred stock, we believe, given all of the information available to us to date, that three-month CME Term SOFR plus the applicable tenor spread adjustment of 0.26% per annum have automatically replaced three-month LIBOR as the reference rate for calculations of the dividend rate payable on the relevant preferred stock for dividend periods from and after (i) March 30, 2024, in the case of the Series B Preferred Stock, (ii) September 30, 2025, in the case of the Series C Preferred Stock, and (iii) March 30, 2024, in the case of the Series D Preferred Stock. Stock Based Compensation On June 14, 2023, the Board of Directors recommended and shareholders approved, the Chimera Investment Corporation 2023 Equity Incentive Plan (the “2023 Plan”). It authorized the issuance of up to 6,666,667 shares of our common stock for the grant of awards under the 2023 Plan (adjusted on a retroactive basis to reflect our 1-for-3-reverse stock split effected on May 21, 2024). The 2023 Plan replaced our 2007 Equity Incentive Plan, as amended and restated effective December 10, 2015 (the “Prior Plan”), and no new awards will be granted under the Prior Plan. Any awards outstanding under the Prior Plan will remain subject to and be paid under the Prior Plan. Any shares subject to outstanding awards under the Prior Plan that expire, terminate, or are surrendered or forfeited for any reason without issuance of shares will automatically become available for issuance under the 2023 Plan. Also, shares withheld for tax withholding requirements after stockholder approval of the 2023 Plan for full value awards originally granted under the Prior Plan (such as the RSUs and PSUs awarded to our named executive officers) will automatically become available for issuance under the 2023 Plan. As of June 30, 2026, approximately 3 million shares were available for future grants under the 2023 Plan. Awards under the 2023 Plan may include stock options, stock appreciation rights, restricted stock, dividend equivalent rights (“DERs”) and other share-based awards (including RSUs). Under the 2023 Plan, any of these awards may be performance awards that are conditioned on the attainment of performance goals. The Compensation Committee of our Board of Directors (the “Compensation Committee”) had previously approved a Stock Award Deferral Program (the “Deferral Program”). The Deferral Program consisted of two distinct non-qualified deferred compensation plans within the meaning of Section 409A of the Code, as amended, one for non-employee directors (the “Director Plan”) and one for certain executive officers (the “Executive Officer Plan”). Under the Deferral Program, non-employee directors and certain executive officers could elect to defer payment of certain stock awards made pursuant to the 2023 Plan. Deferred awards are treated as deferred stock units and paid at the earlier of separation from service or a date elected by the participant who is separating. Payments are generally made in a lump sum or, if elected by the participant, in five annual installments. Deferred awards receive dividend equivalents during the deferral period in the form of additional deferred stock units. Amounts are paid at the end of the deferral period by delivery of shares from the 2023 Plan (plus cash for any fractional deferred stock units), less any applicable tax withholdings. Deferral elections do not alter any vesting requirements applicable to the underlying stock award. On November 5, 2024, the Compensation Committee irrevocably terminated the Executive Officer Plan and suspended new deferral elections under the Director Plan. The Executive Officer Plan was liquidated as of November 30, 2025, and all amounts outstanding under the Executive Officer Plan on the liquidation date were paid at that time in accordance with applicable tax rules. All deferrals previously made under the Director Plan will remain outstanding, and all deferrals pursuant to prior elections made by directors will be paid on the originally scheduled payment dates. At both June 30, 2026 and December 31, 2025, there are approximately 92 thousand shares for which payments have been deferred until separation or a date elected by the participant. At June 30, 2026 and December 31, 2025, there are approximately 310 thousand and 269 thousand DERs earned but not yet delivered, respectively. Grants of Restricted Stock Units (“RSUs”) During the quarters ended June 30, 2026 and 2025, we granted RSU awards under the 2023 Plan to senior management, employees and directors. These RSU awards are designed to reward our senior management, employees and directors for services provided to us. Generally, the RSU awards vest equally over a three-year period and will fully vest after three years. For employees who are retirement eligible, defined as years of service to us plus age that is equal to or greater than 65, the service period is considered to be fulfilled and all grants are expensed immediately. For senior management who are retirement eligible, defined as having attained age 55 and the sum of his or her age plus his or her years of service is equal or greater than 65, the service period is considered to be fulfilled and all grants are expensed immediately. The RSU awards are valued at the market price of our common stock on the grant date and generally the employees must be employed by us on the vesting dates to receive the RSU awards. We granted 83 thousand and 522 thousand RSU awards under the 2023 Plan during quarter and six months ended June 30, 2026 with a grant date fair value of $1 million and $7 million which includes stock grants to Chimera employees and two HomeXpress employees who did not receive awards under the 2025 Inducement Award Plan for the 2026 performance year. We granted 58 thousand and 362 thousand RSU awards during the quarter and six months ended June 30, 2025 with a grant date fair value of $1 million and $5 million for the 2025 performance year, respectively. 