# Chimera Investment Corp: Form 10-Q for the period ended Jun 30, 2025

- Company: [Chimera Investment Corp](/companies/cim.md) (CIK 1409493)
- Form: 10-Q
- Filed: 2025-08-06
- Accepted by EDGAR: Aug 6, 2025, 16:17 ET
- Period: 2025-06-30
- Accession: 0001628280-25-038345
- Inline XBRL: yes
- Main document: https://www.sec.gov/Archives/edgar/data/1409493/000162828025038345/cim-20250630.htm
- All documents and exhibits: https://www.sec.gov/Archives/edgar/data/1409493/000162828025038345/

## Figures reported in this filing

Standardized XBRL line items for the period ended 2025-06-30.

| Line item | Period | Value | XBRL concept |
| --- | --- | ---: | --- |
| Income tax | 3 months, 2025-04-01 to 2025-06-30 | $409.0k | us-gaap:IncomeTaxExpenseBenefit |
| Income tax | 6 months, 2025-01-01 to 2025-06-30 | $2.2m | us-gaap:IncomeTaxExpenseBenefit |
| Net income | 3 months, 2025-04-01 to 2025-06-30 | $35.5m | us-gaap:NetIncomeLoss |
| Net income | 6 months, 2025-01-01 to 2025-06-30 | $202.7m | us-gaap:NetIncomeLoss |
| Diluted EPS | 3 months, 2025-04-01 to 2025-06-30 | $0.17 | us-gaap:EarningsPerShareDiluted |
| Diluted EPS | 6 months, 2025-01-01 to 2025-06-30 | $1.94 | us-gaap:EarningsPerShareDiluted |
| Basic EPS | 3 months, 2025-04-01 to 2025-06-30 | $0.17 | us-gaap:EarningsPerShareBasic |
| Basic EPS | 6 months, 2025-01-01 to 2025-06-30 | $1.97 | us-gaap:EarningsPerShareBasic |
| Diluted shares (weighted) | 3 months, 2025-04-01 to 2025-06-30 | 82,600,108 shares | us-gaap:WeightedAverageNumberOfDilutedSharesOutstanding |
| Diluted shares (weighted) | 6 months, 2025-01-01 to 2025-06-30 | 82,564,708 shares | us-gaap:WeightedAverageNumberOfDilutedSharesOutstanding |
| Operating cash flow | 6 months, 2025-01-01 to 2025-06-30 | $41.4m | us-gaap:NetCashProvidedByUsedInOperatingActivities |
| Dividends paid | 6 months, 2025-01-01 to 2025-06-30 | $60.8m | us-gaap:PaymentsOfDividendsCommonStock |
| Cash and equivalents | at 2025-06-30 | $250.2m | us-gaap:CashAndCashEquivalentsAtCarryingValue |
| Total assets | at 2025-06-30 | $14.86bn | us-gaap:Assets |
| Total liabilities | at 2025-06-30 | $12.24bn | us-gaap:Liabilities |
| Long-term debt | at 2025-06-30 | $135.2m | us-gaap:LongTermDebt |
| Shareholders' equity | at 2025-06-30 | $2.62bn | us-gaap:StockholdersEquity |

## Management's discussion and analysis

As filed, 120,100 characters.

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.

In this Quarterly Report on Form 10-Q, references to “we,” “us,” “our” or “the Company” refer to Chimera Investment Corporation and its subsidiaries unless specifically stated otherwise or the context otherwise indicates. The following defines certain of the commonly used terms in this Quarterly Report on Form 10-Q: Agency refers to a federally chartered corporation, such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government, such as Ginnie Mae; MBS refers to mortgage-backed securities secured by pools of residential or commercial mortgage loans; RMBS refers to mortgage-backed securities secured by pools of residential mortgage loans; CMBS refers to mortgage-backed securities secured by pools of commercial mortgage loans; Agency RMBS and Agency CMBS refer to MBS that are secured by pools of residential and commercial mortgage loans, respectively, and are issued or guaranteed by an Agency; ABS refers to asset-backed securities; Agency MBS refers to MBS that are issued or guaranteed by an Agency and includes Agency RMBS and Agency CMBS collectively; Non-Agency RMBS refers to residential MBS that are not guaranteed by any agency of the U.S. Government or any Agency; IO refers to Interest-only securities.

### 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 Risk Retention Rules;
- 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 (such as the recent tensions in international trade);
- our ability to successfully integrate and realize the anticipated benefits of any acquisitions, including the HomeXpress Acquisition (as defined below) and the Palisades Acquisition;
- 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 ability to source target assets at attractive prices;
- our ability to find and retain qualified executive officers and key personnel;
- 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;
- our ability to comply with extensive government regulation;
- the impact of and changes in governmental regulations, tax law and rates, accounting guidance, 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;
- our ability to make distributions to our stockholders in the future; and
- delays and/or unforeseen events that could cause the HomeXpress Acquisition (as defined below) to be delayed or not consummated

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

We are a publicly traded REIT whose principal business objective is to provide attractive risk-adjusted returns and distributable income through investment performance linked to mortgage credit fundamentals. We are primarily engaged in the business of investing for our own account and on behalf of third-party clients through our investment management and advisory services activities. We invest, directly or indirectly, generally on a levered basis in diversified portfolios of mortgage assets, including residential mortgage loans, Non-Agency RMBS, Agency RMBS, Agency CMBS, MSRs, business purpose and investor loans, including RTLs, and other real estate-related assets.

As of June 30, 2025, based on the fair value of our interest earning assets, approximately 74% of our investment portfolio was allocated to residential mortgage loans, 19% to Agency RMBS, and 7% to Non-Agency RMBS. For comparison, at December 31, 2024, approximately 88% of our investment portfolio was residential mortgage loans, 8% of our investment portfolio was Non-Agency RMBS, and 4% of our investment portfolio was Agency MBS.

We finance our investments using a variety of sources, including securitizations, warehouse facilities, repurchase agreements and other capital market activities which are used for liquidity management as well as to enhance our potential return on equity. We manage interest rate risk using hedging instruments such as interest rate swaps, swaptions, caps, options, and U.S. Treasury futures.

Our investment strategy is intended to be durable across a variety of economic, rate, and credit environments. We continue to approach portfolio management in a disciplined manner and are expecting to operate in an uncertain environment defined in part by elevated interest rates and periods of heightened rate volatility. Consistent with that approach, we were patient with respect to investing the proceeds from resecuritizations closed at the end of the first quarter. As we entered April, volatility was elevated and markets were volatile and as such, we tactically deployed into the wider spread environment with over 85% of our second quarter investments in Agency RMBS settling on May 13, 2025 or later.

In addition, we took a number of strategic actions during the quarter designed to continue expanding our platform capabilities and repositioning the investment portfolio, including:

- entered into a definitive agreement to acquire HomeXpress Mortgage Corp (“HomeXpress”), which is a leading national non-QM mortgage lender, and which transaction is expected to close in 2025 and is projected to be accretive to our earnings in 2026;
- invested $2.3 billion ($402 million will settle in the third quarter) in Agency RMBS Pass-throughs;
- added $1.9 billion in swaps with varying tenors as part of the hedging framework associated with the Agency RMBS portfolio;
- generated $9 million in revenue attributable to investment management and third-party advisory services; and
- subsequent to quarter end, closed on the acquisition of $6.5 billion of Fannie Mae mortgage servicing rights through an excess servicing strip partnership.

### Market Conditions and our Strategy

#### Interest Rates

Early in the second quarter of 2025, the U.S. administration imposed a series of tariffs on select countries, impacting global trade and prompting concerns with respect to growth and inflation. Geopolitical tensions in the Middle East and the ongoing conflict between Russia and Ukraine contributed toward market volatility. However, by the midpoint of the quarter, while overall uncertainty still remained, trade tensions began to ease and signs of de-escalation in geopolitical conflicts helped stabilize markets.

Inflation remained contained, the labor market showed resilience, and the Federal Reserve held rates steady while emphasizing a data dependent policy stance. Treasury yields sold off through May and rallied going into quarter end. Corporate credit spreads were tighter with non-agency RMBS spreads ending the quarter slightly wider. Equity markets achieved new heights and liquidity markets remained constructive.

Despite the improved market sentiment, risks remained elevated with the consensus forecasts assigning a 35% to 40% probability of a recession. The Consumer Price Index rose 2.4% year-over-year in June 2025, unchanged from the levels recorded in April and May, while unemployment inched higher and wage growth moderated. With this backdrop, the data did not provide the catalysts necessary for the Federal Reserve to adjust its interest rate policy, which resulted in the target rate being maintained between 4.25% and 4.50% at both the April and June FOMC meetings.

Interest rates rose throughout much of the second quarter before falling near quarter-end. Front-end yields declined while the back end of the curve remained steady, indicating that markets have started to adjust for potential rate cuts while leaving longer term rates subject to expectations surrounding U.S. growth, inflation, fiscal responsibility, and supply-demand dynamics in U.S. government debt markets. The yield on two-year Treasury notes fell by 16 basis points to 3.72%, while the yield on ten-year Treasury notes rose by 2 basis points to 4.23%. Meanwhile, interest rate volatility spiked in early April amid tariff fears, before reversing course and finishing the quarter lower overall.

#### Credit Spreads

Credit markets reflected a stable-to-positive risk sentiment in the second quarter. Nominal MBS spreads remained flat to slightly wider as volatility subsided and demand stabilized. Corporate spreads tightened by 16 basis points for investment grade and 67 basis points for high yield. In securitized products, the credit curve remained flat to modestly wider, supported by steady collateral performance and demand across the spectrum of investors.

Residential credit fundamentals remained solid, with low defaults, rising home prices, and historically high homeowner equity continuing to support strong performance and investor demand.

#### Housing Market

Mortgage rates increased modestly in the second quarter, with the Freddie Mac 30-year survey rate increasing from 6.65% to 6.77%. The spread between 30-year mortgage rates and the ten-year Treasury yield widened to 254 basis points by quarter end, up from 244 basis points at the end of the first quarter. Economic factors, including inflation concerns and policy uncertainties, continue to contribute to the current mortgage rate environment.

