Market risk is the exposure to losses resulting from changes in market factors. Our business strategy exposes us to a variety of market risks, including interest rate, spread, prepayment, credit, liquidity, and reinvestment risks. These risks can and do cause fluctuations in our liquidity, comprehensive income and book value as discussed below. Interest Rate Risk Investing in interest-rate sensitive investments such as MBS and TBA securities subjects us to interest rate risk. Interest rate risk results from investing in securities with a fixed coupon or a floating coupon that may not immediately adjust for changes in interest rates. Interest rate risk also results from the mismatch between the duration of our assets versus the duration of our liabilities and hedges. The amount of the impact will depend on the composition of our portfolio, our hedging strategy, the effectiveness of our hedging instruments and the magnitude and duration of the change in interest rates. We manage interest rate risk within tolerances set by our Board of Directors. We use interest rate hedging instruments to mitigate the impact of changing interest rates on the market value of our assets and on our interest expense from repurchase agreements used to finance our investments. Our hedging methods are based on many factors, including, but not limited to, our estimates regarding future interest rates and expected levels of prepayments of our assets. If prepayments are slower or faster than assumed, the maturity of our investments will also differ from our expectations, which could reduce the effectiveness of our hedging strategies and may cause losses that adversely affect our cash flow. Estimates of prepayment speeds can vary significantly by investor for the same security, and therefore, estimates of security and portfolio duration can vary considerably between market participants. We continuously monitor market conditions, economic conditions, interest rates, and other market activity and adjust the composition of our investments and hedges throughout any given period. As such, the projections for changes in market value provided below are limited in usefulness because the modeling assumes no changes to the composition of our investment portfolio or hedging instruments as of the dates indicated. Changes in the types of our investments, the returns earned on these investments, future interest rates, credit spreads, the shape of the yield curve, the availability of financing, and/or the mix of our investments and financings, including derivative instruments, may cause actual results to differ significantly from the modeled results shown in the tables below. Therefore, the modeled results shown in the tables below and all related disclosures constitute forward-looking statements. 30 Management evaluates changes in interest rate curves to manage portfolio interest rate risk and the market value of its investments and common equity. Because interest rates do not typically move in a parallel fashion from period to period (as can be seen by the graph for U.S. Treasury rates in Item 2, “Executive Overview”), the tables below show the projected sensitivity of the market value of our financial instruments and common equity to both parallel and non-parallel shifts in market interest rates. June 30, 2026 Parallel Decrease in Interest Rates of Parallel Increase in Interest Rates of 100 Basis Points 50 Basis Points 50 Basis Points 100 Basis Points Type ofInstrument (1) % of Market Value % of Common Equity % of Market Value % of Common Equity % of Market Value % of Common Equity % of Market Value % of Common Equity RMBS 3.0 % 27.3 % 1.8 % 15.8 % (2.1) % (19.0) % (4.4) % (40.0) % CMBS 0.2 % 2.1 % 0.1 % 1.0 % (0.1) % (1.0) % (0.2) % (1.9) % CMBS IO — % 0.1 % — % — % — % — % — % (0.1) % TBAs 0.3 % 3.0 % 0.2 % 1.8 % (0.2) % (2.2) % (0.5) % (4.6) % Interest rate hedges (4.4) % (39.3) % (2.2) % (19.3) % 2.1 % 18.7 % 4.1 % 37.2 % Total (0.8) % (6.9) % (0.1) % (0.8) % (0.4) % (3.5) % (1.0) % (9.4) % December 31, 2025 Parallel Decrease in