99 In addition, in connection with the HomeXpress Acquisition, the Compensation Committee adopted the Chimera Investment Corporation 2025 Inducement Award Plan (the “2025 Inducement Award Plan”), pursuant to which we reserved 540,000 shares of Chimera’s common stock, $0.01 par value per share for issuance under the 2025 Inducement Award Plan solely to individuals who were not previously employees of Chimera or any subsidiary of Chimera (or who are returning to employment following a bona fide period of interruption of employment with Chimera), in accordance with NYSE Listed Company Manual Rule 303A.08. The 2025 Inducement Award Plan was approved by the Compensation Committee without shareholder approval pursuant to NYSE Listed Company Manual Rule 303A.08. The Compensation Committee also adopted a form of restricted stock unit award agreement for use with the 2025 Inducement Award Plan. We issued restricted stock units to certain employees of HomeXpress as a material inducement for such employees to continue their employment with HomeXpress following the completion of the HomeXpress Acquisition. In connection with this transaction, stock-based compensation expense of $7 million will be recognized on a straight-line basis over the three-year vesting period as it relates to the HomeXpress Acquisition. Effective April 1, 2026, we amended the settlement provisions applicable to dividend equivalent rights (“DERs”) issued under our 2025 Inducement Award Plan to permit settlement in cash, shares of our common stock or a combination thereof, at our discretion. Following the amendment, we evaluated the amended terms under ASC 718 and concluded that the DERs are liability-classified awards. Accordingly, we reclassified the outstanding DERs from equity to liabilities on the modification date and will subsequently remeasure the liability at fair value each reporting period until settlement. The amendment did not affect the accounting for the underlying restricted stock units, which continue to be classified as equity awards. We recognized $58 thousand of stock compensation expense related to DERs issued during the quarter. Grants of Performance Share Units (“PSUs”) PSU awards are designed to align compensation with our future performance. The PSU awards granted during the six months ended June 30, 2026 include a three-year performance period ending on December 31, 2028. For the PSU awards granted during the six months ended June 30, 2026, the final number of shares awarded will be between 0% and 150% of the PSUs granted based on share price performance compared to a peer group. The PSU awards granted during the six months ended June 30, 2025, include a three-year performance period ending on December 31, 2027. For the PSU awards granted during the six months ended June 30, 2025, the final number of shares awarded will be between 0% and 200% of the PSUs granted based equally on the Company Economic Return and share price performance compared to a peer group. Our three-year Company Economic Return is equal to our change in book value per common share plus common stock dividends. Share price performance equals change in share price plus common stock dividends. Compensation expense will be recognized on a straight-line basis over the three-year vesting period based on an estimate of the Company Economic Return and share price performance in relation to the entities in the peer group and will be adjusted each period based on our best estimate of the actual number of shares awarded. For the six months ended June 30, 2026, we granted 415 thousand PSU awards to senior management with a grant date fair value of $5 million. For the six months ended June 30, 2025, we granted 296 thousand PSU awards to senior management with a grant date fair value of $4 million. We recognized stock-based compensation expense of $3 million and $8 million which includes stock grants to both Chimera and HomeXpress employees for the quarter and six months ended June 30, 2026. We recognized stock-based compensation expense of $2 million and $6 million for the quarter and six months ended June 30, 2025. At June 30, 2026 and December 31, 2025, there were approximately 3 million and 2 million unvested shares of RSUs and PSUs granted to our employees and directors, respectively. Contractual Obligations and Commitments The following tables summarize our contractual obligations at June 30, 2026 and December 31, 2025. The estimated principal repayment schedule of the securitized debt is based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for