The S&P CoreLogic Case-Shiller U.S. National Home Price Index increased 1.9% through April 2025, following a 4.0% gain in 2024. The NAR’s Housing Affordability Index improved modestly in the first quarter reading as income levels rose more than mortgage and housing costs. Existing home sales in the U.S. saw a slight increase in May 2025, rising 0.8% to a seasonally adjusted annual rate of 4.03 million, according to the National Association of Realtors. However, this pace is still sluggish compared to historical averages and remains lower than the previous year. Further, the Mortgage Bankers Association’s Refinance Index ended the quarter slightly up, with prepayment speeds still significantly below historical norms attributable in part to more than 5% of current homeowners estimated to hold mortgages with interest rates below 5%, or more than 160 basis points below current rates.

The U.S. continued to face a significant housing shortage, estimated at 4.5 million homes, as development has not kept pace with demand, particularly in high growth geographies. Contributing to this shortfall are factors including higher construction costs and the threat that these costs could rise further under an increased tariff regime along with the effect of immigration policy on labor costs. In addition, increasingly burdensome permitting and zoning regulations further contribute to fewer affordable new homes and delays in delivering new homes to the market.

### Q2 2025 Business Highlights

### Strategic Acquisition of HomeXpress Mortgage Corp

On June 11, 2025, we entered into a Stock Purchase Agreement (as amended on August 5, 2025 and as may be further amended from time to time, the “Stock Purchase Agreement”) to acquire HomeXpress Mortgage Corp, a Delaware corporation (“HomeXpress”) (the “HomeXpress Acquisition”) from the Sellers as defined in the Stock Purchase Agreement. We have assigned the Stock Purchase Agreement to our wholly-owned subsidiary, Chimera Funding TRS LLC, a Delaware limited liability company (“Funding TRS”). Accordingly, following the closing (the “Closing”) of the HomeXpress Acquisition, HomeXpress will become our indirect wholly-owned subsidiary operating under Funding TRS. As consideration for the HomeXpress Acquisition, we will pay to the Sellers a purchase price consisting of (i) cash in an amount that equals the adjusted book value of Holdco and its subsidiaries, including HomeXpress, as of the Closing, subject to certain adjustments in accordance with the terms of the Stock Purchase Agreement, plus (ii) a premium consisting of (a) $120 million in cash and (b) 2,077,151 shares of our common stock. Closing is expected to occur in the fourth quarter of 2025, subject to the satisfaction of closing conditions as specified in the Stock Purchase Agreement.

The HomeXpress Acquisition is strategically important as we seek to reposition our portfolio and business capabilities, and we believe the HomeXpress Acquisition will benefit us and our investors in multiple ways, including, but not limited to, offering us direct exposure to non-QM loans and further diversifying our source of earnings.

### Secured Financing Activity

During the second quarter of 2025, our secured financing costs declined by 61 basis points, and our secured financing agreements (recourse liabilities) increased by a net $1.6 billion reflecting the deployment of leverage to support the Agency RMBS portfolio allocation strategy. As of June 30, 2025, we had no outstanding warehouse financing exposure (recourse liabilities) backed by RPLs.

### Investment Activity

**Agency RMBS Pass-throughs.** Predominantly during the middle and latter half of the quarter, we purchased approximately $2.3 billion of Agency RMBS Pass-throughs, taking advantage of relative value opportunities while simultaneously increasing our liquid securities allocation. These investments have added portfolio value and enable us to maintain liquidity which we can access for future investments or other strategic objectives, including business acquisitions.

We currently target return on equity from this Agency RMBS allocation in the 12% to 15% range, and in any case, expect the levered return to exceed our cost of capital and be accretive to our earnings.

**RTL Loans.** We settled $27 million of business purpose residential transition loans during the second quarter that we committed to purchase in first quarter, funded with warehouse facilities and targeting mid-to-high teen levered returns. These loans were purchased with a weighted average asset yield of 8.46%.

**Asset Sales.** During the quarter, we sold one Non-Agency RMBS for $13 million along with Agency CMO securities for $73 million. In addition, we also sold previously purchased Agency RMBS Pass-through securities of $53 million and reallocated the capital to our current portfolio strategy. We received a total of $138 million in net proceeds from this sale and a total of $98 million after paying the financing on these positions. These sales resulted in a net realized loss of $2 million during the quarter, not including any net realized interest income. Proceeds from the sales were largely re-invested in Agency RMBS that increased our liquidity allocation.

### Hedging transactions during the quarter ended June 30, 2025

**Residential Credit Portfolio**. We continued to maintain our strategy of using interest rate 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 in our credit portfolio seeks to limit the impact of higher interest rates, while maintaining optionality in the event interest rates decline in the future. During the quarter, three pay-fixed swaps matured, including (i) a $500 million 3.43% pay-fixed interest rate swap in April 2025, (ii) a $500 million 3.49% pay-fixed interest rate swap in April 2025, and (iii) a $500 million 3.76% pay-fixed interest rate swap in June 2025.

As of June 30, 2025, we maintained open interest rate hedge positions attributable to the residential credit portfolio that included: (i) a $500 million 3.45% pay-fixed interest rate swap maturing in January 2026, (ii) a $1 billion interest rate cap with a strike rate of 3.95% maturing in February 2027, and (iii) $50 million 4.00% par rate equivalent pay-fixed two-year Eris swap futures maturing in March 2027.

**Agency RMBS Portfolio**. Interest rate swaps and swaptions are valuable tools for managing the interest rate and prepayment risks associated with levered Agency RMBS. By strategically using these derivatives, we seek to mitigate these risks, stabilize cash flows, and potentially enhance the overall risk-adjusted returns of the Agency RMBS portfolio. During the quarter, we executed a variety of interest rate derivative transactions across a range of tenors, including $1.9 billion in pay-fixed interest rate swaps and $2.5 billion in swaptions. We also closed out interest rate swaptions with a range of maturities and underlying swap tenors representing notional balances of $2.1 billion that resulted in net realized loss of $6 million.

**Loan Acquisitions**. Considering the velocity and magnitude of interest rate movements, we maintain a hedging program to manage the interest rate risk for the time differential between loan purchase commitment and the closing of loans into securitization. We use a combination of various U.S. Treasury futures contracts to hedge our exposure to future financing costs. Our hedging techniques attempt to mitigate the interest rate risk but do not capture the impact of credit spread risk. We did not have any loan commitments or related futures hedges as of the end of the quarter.

### Investment and third-party asset management and advisory fees

Palisades generated third-party investment, asset management and advisory fees in the amount of $9 million during the quarter and $18 million for the first half of the year. We continue to see interest from investors in residential asset management and advisory services that offer a solution for investors that want exposure to residential loans but may lack the infrastructure to manage the complexities of the strategy. We added a new mandate during the quarter and anticipate onboarding additional clients throughout 2025.

### Operating expenses

Compensation, general and administrative, and servicing expenses were marginally lower during the second quarter as compared to the previous quarter. Compensation expenses were lower this quarter as the first quarter included fully accelerated long-term stock incentive awards for retirement-eligible employees. General and administrative expenses and servicing fees remained flat this quarter compared to last. Our transaction expenses were lower by $5 million this quarter as first quarter expenses were comparatively elevated due to the number of securitization transactions closed.

### Strategy Outlook

We expect the second half of the year in many ways to be a continuation of the first half, defined in part by policy uncertainty, tariff announcements, geopolitical risks, and U.S. fiscal concerns. We anticipate markets will continue to vacillate around labor, growth, and inflation data alongside ongoing speculation with respect to the pace of monetary policy easing. Against this backdrop, we are committed to maintaining flexibility, exploring opportunities to expand our platform capabilities, and strategically repositioning our investment portfolio.

The announced acquisition of HomeXpress is an important component of our long-term business strategy; we believe that the HomeXpress Acquisition will further diversify our sources of revenue, give us the ability to manufacture investable assets for our portfolio, provide the ability to cross sell and bundle assets and services solutions for third parties, and create opportunities to strategically retain and reinvest profits.

The repositioning of our investment portfolio is an ongoing initiative that will take time to fully implement, as we adjust our strategy in response to changing market conditions by shifting our asset allocations across various asset classes as interest rate and credit cycles change over time. We are committed to diversifying the portfolio and finding ways to produce liquidity both organically and through our access to capital markets. We intend to maintain sufficient liquidity and optionality to capitalize on market opportunities aligned with our portfolio and business growth objectives.

In addition to supporting our regulatory compliance, we believe that our Agency RMBS allocation provides portfolio diversity, stable cash flows and dividend paying ability, protection in periods of high market volatility, and a source of liquidity for opportunistic asset and business acquisitions. We also intend to continue evaluating opportunities to acquire MSRs, which we believe will help balance the duration risk in our securitized loan portfolio, as well as diversify our sources of earnings to pay our dividends.

We declared a $0.37 dividend per common share in the second quarter of 2025. Our economic return (as measured by the change in book value per common share plus common stock dividend) was 0.5% for the second quarter of 2025.

### Business Operations

### Net Income (Loss) Summary

The table below presents our net income (loss) on a GAAP basis for the quarters ended June 30, 2025 and March 31, 2025, and the six months ended June 30, 2025 and June 30, 2024.