Interest Rates of Parallel Increase in Interest Rates of 100 Basis Points 50 Basis Points 50 Basis Points 100 Basis Points Type ofInstrument (1) % of Market Value % of Common Equity % of Market Value % of Common Equity % of Market Value % of Common Equity % of Market Value % of Common Equity RMBS 2.3 % 19.1 % 1.4 % 11.6 % (1.8) % (15.1) % (3.9) % (32.3) % CMBS 0.3 % 2.3 % 0.1 % 1.2 % (0.1) % (1.1) % (0.3) % (2.2) % CMBS IO — % 0.1 % — % — % — % — % — % (0.1) % TBAs 0.7 % 5.6 % 0.4 % 3.2 % (0.4) % (3.7) % (0.9) % (7.6) % Interest rate hedges (4.4) % (36.7) % (2.2) % (18.2) % 2.2 % 17.8 % 4.3 % 35.7 % Total (1.1) % (9.6) % (0.3) % (2.2) % (0.1) % (2.1) % (0.8) % (6.5) % June 30, 2026 December 31, 2025 Non-Parallel Shifts Basis Point Change in 2-year UST Basis Point Change in 10-year UST % of Market Value (1) % of Common Equity % of Market Value (1) % of Common Equity Bearish Steepening +25 +50 (0.3) % (2.8) % (0.2) % (1.4) % +50 +100 (0.9) % (8.1) % (0.6) % (5.3) % Flattening +50 +25 (0.2) % (2.2) % (0.2) % (1.4) % +100 +50 (0.6) % (5.1) % (0.4) % (3.4) % Bullish Steepening -50 -25 0.1 % 0.9 % — % — % -100 -50 — % 0.2 % (0.2) % (1.7) % Flattening -25 -50 (0.2) % (1.5) % (0.3) % (2.8) % -50 -100 (0.9) % (8.2) % (1.3) % (10.6) % (1)Includes changes in market value of our investments and derivative instruments, including TBA securities, but excludes changes in market value of our financings which are not carried at fair value on our balance sheet due to their short-term maturities. The projections for market value do not assume any change in credit spreads. 31 Spread Risk Spread risk is the risk of loss from an increase in the market spread between the yield on an investment versus its benchmark index. Changes in market spreads represent the market's valuation of the perceived riskiness of an asset relative to risk-free rates. Widening spreads reduce the market value of our investments as market participants require additional yield to hold riskier assets. Market spreads could change based on macroeconomic or systemic factors as well as the factors specific to a particular security, such as prepayment performance or credit performance. Other factors that could impact credit spreads include technical issues, such as supply and demand for a particular type of security, Federal Reserve monetary policy, or other governmental policy change. We do not hedge spread risk given the cost and complexity of hedging credit spreads and, in our opinion, the lack of liquid instruments available to use as hedges. Fluctuations in spreads typically vary based on the type of investment. Sensitivity to changes in market spreads is derived from models that are dependent on various assumptions, and actual changes in market value in response to changes in market spreads could differ materially from the projected sensitivity if actual conditions differ from these assumptions. The table below shows the projected sensitivity of the market value of our investments given the indicated change in market spreads as of the dates indicated: June 30, 2026 December 31, 2025 Percentage Change in Percentage Change in Basis Point Change in Market Spreads Market Value of Investments (1) % of Common Equity Market Value of Investments (1) % of Common Equity +20/+50 (2) (1.0) % (9.2) % (1.0) % (8.4) % +10 (0.5) % (4.6) % (0.5) % (4.2) % -10 0.5 % 4.6 % 0.5 % 4.2 % -20/-50 (2) 1.0 % 9.2 % 1.0 % 8.4 % (1) Includes changes in market value of our MBS investments, including TBA securities. (2) Assumes a 20-basis point shift in Agency and non-Agency RMBS and CMBS and a 50-basis point shift in Agency and non-Agency CMBS IO. Other Market Risks In addition to the risks discussed above, we are also subject to prepayment risk, credit risk, liquidity risk, and reinvestment risk. We have not experienced any material changes in these risks during the three months ended June 30, 2026. Please refer to Part I, Item 1A, “Risk Factors,” and Part II, Item 7A, “Quantitative and Qualitative Disclosures About Market Risks,” in our 2025 Form 10-K for further discussion.