expected principal write-downs on the underlying collateral of the debt. 100 June 30, 2026 (dollars in thousands) Contractual Obligations Within One Year One to Three Years Three to Five Years Greater Than or Equal to Five Years Total Secured financing agreements $ 7,441,558 $ 293,052 $ — $ — $ 7,734,610 Securitized debt, collateralized by Non-Agency RMBS 54 26 2 23 105 Securitized debt at fair value, collateralized by Loans held for investment 1,006,088 2,000,798 1,177,259 1,588,323 5,772,468 Interest expense on MBS secured financing agreements (1) 40,204 1,099 — — 41,303 Interest expense on securitized debt (1) 200,010 309,279 194,750 292,075 996,114 Total $ 8,687,914 $ 2,604,254 $ 1,372,011 $ 1,880,421 $ 14,544,600 (1) Interest is based on variable rates in effect as of June 30, 2026. December 31, 2025 (dollars in thousands) Contractual Obligations Within One Year One to Three Years Three to Five Years Greater Than or Equal to Five Years Total Secured financing agreements $ 5,305,130 $ 733,206 $ — $ — $ 6,038,336 Securitized debt, collateralized by Non-Agency RMBS 8 145 4 28 185 Securitized debt at fair value, collateralized by Loans held for investment 1,194,768 1,960,648 1,802,112 2,123,842 7,081,370 Interest expense on MBS secured financing agreements (1) 31,990 3,946 — — 35,935 Interest expense on securitized debt (1) 247,789 385,515 250,747 350,176 1,234,228 Total $ 6,779,685 $ 3,083,460 $ 2,052,862 $ 2,474,047 $ 14,390,054 (1) Interest is based on variable rates in effect as of December 31, 2025. Not included in the table above as of December 31, 2025, is the unfunded construction loan commitment of $3 million. We expect the majority of these commitments will be paid within one year and are reported under Payable for investments purchased in our Consolidated Statements of Financial Condition. We have made a $75 million capital commitment to a fund managed by Kah Capital Management, LLC. During the quarter ended June 30, 2026, we did not make any additional fundings toward the commitment, and the total remained $57 million leaving an unfunded commitment of $18 million. Capital Expenditure Requirements At June 30, 2026 and December 31, 2025, we had no material commitments for capital expenditures. Dividends To maintain our qualification as a REIT, we must pay annual dividends to our stockholders of at least 90% of our taxable income (subject to certain adjustments). Before we pay any dividend, we must first meet any operating requirements and scheduled debt service on our financing facilities and other debt payable. Critical Accounting Estimates Accounting policies are integral to understanding our Management’s Discussion and Analysis of Financial Condition and Results of Operations. The preparation of financial statements in accordance with GAAP requires management to make certain judgments and assumptions, on the basis of information available at the time of the financial statements, in determining accounting estimates used in the preparation of these statements. Our significant accounting policies and accounting estimates are described in Note 2 to the consolidated financial statements. Critical accounting policies are described in this section. An accounting policy is considered critical if it requires management to make assumptions or judgments about matters that are highly uncertain at the time the accounting estimate was made or require significant management judgment in interpreting the accounting literature. If actual results differ from our judgments and assumptions, or other accounting judgments were made, this could have a significant and potentially adverse impact on our financial condition, results of operations and cash flows. 101 The accounting policies and estimates which we consider most critical relate to the recognition of revenue on our investments, including recognition of any losses, and the determination of fair value of our financial instruments. The consolidated financial statements include, on a consolidated basis, our accounts, the accounts of our wholly-owned subsidiaries, and variable interest entities (“VIEs”) for which we are the primary beneficiary. All significant intercompany balances and transactions have been eliminated in consolidation. Use of Estimates The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although our estimates contemplate current conditions and how we expect them to change in the future, it is reasonably possible that actual conditions could be different than anticipated in those estimates, which could materially adversely impact our results of operations and our financial condition. Management has made significant estimates in several areas, including current expected credit losses of Non-Agency RMBS, valuation of Loans held for investments, Agency and Non-Agency MBS, forward interest rates for interest rate swaps, and income recognition on Loans held for investments, Non-Agency RMBS, goodwill, intangibles and contingent earn-out liability. Actual results could differ materially from those estimates. Recent Accounting Pronouncements Refer to Note 2 to our consolidated financial statements for a discussion of accounting guidance we have recently adopted or expect to be adopted in the future.