*Net Income (Loss)*

*(dollars in thousands, except share and per share data)*

| Net interest income: | For the Quarters Ended June 30, 2025 | March 31, 2025 | QoQ Change | For the Six Months Ended June 30, 2025 | June 30, 2024 | YoY Change |
| --- | ---: | ---: | ---: | ---: | ---: | ---: |
| Interest income (1) | $201,297 | $190,616 | $10,681 | $391,914 | $373,291 | $18,623 |
| Interest expense (2) | 135,287 | 121,397 | 13,890 | 256,684 | 240,889 | 15,795 |
| Net interest income | 66,010 | 69,219 | (3,209) | 135,230 | 132,402 | 2,828 |
| Increase (decrease) in provision for credit losses | 4,409 | 3,387 | 1,022 | 7,796 | 5,032 | 2,764 |
| **Other income (losses):** |  |  |  |  |  |  |
| Net unrealized gains (losses) on derivatives | (2,554) | (6,469) | 3,915 | (9,024) | 17,144 | (26,168) |
| Realized gains (losses) on derivatives | (17,954) | 82 | (18,036) | (17,872) | (17,317) | (555) |
| Periodic interest on derivatives, net | 5,067 | 4,135 | 932 | 9,202 | 12,448 | (3,246) |
| **Net gains (losses) on derivatives** | (15,441) | (2,252) | (13,189) | (17,694) | 12,275 | (29,969) |
| Investment management and advisory fees | 8,810 | 8,936 | (126) | 17,745 | — | 17,745 |
| Net unrealized gains (losses) on financial instruments at fair value | 6,971 | 128,895 | (121,924) | 135,866 | 87,995 | 47,871 |
| Net realized gains (losses) on sales of investments | (1,915) | — | (1,915) | (1,915) | (3,750) | 1,835 |
| Gains (losses) on extinguishment of debt | — | 2,122 | (2,122) | 2,122 | — | 2,122 |
| Other investment gains (losses) | 2,953 | (417) | 3,370 | 2,536 | 5,687 | (3,151) |
| Total other income (losses) | 1,378 | 137,284 | (135,906) | 138,660 | 102,207 | 36,453 |
| **Other expenses:** |  |  |  |  |  |  |
| Compensation and benefits | 11,660 | 13,085 | (1,425) | 24,745 | 16,226 | 8,519 |
| General and administrative expenses | 6,815 | 6,907 | (92) | 13,721 | 11,993 | 1,726 |
| Servicing and asset manager fees | 7,306 | 7,431 | (125) | 14,737 | 15,134 | (397) |
| Amortization of intangibles and depreciation expenses | 949 | 951 | (2) | 1,902 | — | 1,902 |
| Transaction expenses | 390 | 5,688 | (5,298) | 6,077 | 67 | 6,010 |
| Total other expenses | 27,120 | 34,062 | (6,942) | 61,182 | 43,420 | 17,762 |
| **Income (loss) before income taxes** | 35,859 | 169,052 | (133,193) | 204,912 | 186,157 | 18,755 |
| Income taxes | 409 | 1,755 | (1,346) | 2,165 | 39 | 2,126 |
| **Net income (loss)** | $35,450 | $167,297 | $(131,847) | $202,747 | $186,118 | $16,629 |
| **Dividends on preferred stock** | 21,426 | 21,357 | 69 | 42,783 | 41,188 | 1,595 |
| **Net income (loss) available to common shareholders** | $14,024 | $145,940 | $(131,916) | $159,964 | $144,930 | $15,034 |
| **Net income (loss) per share available to common shareholders:** |  |  |  |  |  |  |
| Basic | $0.17 | $1.79 | $(1.62) | $1.97 | $1.78 | $0.19 |
| Diluted | $0.17 | $1.77 | $(1.60) | $1.94 | $1.76 | $0.17 |
| **Weighted average number of common shares outstanding:** |  |  |  |  |  |  |
| Basic | 81,408,087 | 81,350,497 | 57,590 | 81,386,680 | 81,326,944 | 59,736 |
| Diluted | 82,600,108 | 82,394,218 | 205,890 | 82,564,708 | 82,301,992 | 262,716 |
| **Dividends declared per share of common stock** | $0.37 | $0.37 | $— | $0.74 | $0.68 | $0.06 |

(1) Includes interest income of consolidated VIEs of $141,818 and $144,402 for the quarters ended June 30, 2025 and March 31, 2025, respectively, and $286,220 and $290,943 for the six months ended June 30, 2025 and 2024, respectively.

(2) Includes interest expense of consolidated VIEs of $73,038, and $69,651 for the quarters ended June 30, 2025 and March 31, 2025, respectively, and $142,690 and $142,815 for the six months ended June 30, 2025 and 2024, respectively.

**Results of Operations for the quarters Ended June 30, 2025 and March 31, 2025, and for the six months ended June 30, 2024 and June 30, 2024.**

Our primary source of income 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.

#### Quarter ended June 30, 2025 compared to the quarter ended March 31, 2025

For the quarter ended June 30, 2025, our net income available to common shareholders was $14 million, or $0.17 per average basic common share, as compared to a net income available to common shareholders of $146 million, or $1.79 per average basic common share for the quarter ended March 31, 2025. The decrease in net income available to common shareholders for the quarter ended June 30, 2025, as compared to the quarter ended March 31, 2025, was primarily driven by a decrease in unrealized gains on financial instruments at fair value of $122 million and an increase in net loss on derivatives of $13 million, partially offset by an increase in other investments gains of $3 million. During the quarter ended June 30, 2025, we had unrealized gains on financial instruments at fair value of $7 million, net interest income of $66 million, and investment management and advisory fees of $9 million, offset in part by operating expenses of $27 million and preferred stock dividend of $21 million.

As discussed earlier, during the second quarter of 2025, the yield on two-year U.S Treasury Notes fell by sixteen basis points, while the yield on ten-year U.S. Treasury Notes and residential credit spreads remained relatively flat resulting in lower market pricing gains on our investment as compared to the first quarter of 2025.

#### Six Months Ended June 30, 2025 compared to the six months ended June 30, 2024

For the six months ended June 30, 2025, our net income available to common shareholders was $160 million, or $1.97 per average basic common share, compared to a net income of $145 million, or $1.78 per average basic common share for the six months ended June 30, 2024. The increase in net income available to common shareholders for the quarter ended June 30, 2025, as compared to the quarter ended June 30, 2024 was primarily driven by an increase in net unrealized gains on financial instruments at fair value of $48 million and an increase in investment management and advisory fees of $18 million. This increase was offset in part by a decrease on net gains on derivatives of $30 million, an increase in transaction expense of $6 million due to higher securitization activity, and an increase in compensation expense of $9 million due to an increase in overall employee headcount and additional compensation expense related to the Palisades Acquisition during the six months ended June 30, 2025, as compared to the six months ended June 30, 2024.

### Interest Income

#### Quarter ended June 30, 2025 compared to the quarter ended March 31, 2025

Interest income increased by approximately $10 million or 5.1%, to $201 million for the quarter ended June 30, 2025, as compared to $191 million for the quarter ended March 31, 2025. The increase in our interest income during the quarter ended June 30, 2025 was primarily driven by our Agency RMBS purchases as we took advantage of relative value opportunities and increased our liquid security allocation, as compared to the previous quarter. During the quarter ended June 30, 2025, the interest income on our Agency RMBS portfolio increased by $12 million as compared to the quarter ended March 31, 2025 driven by our Agency Pass-through purchases, which was partially offset by a decrease of $3 million on our Loans held for investment portfolio due to lower loan balances.

#### Six Months Ended June 30, 2025 compared to the six months ended June 30, 2024

Interest income increased by $19 million, or 5.0%, to $392 million for the six months ended June 30, 2025 as compared to $373 million, for the six months ended June 30, 2024. This increase was primarily driven by our Agency CMO and Agency Pass-through purchases during the period. During the six months ended June 30, 2025, the interest income on our Agency RMBS portfolio increased by $24 million driven by these purchases as compared to the six months ended June 30, 2024. The increase in interest income is offset by a decreases in income on our Non-agency RMBS and Loans held for investment portfolios of $3 million and $1 million, respectively, due to declining asset balances.

### Interest Expense

#### Quarter ended June 30, 2025 compared to the quarter ended March 31, 2025

Interest expense increased by $14 million, or 11.4%, to $135 million for the quarter ended June 30, 2025, as compared to $121 million for the quarter ended March 31, 2025. This increase was primarily driven by an increase in our borrowings under secured financing agreements collateralized by Agency RMBS balance of $807 million to finance the Agency RMBS purchases during the quarter. During the quarter ended June 30, 2025, the interest expense on secured financing agreements collateralized by Agency RMBS increased by $8 million due to higher balances. Additionally, the interest expense on Securitized debt, collateralized by Loans held for investments and secured financing agreements collateralized by Loans held for investments increased by $3 million and $2 million, respectively, due to higher financing rates during the quarter ended June 30, 2025, as compared to the quarter ended March 31, 2025.

#### Six Months Ended June 30, 2025 compared to the six months ended June 30, 2024

Interest expense increased by $16 million, or 6.6%, to $257 million for the six months ended June 30, 2025, as compared to $241 million for the six months ended June 30, 2024. The increase was primarily driven by an increase in interest expense on our secured financing agreements collateralized by Agency RMBS of $15 million, driven by higher borrowings to finance our Agency CMO and Agency Pass-through purchases during the six months ended June 30, 2025, as compared to the prior period. Additionally, the interest expense on our Long Term Debt increased to $7 million during the six months ended June 30, 2025 as compared to $1 million for the six months ended June 30, 2024, driven by our additional unsecured long term debt issuance.

These increases were offset by a decrease in our average securitized debt balance of $486 million, which decreased our interest expense on Securitized debt by $1 million during the six months ended June 30, 2025, as compared to the six months ended June 30, 2024. As we rebalanced our investment portfolio, we reduced our average secured financing agreements collateralized by Agency CMBS and Non-Agency RMBS, which combined with lower financing costs, decreased our interest expense on secured financing agreements collateralized by Agency CMBS and Non-Agency RMBS by $5 million during the six months ended June 30, 2025, as compared to the six months ended June 30, 2024.

### Economic Net Interest Income

Our Economic net interest income is a non-GAAP financial measure that equals GAAP net interest income adjusted for net periodic interest cost of derivatives and excludes interest earned on cash. 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 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.

|  | GAAP Interest Income | GAAP Interest Expense | Periodic Interest On Derivatives, net | Economic Interest Expense | GAAP Net Interest Income | Periodic Interest On Derivatives, net | Other (1) | Economic Net Interest Income |
| --- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| For the Quarter Ended June 30, 2025 | $201,297 | $135,287 | $(5,067) | $130,220 | $66,010 | $5,067 | $(2,002) | $69,075 |
| For the Quarter Ended March 31, 2025 | $190,616 | $121,397 | $(4,135) | $117,262 | $69,219 | $4,135 | $(1,050) | $72,304 |
| For the Quarter Ended December 31, 2024 | $192,364 | $126,540 | $(4,542) | $121,997 | $65,824 | $4,542 | $(1,169) | $69,197 |
| For the Quarter Ended September 30, 2024 | $195,295 | $128,844 | $(6,789) | $122,054 | $66,451 | $6,789 | $(1,729) | $71,511 |
| For the Quarter Ended June 30, 2024 | $186,717 | $119,422 | $(6,971) | $112,451 | $67,295 | $6,971 | $(1,872) | $72,394 |

(1) Primarily interest income on cash and cash equivalents.

### Net Interest Rate Spread

The following tables shows 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.

*(dollars in thousands)*

*(dollars in thousands)*

| Assets: Interest-earning assets (1): | For the Quarters Ended June 30, 2025 Average Balance | Interest | Average Yield/Cost | March 31, 2025 Average Balance | Interest | Average Yield/Cost |
| --- | ---: | ---: | ---: | ---: | ---: | ---: |
| Agency RMBS (3) | $1,422,791 | $19,649 | 5.5% | $627,478 | $7,158 | 5.6% |
| Agency CMBS | 41,709 | 1,264 | 12.1% | 41,607 | 548 | 5.3% |
| Non-Agency RMBS | 962,840 | 28,289 | 11.8% | 987,344 | 28,269 | 11.5% |
| Loans held for investment | 10,856,968 | 150,093 | 5.5% | 11,091,882 | 153,591 | 5.5% |
| Total | $13,284,308 | $199,295 | 6.0% | $12,748,311 | $189,566 | 5.9% |
| Liabilities and stockholders' equity: |  |  |  |  |  |  |
| **Interest-bearing liabilities (2):** |  |  |  |  |  |  |
| Secured financing agreements collateralized by: |  |  |  |  |  |  |
| Agency RMBS (3) | $1,294,316 | $12,428 | 4.6% | $487,288 | $4,730 | 4.6% |
| Agency CMBS | 30,572 | 346 | 4.5% | 29,972 | 338 | 4.5% |
| Non-Agency RMBS | 629,610 | 9,330 | 5.9% | 647,628 | 9,569 | 5.9% |
| Loans held for investment | 1,851,517 | 29,628 | 6.4% | 1,828,760 | 27,450 | 6.0% |
| Securitized debt | 7,555,801 | 75,014 | 4.0% | 7,636,038 | 71,701 | 3.8% |
| Long term debt | 139,750 | 3,474 | 9.9% | 139,750 | 3,474 | 9.9% |
| **Total** | $11,501,566 | $130,220 | 4.5% | $10,769,436 | $117,262 | 4.4% |
| **Economic net interest income/net interest rate spread** |  | $69,075 | 1.5% |  | $72,304 | 1.5% |
| **Net interest-earning assets/net interest margin** | $1,782,742 |  | 2.1% | $1,978,875 |  | 2.3% |
| **Ratio of interest-earning assets to interest bearing liabilities** | 1.15 |  |  | 1.18 |  |  |
| (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. |  |  |  |  |  |  |

55

*(dollars in thousands)*

*(dollars in thousands)*

| Assets: Interest-earning assets (1): | For the Six Months Ended June 30, 2025 Average Balance | Interest | Average Yield/Cost | June 30, 2024 Average Balance | Interest | Average Yield/Cost |
| --- | ---: | ---: | ---: | ---: | ---: | ---: |
| Agency RMBS (3) | $1,445,971 | $26,807 | 5.5% | $459,554 | $3,044 | 6.3% |
| Agency CMBS | 41,683 | 1,812 | 8.7% | 56,059 | 1,313 | 4.7% |
| Non-Agency RMBS | 974,489 | 56,558 | 11.6% | 967,723 | 59,462 | 12.3% |
| Loans held for investment | 10,965,678 | 303,685 | 5.5% | 11,457,259 | 305,019 | 5.3% |
| Total | $13,427,821 | $388,862 | 5.8% | $12,940,595 | $368,838 | 5.8% |
| Liabilities and stockholders' equity: |  |  |  |  |  |  |
| **Interest-bearing liabilities (2):** |  |  |  |  |  |  |
| Secured financing agreements collateralized by: |  |  |  |  |  |  |
| Agency RMBS (3) | $1,306,879 | $17,158 | 4.6% | $376,644 | $1,858 | 5.6% |
| Agency CMBS | 30,234 | 684 | 4.5% | 41,028 | 1,162 | 5.7% |
| Non-Agency RMBS | 638,508 | 18,899 | 5.9% | 669,251 | 23,024 | 6.9% |
| Loans held for investment | 1,838,307 | 57,079 | 6.2% | 1,686,151 | 54,276 | 6.4% |
| Securitized debt | 7,579,850 | 146,716 | 3.9% | 8,066,197 | 147,432 | 3.7% |
| Long term debt | 139,750 | 6,947 | 9.9% | 65,000 | 691 | 9.8% |
| **Total** | $11,533,528 | $247,483 | 4.3% | $10,904,271 | $228,442 | 4.2% |
| **Economic net interest income/net interest rate spread** |  | $141,379 | 1.5% |  | $140,396 | 1.6% |
| **Net interest-earning assets/net interest margin** | $1,894,293 |  | 2.1% | $2,036,324 |  | 2.2% |
| **Ratio of interest-earning assets to interest bearing liabilities** | 1.16 |  |  | 1.19 |  |  |
| (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. |  |  |  |  |  |  |

### Economic Net Interest Income and the Average Earning Assets

#### Quarter ended June 30, 2025 compared to the quarter ended March 31, 2025

Our Economic net interest income (which is a non-GAAP measure, see “Economic net interest income” discussion earlier for details) decreased by $3 million to $69 million for the quarter ended June 30, 2025 from $72 million for the quarter ended March 31, 2025. The net interest margin, which equals the Economic net interest income as a percentage of the net average balance of our interest-earning assets less our interest-bearing liabilities, remained unchanged at 1.5% for the quarter ended June 30, 2025, as compared to the quarter ended March 31, 2025.

Our Average net interest-earning assets decreased by $196 million to $1.8 billion for the quarter ended June 30, 2025, compared to $2.0 billion for the quarter ended March 31, 2025. Our net interest rate spread, which equals the yield on our average interest-earning assets less the economic average cost of funds, decreased by 20 basis points to 2.1% for the quarter ended June 30, 2025, as compared to 2.3% for the quarter ended March 31, 2025.

#### Six months ended June 30, 2025 compared to the six months ended June 30, 2024

Our Economic net interest income (which is a non-GAAP measure, see “Economic net interest income” discussion earlier for details) increased by $1 million to $141 million for the six months ended June 30, 2025 from $140 million for the six months ended June 30, 2024. The net interest margin, which equals the Economic net interest income as a percentage of the net average balance of our interest-earning assets less our interest-bearing liabilities, decreased by 10 basis points to 2.1% for the six months ended June 30, 2025, as compared to 2.2% for the six months ended June 30, 2024.

Our Average net interest-earning assets decreased by $142 million to $1.9 billion for the six months ended June 30, 2025, compared to $2.0 billion for the same period of 2024. Our net interest rate spread, 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, 2025, as compared to the six months ended June 30, 2024.

### Economic Interest Expense and the Cost of Funds

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.

*(Ratios have been annualized, dollars in thousands)*

|  | 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 |
| --- | ---: | ---: | ---: | ---: | ---: | ---: |
| For the Quarter Ended June 30, 2025 | $11,501,566 | $130,220 | 4.50% | 4.32% | 4.30% | 0.02% |
| For the Quarter Ended March 31, 2025 | $10,769,436 | $117,262 | 4.40% | 4.31% | 4.30% | 0.01% |
| For the Quarter Ended December 31, 2024 | $10,880,840 | $121,997 | 4.48% | 4.59% | 4.50% | 0.09% |
| For the Quarter Ended September 30, 2024 | $10,904,969 | $122,054 | 4.48% | 5.29% | 5.24% | 0.05% |
| For the Quarter Ended June 30, 2024 | $10,741,156 | $112,451 | 4.24% | 5.33% | 5.33% | 0.00% |

Average interest-bearing liabilities increased by $732 million for the quarter ended June 30, 2025, as compared to the quarter ended March 31, 2025. Economic interest expense increased by $13 million for the quarter ended June 30, 2025, as compared to the quarter ended March 31, 2025, 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, 2025, we recorded an increase in provision for credit losses of $4 million, as compared to an increase in provision of credit losses of $3 million for the quarter ended March 31, 2025. For the six months ended June 30, 2025, we recorded an increase in provision for credit losses of $8 million, as compared to an increase in provision of credit losses of $5 million for the six months ended June 30, 2024. The changes in provision for credit losses for the quarter and six months ended June 30, 2025, as compared to the quarter and six months ended March 31, 2025 and June 30, 2024, are primarily due to a deterioration in cashflows on certain 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. Realized gains and losses include the net cash paid and received on our interest rate swaps, swap futures, and swaptions during the period as well as sales, terminations and settlements of our swaps, swaptions, interest rate cap and U.S. Treasury futures.

The tables below show a summary of our net gains (losses) on derivative instruments, for the quarters ended June 30, 2025 and March 31, 2025, and six months ended June 30, 2025 and June 30, 2024, respectively.

*(dollars in thousands)*

|  | For the Quarters Ended June 30, 2025 | March 31, 2025 |
| --- | ---: | ---: |
| Periodic interest on derivatives, net | $5,067 | $4,135 |
| Realized gains (losses) on derivative instruments, net: |  |  |
| Interest rate swaps | (11,941) | — |
| Swap futures | (390) | — |
| Treasury futures | — | 82 |
| Swaptions | (5,623) | — |
| Interest Rate Cap | — | — |
| Total realized gains (losses) on derivative instruments, net | (17,954) | 82 |
| Unrealized gains (losses) on derivative instruments, net: |  |  |
| Interest rate swaps | (26) | (3,870) |
| Swap futures | (400) | (240) |
| Treasury futures | — | (117) |
| Swaptions | — | — |
| Interest Rate Cap | (2,128) | (2,242) |
| Total unrealized gains (losses) on derivative instruments, net: | (2,554) | (6,469) |
| Total gains (losses) on derivative instruments, net | $(15,441) | $(2,252) |

*(dollars in thousands)*

|  | For the Six Months Ended June 30, 2025 | June 30, 2024 |
| --- | ---: | ---: |
| Periodic interest on derivatives, net | $9,202 | $12,448 |
| Realized gains (losses) on derivative instruments, net: |  |  |
| Interest rate swaps | (11,941) | — |
| Swap futures | (390) | (17,317) |
| Treasury futures | 82 | — |
| Swaptions | (5,623) | — |
| Interest Rate Cap | — | — |
| Total realized gains (losses) on derivative instruments, net | (17,872) | (17,317) |
| Unrealized gains (losses) on derivative instruments, net: |  |  |
| Interest rate swaps | (3,896) | 19,480 |
| Swap futures | (641) | — |
| Treasury futures | (117) | (2,605) |
| Swaptions | — | 269 |
| Interest Rate Cap | (4,370) | — |
| Total unrealized gains (losses) on derivative instruments, net: | (9,024) | 17,144 |
| Total gains (losses) on derivative instruments, net | $(17,694) | $12,275 |

During the quarters ended June 30, 2025 and March 31, 2025, we recognized total net losses on derivatives of $15 million and $2 million, respectively. During the six months ended June 30, 2025 and June 30, 2024, we recognized total net losses on derivatives of $18 million and net gains on derivatives of $12 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.

The weighted average pay rate on our interest rate swaps at June 30, 2025 was 3.61% and the weighted average receive rate was 4.14%. At June 30, 2025, the weighted average maturity on our interest rate swaps was less than 6 years. The weighted average pay rate on our interest rate swaps at December 31, 2024 was 3.56% and the weighted average receive rate was 4.49%. At December 31, 2024, the weighted average maturity on our interest rate swaps was less than one year.

We had a realized loss of $3 million related to the swap terminations during the quarter ended June 30, 2025. We had realized losses of $9 million related to the maturity of three swaps during the quarter and six months ended June 30, 2025. We had a realized loss of $17 million related to the maturity of one swap during the quarter and six months ended June 30, 2024.

During the quarter ended June 30, 2025, we had realized loss of $6 million on the sale of 29 swaption contracts. During the six months ended June 30, 2025, we exercised a swaption contract with $500 million notional and entered into a less than one-year swap with $500 million notional with a 3.45% fixed pay rate.

During the quarter ended June 30, 2024, we exercised one swaption contract with a $500 million notional, and entered into a one-year swap with $500 million notional and a weighted average fixed pay rate of 3.76%. During the six months ended June 30, 2024, we exercised three swaption contracts, each with $500 million notional, and entered into three one-year swaps, each with $500 million notional and a weighted average fixed pay rate of 3.56%.

During the quarter and 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. During the quarter and six months ended June 30, 2024, we entered into 1,391 short 5-year and 1,684 short 5-year U.S. Treasury futures contract with a notional of $139 million and $168 million, respectively.

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. During the quarter and six months ended June 30, 2025, we are short 500 two-year SOFR Swap future contracts. The net par equivalent pay fixed on our Swap futures at June 30, 2025 was 4.05% and the weighted average receive rate was 4.45%. At June 30, 2024, we held no Swap future contracts.

During the six months ended June 30, 2025, we entered into an Interest rate cap. We paid $7 million for a two year Interest rate cap with a strike rate of 3.95% on SOFR as the market reference rate. At June 30, 2024, we held no Interest rate caps.

Changes in our derivative positions were primarily a result of changes in our secured financing composition and changes in interest rates.

### 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 $9 million for the quarters ended June 30, 2025 and March 31, 2025, respectively. We recognized investment management and advisory fees of $18 million during the six months ended June 30, 2025.

### Net Unrealized Gains (Losses) on Financial Instruments at Fair Value

During the quarter June 30, 2025, the yield on two-year U.S. Treasury Notes fell by sixteen basis points, while the yield on ten-year U.S. Treasury Notes rose by two basis points and the residential credit spreads remained relatively unchanged resulting in market pricing that remained relatively flat to slightly up compared to prior quarter end. We recorded net unrealized gains on financial instruments at fair value of $7 million and $129 million for the quarters ended June 30, 2025 and March 31, 2025, respectively. We recorded net unrealized gains on financial instruments at fair value of $136 million and $88 million for the six months ended June 30, 2025 and June 30, 2024, 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, 2025, we rebalanced a portion of our investment portfolio and sold certain of our Agency CMO, Agency RMBS and Non-Agency RMBS assets, which resulted in a net realized loss of $2 million. Proceeds from these sales were largely re-invested in liquid Agency RMBS Pass-through securities. We had a net realized loss of $4 million during the six months ended June 30, 2024 which was primarily driven by our sales of Agency CMBS investments as a part of our portfolio optimization efforts.

### 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, 2025 and March 31, 2025 and during the six months ended June 30, 2025 and June 30, 2024.

#### Securitized Debt Collateralized by Loans Held for Investment

We did not acquire any securitized debt collateralized by loans held for investment during the quarter ended June 30, 2025 and during the quarter and six months ended June 30, 2024. We acquired securitized debt collateralized by Loans held for investment with an amortized cost balance of $314 million for $312 million during the 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 $63 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.

At June 30, 2025, the outstanding principal amount of these notes was $140 million and the accrued interest payable on this debt was $2 million. At June 30, 2025, the unamortized deferred debt issuance cost was $5 million. The net interest expense was $3 million and $7 million for the quarter and six months ended June 30, 2025, respectively.

### 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.

*(Ratios have been annualized, dollars in thousands)*

|  | 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 |
| --- | ---: | ---: | ---: |
| For the Quarter Ended June 30, 2025 | $18,865 | 0.54% | 2.86% |
| For the Quarter Ended March 31, 2025 | $25,680 | 0.78% | 3.97% |
| For the Quarter Ended December 31, 2024 | $28,240 | 0.84% | 4.29% |
| For the Quarter Ended September 30, 2024 | $15,130 | 0.45% | 2.25% |
| For the Quarter Ended June 30, 2024 | $13,287 | 0.41% | 2.01% |

Compensation and benefits costs decreased slightly and were $12 million and $13 million for the quarters ended June 30, 2025 and March 31, 2025, respectively. Compensation and benefits costs were approximately $25 million and $16 million for the six months ended June 30, 2025 and June 30, 2024. The decrease in Compensation and benefits costs for the quarter ended June 30, 2025 compared to the quarter ended March 31, 2025, was primarily due to the first quarter expense including fully accelerated long-term stock incentive awards for the retirement eligible employees. The increase in Compensation and benefits costs for the six months ended June 30, 2025 compared to the six months ended June 30, 2024, was driven by higher overall compensation expense related to the increase in employee headcount and Palisades Acquisition.

The general and administrative expenses remained unchanged at $7 million for the quarters ended June 30, 2025 and March 31, 2025, respectively. G&A expenses were approximately $14 million and $12 million for the six months ended June 30, 2025 and June 30, 2024. G&A expenses are primarily comprised of legal, market data and research, auditing, consulting, information technology, rent and independent investment consulting expenses.

During the quarter ended June 30, 2025, we incurred transaction expenses of $390 thousand in relation to the HomeXpress Acquisition. During the quarter ended March 31, 2025, we incurred transaction expenses of $6 million due to securitizations.

### Servicing and Asset Manager Fee Expense

Servicing fees and asset manager expenses remained relatively unchanged at $7 million for the quarters ended June 30, 2025 and March 31, 2025, respectively. Servicing fees and asset manager expenses remained relatively unchanged at $15 million for the six months ended June 30, 2025 and June 30, 2024, respectively. 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 unpaid principal balances of our consolidated VIEs.

### Amortization of intangibles and depreciation expenses

We recognized intangible assets related to investment management agreements and developed technology acquired in the transaction. 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 Palisades Acquisition during the fourth quarter of 2024. During the quarters ended June 30, 2025 and March 31, 2025, we recognized amortization of intangible assets and depreciation expense of $949 thousand and $951 thousand. During the six months ended June 30, 2025, we recognized amortization of intangible assets and depreciation expense of $2 million.

### Earnings available for distribution

Earnings available for distribution is a non-GAAP measure and is defined as GAAP net income excluding (i) unrealized gains or losses on financial instruments carried at fair value with changes in fair value recorded in earnings, (ii) realized gains or losses on the sales of investments, (iii) gains or losses on the extinguishment of debt, (iv) changes in the provision for credit losses, (v) unrealized gains or losses on derivatives, (vi) realized gains or losses on derivatives, (vii) transaction expenses, (viii) stock compensation expenses for retirement eligible awards, (ix) amortization of intangibles and depreciation expenses, (x) non-cash imputed compensation expense related to business acquisitions, and (xi) other gains and losses on equity investments.

Non-cash imputed compensation expense reflects the portion of the consideration paid in the Palisades Acquisition that pursuant to the seller’s contractual arrangements is distributable to the seller’s 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 non-cash contribution from a related party to our shareholder’s equity. The excluded amounts do not include any normal, recurring compensation paid to our employees.

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 all incurred prior to or at the execution of the transaction and do not recur. Recurring expenses, such as servicing fees, custodial fees, trustee fees and other similar ongoing fees are not excluded from earnings available for distribution. We believe that excluding these costs is useful to investors as it is generally consistent with our peer group’s treatment of these costs in their non-GAAP measures presentation, 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 issue costs prior to the fair value election option made by us. In addition, we believe it is important for investors to review this metric which 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 view Earnings available for distribution as one measure of our investment portfolio's ability to generate income for distribution to common stockholders. Earnings available for distribution is one of the metrics, but not the exclusive metric, that our Board of Directors uses to determine 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. Earnings available for distribution, however, is different than REIT taxable income. For example, differences between Earnings available for distribution and REIT taxable income generally 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 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 Earnings available for distribution and Earnings available for distribution should not be considered as an indication of our REIT taxable income, a guaranty of our ability to pay dividends, or as a proxy for the amount of dividends we may pay. We believe Earnings available for distribution helps us and investors evaluate our financial performance period over period without the impact of certain non-recurring transactions. Therefore, Earnings available for distribution should not be viewed in isolation and is not a substitute for or superior to net income or net income per basic share computed in accordance with GAAP. In addition, our methodology for calculating Earnings available for distribution may differ from the methodologies employed by other REITs to calculate the same or similar supplemental performance measures, and accordingly, our Earnings available for distribution may not be comparable to the Earnings available for distribution 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.

*(dollars in thousands, except per share data)*

|  | For the Quarters Ended June 30, 2025 | March 31, 2025 | December 31, 2024 | September 30, 2024 | June 30, 2024 |
| --- | ---: | ---: | ---: | ---: | ---: |
| **GAAP Net income (loss) available to common stockholders** | $14,024 | $145,940 | $(168,275) | $113,672 | $33,913 |
| Adjustments (1): |  |  |  |  |  |
| Net unrealized (gains) losses on financial instruments at fair value | (6,971) | (128,895) | 181,197 | (104,012) | (11,231) |
| Net realized (gains) losses on sales of investments | 1,915 | — | 1,468 | — | — |
| (Gains) losses on extinguishment of debt | — | (2,122) | — | — | — |
| Increase (decrease) in provision for credit losses | 4,409 | 3,387 | 4,448 | 358 | 3,684 |
| Net unrealized (gains) losses on derivatives | 2,554 | 6,469 | (276) | 14,457 | (11,955) |
| Realized (gains) losses on derivatives | 17,954 | (82) | (641) | 4,864 | 17,317 |
| Transaction expenses | 390 | 5,688 | 4,707 | 2,317 | — |
| Stock Compensation expense for retirement eligible awards | (501) | 1,432 | (307) | (424) | (419) |
| Amortization of intangibles and depreciation expenses (2) | 949 | 951 | 321 | — | — |
| Non-cash imputed compensation related to business acquisition | 341 | 341 | 10,296 | — | — |
| Other investment (gains) losses | (2,953) | 417 | (2,490) | (1,366) | (1,001) |
| **Earnings available for distribution** | **$32,111** | **$33,526** | **$30,448** | **$29,866** | **$30,308** |
| **GAAP net income (loss) per diluted common share** | **$0.17** | **$1.77** | **$(2.07)** | **$1.39** | **$0.41** |
| **Earnings available for distribution per adjusted diluted common share** | **$0.39** | **$0.41** | **$0.37** | **$0.36** | **$0.37** |

(1) As a result of the Palisades Acquisition, 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 the Palisades Acquisition and are not directly related to generation of our portfolio’s investment income.

(2) Non-cash amortization of intangibles and depreciation expenses related to the Palisades Acquisition

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, 2025 | March 31, 2025 | December 31, 2024 | September 30, 2024 | June 30, 2024 |
| --- | ---: | ---: | ---: | ---: | ---: |
| **Weighted average diluted shares - GAAP** | 82,600,108 | 82,394,218 | 81,266,223 | 81,855,872 | 82,281,890 |
| Potentially dilutive shares (1) | — | — | 1,263,734 | — | — |
| **Adjusted weighted average diluted shares - Earnings available for distribution** | 82,600,108 | 82,394,218 | 82,529,957 | 81,855,872 | 82,281,890 |

(1) Potentially dilutive shares related to restricted stock units and performance stock units 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 quarter ended December 31, 2024.

Earnings available for distribution for the quarter ended June 30, 2025 were $32 million, or $0.39 per average diluted common share, and decreased by $2 million, compared to $34 million, or $0.41 per average diluted common share for the quarter ended March 31, 2025. This decrease in Earnings available for distribution was primarily due to the timing of the Agency RMBS Pass-through investments which occurred during the middle of the quarter.

### Net Income (Loss) and Return on Total Stockholders' Equity

The table below shows our Net Income and Economic net interest income as a percentage of average stockholders' equity and Earnings available for distribution as a percentage of average common stockholders' 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.

|  | Return on Average Equity (Ratios have been annualized) | Economic Net Interest Income/Average Equity | Earnings available for distribution/Average Common Equity |
| --- | ---: | ---: | ---: |
| For the Quarter Ended June 30, 2025 | 5.38% | 10.49% | 7.54% |
| For the Quarter Ended March 31, 2025 | 25.89% | 11.19% | 8.10% |
| For the Quarter Ended December 31, 2024 | (22.27)% | 10.52% | 7.16% |
| For the Quarter Ended September 30, 2024 | 20.30% | 10.64% | 6.79% |
| For the Quarter Ended June 30, 2024 | 8.57% | 11.06% | 7.08% |

Return on average equity was 5.38% for the quarter ended June 30, 2025, as compared to 25.89% for the quarter ended March 31, 2025. This decrease was primarily driven by lower mark to market gains on our investment portfolio. Economic net interest income as a percentage of average equity decreased by 70 basis points for the quarter ended June 30, 2025 as compared to the quarter ended March 31, 2025. Earnings available for distribution as a percentage of average common equity decreased by 56 basis points for the quarter ended June 30, 2025, as compared to the quarter ended March 31, 2025, primarily driven by higher interest expense on secured financing agreements collateralized by Agency RMBS.

### Financial Condition

#### Portfolio Review

During the six months ended June 30, 2025, 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, 2025, on an aggregate basis, we purchased $2.4 billion of investments and received $840 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, 2025 and December 31, 2024.

|  | June 30, 2025 | December 31, 2024 |
| --- | ---: | ---: |
| Interest earning assets at period-end (1) | $14,326,573 | $12,780,065 |
| Interest bearing liabilities at period-end | $11,737,352 | $10,014,759 |
| GAAP Leverage at period-end | 4.5:1 | 4.0:1 |
| GAAP Leverage at period-end (recourse) | 1.8:1 | 1.2:1 |

(1) Excludes cash and cash equivalents.

| Portfolio Composition | June 30, 2025 Amortized Cost | December 31, 2024 | June 30, 2025 Fair Value | December 31, 2024 |
| --- | ---: | ---: | ---: | ---: |
| Non-Agency RMBS | 6.8% | 7.9% | 7.1% | 8.3% |
| Senior | 3.2% | 3.7% | 4.0% | 4.8% |
| Subordinated | 2.5% | 3.0% | 2.5% | 2.9% |
| Interest-only | 1.1% | 1.2% | 0.6% | 0.6% |
| Agency RMBS | 18.2% | 3.7% | 18.3% | 3.7% |
| Pass-through | 15.6% | —% | 15.7% | —% |
| CMO | 2.5% | 3.6% | 2.5% | 3.6% |
| Interest-only | 0.1% | 0.1% | 0.1% | 0.1% |
| Agency CMBS | 0.4% | 0.4% | 0.3% | 0.4% |
| Project loans | 0.3% | 0.3% | 0.2% | 0.3% |
| Interest-only | 0.1% | 0.1% | 0.1% | 0.1% |
| Loans held for investment | 74.6% | 88.0% | 74.3% | 87.6% |
| Fixed-rate percentage of portfolio | 85.7% | 87.9% | 85.1% | 87.3% |
| Adjustable-rate percentage of portfolio | 14.3% | 12.1% | 14.9% | 12.7% |

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 at June 30, 2025 and December 31, 2024. 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.

| Non-Agency MBS | June 30, 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 |
| --- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| Senior | $968,382 | $43.69 | $59.30 | 5.7% | 18.7% | 4.3% | 4.6% | 2.0% | 1.7% | 22.4% | 1.4% |
| Subordinated | $613,051 | $58.52 | $57.79 | 4.4% | 7.9% | 8.5% | 7.7% | 0.4% | 0.6% | 29.3% | 6.9% |
| Interest-only | $2,535,660 | $5.91 | $3.25 | 0.7% | 4.4% | 4.8% | 5.2% | 0.8% | 0.9% | 35.9% | —% |
| Agency RMBS |  |  |  |  |  |  |  |  |  |  |  |
| Pass-through | $2,334,802 | $95.79 | $96.65 | 4.7% | 5.4% | 5.7% | 5.1% | N/A | N/A | N/A | N/A |
| CMO | $362,333 | $99.97 | $99.69 | 5.5% | 5.6% | 12.4% | 10.5% | N/A | N/A | N/A | N/A |
| Interest-only | $375,663 | $5.06 | $4.23 | 0.8% | 6.6% | 9.2% | 8.8% | N/A | N/A | N/A | N/A |
| Agency CMBS |  |  |  |  |  |  |  |  |  |  |  |
| Project loans | $39,719 | $101.52 | $89.92 | 3.4% | 3.3% | —% | —% | N/A | N/A | N/A | N/A |
| Interest-only | $289,334 | $1.94 | $2.06 | 0.6% | 9.4% | 5.6% | 3.1% | N/A | N/A | N/A | N/A |
| Loans held for investment |  |  |  |  |  |  |  |  |  |  |  |
| Re-performing Loans | $9,471,413 | $97.78 | $97.75 | 5.7% | 5.6% | 6.7% | 6.5% | 0.7% | 0.4% | 30.0% | 8.8% |
| Prime Loans | $403,539 | $90.84 | $94.03 | 4.3% | 5.9% | 8.3% | 5.7% | —% | —% | 37.8% | —% |
| Investor Loans | $799,462 | $102.53 | $101.35 | 6.9% | 6.5% | 14.4% | 14.2% | 0.1% | 0.1% | 7.3% | 15.3% |
| Business Purpose Loans | $214,732 | $100.38 | $99.21 | 8.7% | 6.6% | 52.9% | 24.6% | 0.2% | 0.6% | 10.6% | —% |

(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.)

| Non-Agency MBS | December 31, 2024 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 |
| --- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| Senior | $1,010,128 | $45.11 | $60.83 | 5.7% | 17.6% | 4.5% | 4.9% | 1.1% | 1.5% | 14.7% | 1.9% |
| Subordinated | $648,977 | $59.18 | $57.99 | 4.5% | 8.0% | 7.4% | 7.0% | 1.1% | 0.8% | 29.7% | 6.8% |
| Interest-only | $2,644,741 | $5.81 | $2.77 | 0.7% | 6.6% | 5.0% | 5.3% | 0.8% | 0.8% | 39.5% | —% |
| Agency RMBS |  |  |  |  |  |  |  |  |  |  |  |
| CMO | $464,640 | $99.97 | $99.36 | 5.8% | 5.8% | 15.7% | —% | N/A | N/A | N/A | N/A |
| Interest-only | $380,311 | $5.15 | $4.41 | 0.6% | 6.9% | 9.4% | 9.0% | N/A | N/A | N/A | N/A |
| Agency CMBS |  |  |  |  |  |  |  |  |  |  |  |
| Project loans | $40,882 | $101.51 | $84.07 | 3.5% | 3.4% | —% | —% | N/A | N/A | N/A | N/A |
| Interest-only | $449,437 | $1.36 | $1.43 | 0.5% | 8.9% | —% | —% | N/A | N/A | N/A | N/A |
| Loans held for investment |  |  |  |  |  |  |  |  |  |  |  |
| Re-performing Loans | $10,322,156 | $98.05 | $96.14 | 5.5% | 5.6% | 6.7% | 6.2% | 0.7% | 0.7% | 25.1% | 8.3% |
| Prime Loans | $420,446 | $90.75 | $92.50 | 4.3% | 5.9% | 6.0% | 4.1% | —% | —% | 37.8% | —% |
| Investor Loans | $573,748 | $102.04 | $98.64 | 6.5% | 6.4% | 12.6% | 9.8% | —% | —% | —% | 14.7% |
| Business Purpose Loans | $343,071 | $100.74 | $100.01 | 6.8% | 8.9% | 27.8% | 14.3% | 1.2% | 0.2% | 4.5% | 6.8% |

(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.

*(dollars in thousands)*

| Accretable Discount (Net of Premiums) | For the Quarters Ended June 30, 2025 | March 31, 2025 | December 31, 2024 | September 30, 2024 | June 30, 2024 |
| --- | ---: | ---: | ---: | ---: | ---: |
| Balance, beginning of period | $110,861 | $117,203 | $123,953 | $125,881 | $130,624 |
| Accretion of discount | (8,253) | (7,705) | (8,855) | (10,949) | (11,142) |
| Purchases | — | — | — | 2,834 | 919 |
| Sales | 188 | — | — | — | — |
| Elimination in consolidation | — | — | — | — | — |
| Transfers from/(to) credit reserve, net | 5,616 | 1,363 | 2,105 | 6,187 | 5,480 |
| Balance, end of period | $108,412 | $110,861 | $117,203 | $123,953 | $125,881 |

### 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 offerings.

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 the Securities Industry and Financial Markets Association, (“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 $250 million and $84 million at June 30, 2025 and December 31, 2024, respectively. As a result of our operating, investing and financing activities described below, our cash position increased by $166 million from December 31, 2024 to June 30, 2025.

Our operating activities provided net cash of approximately $41 million and $126 million for the six months ended June 30, 2025 and 2024, respectively. The cash flows from operations were primarily driven by interest received in excess of interest paid of $149 million and $163 million during the quarters ended June 30, 2025 and 2024, respectively.

Our investing activities used cash of $1.4 billion and provided cash of $135 million for the six months ended June 30, 2025 and 2024, respectively. 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. During the six months ended June 30, 2024, we received cash for principal repayments on Agency MBS, Non-Agency RMBS and Loans held for investment of $672 million and from sale of our Agency MBS of $35 million. This cash received was offset in part by cash used on investment purchases of $443 million of Agency MBS, $80 million of Loans held for investment, and $49 million of Non-Agency RMBS.

Our financing activities provided cash of $1.5 billion and used cash of $320 million for the six months ended June 30, 2025 and 2024, respectively. During the six months ended June 30, 2025, we received cash from net proceeds on our secured financing agreements of $1.7 billion, and proceeds received from our secured debt borrowings of $780 million. This cash received was offset in part by cash used for repayment of principal on our securitized debt of $903 million, and payment of common and preferred dividends of $104 million. During the six months ended June 30, 2024, we primarily used cash for repayment of principal on our securitized debt of $568 million and payment of common and preferred dividends of $91 million. This cash used was offset in part by net proceeds provided by our secured financing agreements of $276 million and cash provided by the issuance of unsecured notes of $62 million.

Our recourse leverage increased at June 30, 2025 to 1.8:1 as compared to 1.2:1 at December 31, 2024. 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, 2025 and December 31, 2024, we had $311 million and $526 million of unencumbered assets available to us which can be pledged to access additional short-term financing or sold to raise additional cash, if necessary.

At June 30, 2025 and December 31, 2024, the remaining maturities and borrowing rates on our RMBS and loan secured financing agreements were as follows.

*(dollars in thousands)*

|  | June 30, 2025 Principal (1) | Weighted Average Borrowing Rates | Range of Borrowing Rates | December 31, 2024 Principal | Weighted Average Borrowing Rates | Range of Borrowing Rates |
| --- | ---: | ---: | --- | ---: | ---: | --- |
| Overnight | $— | — | N/A | $— | — | N/A |
| 1 to 29 days | 2,334,912 | 4.68% | 4.47% - 7.18% | 642,358 | 5.61% | 4.66% - 7.52% |
| 30 to 59 days | 376,179 | 6.21% | 5.08% - 6.83% | 959,559 | 7.79% | 5.34% - 12.50% |
| 60 to 89 days | 296,139 | 5.35% | 4.72% - 6.54% | 318,750 | 5.58% | 4.87% - 7.02% |
| 90 to 119 days | 286,563 | 7.26% | 5.50% - 7.47% | 51,416 | 6.38% | 5.51% - 6.77% |
| 120 to 180 days | 133,902 | 5.86% | 5.07% - 6.51% | 123,072 | 6.15% | 5.82% - 6.77% |
| 180 days to 1 year | 220,180 | 5.96% | 5.62% - 6.57% | 409,760 | 6.79% | 5.80% - 7.49% |
| 1 to 2 years | 601,662 | 8.28% | 7.75% - 8.57% | — | N/A | N/A |
| 2 to 3 years | 321,856 | 5.00% | 5.00% - 6.14% | 337,245 | 5.02% | 5.02% - 5.02% |
| Total | $4,571,393 | 5.60% |  | $2,842,160 | 6.48% |  |

(1) The values for secured financing agreements in the table above is net of $1 million of deferred financing costs as of June 30, 2025.

|  |  |  |
| --- | --- | --- |
| Average remaining maturity of Secured financing agreements secured by: |  |  |
|  | **June 30, 2025** | **December 31, 2024** |
| Agency RMBS | 15 Days | 16 Days |
| Agency CMBS | 8 Days | 8 Days |
| Non-Agency RMBS and Loans held for investment | 317 Days | 237 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, 2025, the weighted average haircut on our secured financing agreements collateralized by Agency RMBS was 4.5%, Agency CMBS was 5.4%, and Non-Agency RMBS and Loans held for investment was 25.7%. At December 31, 2024, the weighted average haircut on our remaining secured financing agreements collateralized by Agency RMBS was 5.1%, Agency CMBS was 5.5%, and Non-Agency RMBS and Loans held for investment was 26.0%.

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 using 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 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, 2025, we have entered into $924 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, 2025 we have $498 million of limited MTM facilities. We believe these non-MTM and limited MTM facilities significantly reduce our financing risks. See Note 5 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, 2025, the weighted average borrowing rates for our secured financing agreements collateralized by Agency RMBS was 4.5%, Agency CMBS was 4.5% and Non-Agency MBS and Loans held for investment was 6.6%. At December 31, 2024, the weighted average borrowing rates for our secured financing agreements collateralized by Agency RMBS was 4.8%, Agency CMBS was 4.8% and Non-Agency MBS and Loans held for investment was 6.8%.

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, 2025 and December 31, 2024 was $322 million and $337 million, respectively. The fair value of collateral pledged was $374 million and $383 million as of June 30, 2025 and December 31, 2024, respectively. We carry this secured financing instrument at fair value of $314 million and $319 million as of June 30, 2025 and December 31, 2024, respectively. At June 30, 2025 and December 31, 2024, the weighted average borrowing rate on secured financing agreements at fair value was 5.0%. At June 30, 2025 and December 31, 2024, the haircut for the secured financing agreements at fair value was 7.5%. At June 30, 2025, the maturity on the secured financing agreements at fair value was two years.

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 the adjusting of the size of our portfolio by using leverage.

*(dollars in thousands)*

| Period | Average secured financing agreements balances | Secured financing agreements balance at period end |
| --- | ---: | ---: |
| Quarter End June 30, 2025 | $3,806,015 | $4,563,063 |
| Quarter End March 31, 2025 | $2,925,366 | $2,994,191 |
| Quarter End December 31, 2024 | $3,019,337 | $2,824,371 |
| Quarter End September 30, 2024 | $2,986,995 | $3,228,748 |
| Quarter End June 30, 2024 | $2,561,042 | $2,699,299 |

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, 2025 and December 31, 2024, the carrying value of our total interest-bearing debt was approximately $11.7 billion and $9.9 billion, respectively, which represented a leverage ratio of approximately 4.5:1 and 4.0:1, 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, 2025, we had secured financing agreements with 17 counterparties. All of our secured financing agreements are secured by Agency MBS, Non-Agency RMBS and Loans held for investment 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, 2025 and December 31, 2024, we had $5.9 billion and $4.1 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. 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, 2025 was less than one year. 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, 2025 is two years. The Swap futures are exchange traded instrument. 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, 2025:

*June 30, 2025*

*(dollars in thousands)*

| Country | Number of Counterparties | Secured Financing Agreement | Derivative Instruments at Fair Value | Exposure (1) |
| --- | ---: | ---: | ---: | ---: |
| United States | 10 | $2,709,721 | $1,876 | $594,896 |
| Japan | 3 | 1,170,742 | — | 533,235 |
| Canada | 2 | 374,406 | (5,236) | 105,866 |
| Spain | 1 | 40,217 | — | 2,325 |
| South Korea | 1 | $276,307 | $— | $14,265 |
| Total | 17 | $4,571,393 | $(3,360) | $1,250,587 |

(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 which 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, 2025, we had amounts at risk with Nomura of 19% of our equity related to the collateral posted on secured financing agreements. The weighted average maturities of the secured financing agreements with Nomura were 330 days. The amount at risk with Nomura was $489 million. At December 31, 2024, we had amounts at risk with Nomura of 20% of our equity related to the collateral posted on secured financing agreements. The weighted average maturities of the secured financing agreements with Nomura were 108 days. The amount at risk with Nomura was $512 million.

At June 30, 2025, we did not use credit default swaps or other forms of credit protection to hedge the exposures summarized in the table above.

### 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 back up 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, 2025 and 2024. The approximate dollar value of shares that may yet be purchased under the Share Repurchase Program is $250 million as of June 30, 2025.

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, the Company 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, 2025 and 2024. 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, 2025.

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 quarters and six months ended June 30, 2025. 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, 2024, respectively.

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 B preferred stockholders of $9 million and $16 million or $0.71 and $1.21 per preferred share, during the quarter and six months ended June 30, 2024.

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 quarters and six months ended June 30, 2025. 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, 2024.

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. We declared dividends to Series D preferred stockholders of $6 million and $10 million, or $0.70 and $1.20 per preferred share, during the quarter and six months ended June 30, 2024, respectively.

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 will become callable at a redemption price equal to the liquidation preference plus accrued and unpaid dividends through, but not including the redemption date.

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 (the “Act”) and the related regulations promulgated thereunder are applicable to each of its Series B Preferred Stock, Series C Preferred Stock and Series D Preferred Stock. In light of the applicability of the Act 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, or will automatically replace, 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 “Plan”). It authorized the issuance of up to 6,666,667 shares of our common stock for the grant of awards under the Plan. The 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 Plan. Also, shares withheld for tax withholding requirements after stockholder approval of the 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 Plan.

As of June 30, 2025, approximately 4 million shares were available for future grants under the Plan.

Awards under the Plan may include stock options, stock appreciation rights, restricted stock, dividend equivalent rights (“DERs”) and other share-based awards (including RSUs). Under the 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 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 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 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 of our Board of Directors approved irrevocably terminating the Executive Officer Plan and suspending new deferral elections under the Director Plan. The Executive Officer Plan will be liquidated on November 30, 2025, and all amounts outstanding under the Executive Officer Plan on the liquidation date will be 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 June 30, 2025 and December 31, 2024, there are approximately 162 thousand and 124 thousand shares for which payments have been deferred until separation or a date elected by the participant, respectively. At June 30, 2025 and December 31, 2024, there are approximately 281 thousand and 229 thousand DERs earned but not yet delivered, respectively.

#### Grants of Restricted Stock Units (“RSUs”)

During the quarters and six months ended June 30, 2025 and 2024, we granted RSU awards to senior management, employees and directors. These RSU awards are designed to reward senior management, employees and directors of the Company for services provided to the Company. 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 the Company 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 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. We granted 61 thousand and 240 thousand RSU awards during the quarter and six months ended June 30, 2024 with a grant date fair value of $1 million and $4 million, for the 2024 performance year.

#### Grants of Performance Share Units (“PSUs”)

PSU awards are designed to align compensation with the Company’s future performance. The PSU awards granted during the six months ended June 30, 2025 and 2024, include a three-year performance period ending on December 31, 2027 and December 31, 2026, respectively. For the PSU awards granted during the six months ended June 30, 2025, and 2024, 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, 2025, we granted 296 thousand PSU awards to senior management with a grant date fair value of $4 million. For the six months ended June 30, 2024, we granted 179 thousand PSU awards to senior management with a grant date fair value of $3 million.

At June 30, 2025 and December 31, 2024, there were approximately $2 million and $1 million, respectively, unvested shares of RSUs and PSUs issued to our employees and directors.

### Contractual Obligations and Commitments

The following tables summarize our contractual obligations at June 30, 2025 and December 31, 2024. 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.

*June 30, 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 | $3,647,875 | $923,518 | $— | $— | $4,571,393 |
| Securitized debt, collateralized by Non-Agency RMBS | — | — | — | 2 | 2 |
| Securitized debt at fair value, collateralized by Loans held for investment | 1,272,191 | 2,095,590 | 1,934,672 | 2,157,496 | 7,459,949 |
| Interest expense on MBS secured financing agreements (1) | 29,895 | 5,478 | — | — | 35,373 |
| Interest expense on securitized debt (1) | 257,264 | 394,960 | 259,693 | 328,080 | 1,239,997 |
| Total | $5,207,225 | $3,419,546 | $2,194,365 | $2,485,578 | $13,306,714 |

(1) Interest is based on variable rates in effect as of June 30, 2025.

*December 31, 2024*

*(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 | $2,504,915 | $337,245 | $— | $— | $2,842,160 |
| Securitized debt, collateralized by Non-Agency RMBS | — | 13 | — | 13 | 26 |
| Securitized debt at fair value, collateralized by Loans held for investment | 1,288,028 | 2,091,147 | 1,937,868 | 2,253,020 | 7,570,063 |
| Interest expense on MBS secured financing agreements (1) | 29,737 | 1,364 | — | — | 31,101 |
| Interest expense on securitized debt (1) | 255,162 | 394,250 | 257,323 | 292,081 | 1,198,816 |
| Total | $4,077,842 | $2,824,019 | $2,195,191 | $2,545,114 | $11,642,166 |

(1) Interest is based on variable rates in effect as of December 31, 2024.

Not included in the tables above are the unfunded construction loan commitments of $3 million and $5 million as of June 30, 2025 and December 31, 2024. 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 and six months ended June 30, 2025, we did not make any additional funding toward the commitment, and the total funding remained at $56 million, leaving an unfunded commitment of $19 million.

### Capital Expenditure Requirements

At June 30, 2025 and December 31, 2024, 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.

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 in the Notes to Consolidated Financial Statements for a discussion of accounting guidance we have recently adopted or expect to be adopted in the future.

## Market risk

As filed, 27,776 characters.

The primary components of our market risk are related to credit risk, interest rate risk, prepayment risk, extension risk, basis risk and market risk. While we do not seek to avoid risk completely, we believe the risk can be quantified from historical experience and we seek to actively manage that risk and to maintain capital levels consistent with the risks we undertake.

Additionally, refer to Item 1A, "Risk Factors" included in our Annual Report on Form 10-K for the year ended December 31, 2024 for additional information on risks we face.

### Credit Risk

We are subject to credit risk in connection with our investments in Non-Agency RMBS and residential mortgage loans and face more credit risk on assets we own that are rated below ‘‘AAA’’ or not rated. The credit risk related to these investments pertains to the ability and willingness of the borrowers to pay, which is assessed before credit is granted or renewed and periodically reviewed throughout the loan or security term. We believe that residential loan credit quality, and thus the quality of our assets, is primarily determined by the borrowers’ credit profiles and loan characteristics.

In connection with loan acquisitions, we or a third party perform an independent review of the mortgage file to assess the origination and servicing of the mortgage loan as well as our ability to enforce the contractual rights in the mortgage. Depending on the size of the loans, we may not review all of the loans in a pool, but rather a sample of loans for diligence review based upon specific risk-based criteria such as property location, loan size, effective LTV ratio, borrower’s characteristics and other criteria we believe to be important indicators of credit risk. Additionally, we obtain representations and warranties from each seller with respect to the residential mortgage loans, including the origination and servicing of the mortgage loan as well as the enforceability of the lien on the mortgaged property. A seller who breaches these representations and warranties in making a loan that we purchase may be obligated to repurchase the loan from us. Our resources include a portfolio management system, as well as third-party software systems. We utilize third-party due diligence firms to perform an independent mortgage loan file review to ensure compliance with existing guidelines. In addition to statistical sampling techniques, we create adverse credit and valuation samples, which we individually review.

Additionally, we closely monitor credit losses incurred, as well as how expectations of credit losses are expected to change on our Non-Agency RMBS and Loans held for investment portfolios. We estimate future credit losses based on historical experience, market trends, current delinquencies as well as expected recoveries. The net present value of these expected credit losses can change, sometimes significantly from period to period as new information becomes available. When credit loss experience and expectations improve, we will collect more principal on our investments. If credit loss experience deteriorates, we will collect less principal on our investments. The favorable or unfavorable changes in credit losses are reflected in the yield on our investments in mortgage loans and recognized in earnings over the remaining life of our investments. The following table presents changes to net present value of expected credit losses for our Non-Agency RMBS and Loans held for investment portfolios during the previous five quarters. Gross losses are discounted at the rate used to amortize any discounts or premiums on our investments into income. A decrease (negative balance) in the "Increase/(decrease)" line item in the tables below represents a favorable change in expected credit losses. An increase (positive balance) in the "Increase/(decrease)" line item in the tables below represents an unfavorable change in expected credit losses.

*(dollars in thousands)*

| Non-Agency RMBS | For the Quarters Ended June 30, 2025 | March 31, 2025 | December 31, 2024 | September 30, 2024 | June 30, 2024 |
| --- | ---: | ---: | ---: | ---: | ---: |
| Balance, beginning of period | $89,065 | $85,305 | $81,368 | $78,366 | $98,035 |
| Realized losses | (1,613) | (1,811) | (1,182) | 534 | (1,940) |
| Accretion | 3,072 | 2,906 | 2,820 | 2,926 | 3,140 |
| Losses on purchases | — | — | — | — | — |
| Losses on sold/paid-off | — | — | 48 | — | (2) |
| Increase/(decrease) | 41 | 2,665 | 2,251 | (458) | (20,867) |
| Balance, end of period | $90,565 | $89,065 | $85,305 | $81,368 | $78,366 |

*(dollars in thousands)*

| Loans held for investment | For the Quarters Ended June 30, 2025 | March 31, 2025 | December 31, 2024 | September 30, 2024 | June 30, 2024 |
| --- | ---: | ---: | ---: | ---: | ---: |
| Balance, beginning of period | $106,961 | $143,228 | $181,895 | $190,675 | $213,050 |
| Realized losses | (7,816) | (3,583) | (6,180) | (6,226) | (8,149) |
| Accretion | 1,439 | 1,087 | 2,584 | 2,703 | 2,964 |
| Losses on purchases | — | — | — | — | — |
| Increase/(decrease) | 2,143 | (33,771) | (35,071) | (5,257) | (17,190) |
| Balance, end of period | $102,727 | $106,961 | $143,228 | $181,895 | $190,675 |

Additionally, the Non-Agency RMBS which we acquire for our portfolio are reviewed by us to ensure that they satisfy our risk-based criteria. Our review of Non-Agency RMBS includes utilizing a portfolio management system. Our review of Non-Agency RMBS and other ABS is based on quantitative and qualitative analysis of the risk-adjusted returns on Non-Agency RMBS and other ABS. This analysis includes an evaluation of the collateral characteristics supporting the RMBS such as borrower payment history, credit profiles, geographic concentrations, credit enhancement, seasoning, and other pertinent factors.

### Interest Rate Risk

Our net interest income, borrowing activities and profitability could be negatively affected by volatility in interest rates caused by uncertainties stemming from the effect of inflation and updated Federal Rate projections in 2024. As the Federal Reserve increases its federal funds rate, the margin between short and long-term rates could further compress. A prolonged period of extremely volatile and unstable market conditions would likely increase our funding costs and negatively affect market risk mitigation strategies. Higher income volatility from changes in interest rates and spreads to benchmark indices could cause a loss of future net interest income and a decrease in the current fair market values of our assets. Fluctuations in interest rates will impact both the level of income and expense recorded on most of our assets and liabilities and the market value of all interest-earning assets and interest-bearing liabilities, which in turn could have a material adverse effect on our net income, operating results, or financial condition.

Interest rate risk is highly sensitive to many factors, including governmental, monetary and tax policies, domestic and international economic and political considerations and other factors beyond our control. We are subject to interest rate risk in connection with our investments and our related debt obligations, which are generally secured financing agreements and securitization trusts. Our secured financing agreements and warehouse facilities may be of limited duration that is periodically refinanced at current market rates. We typically mitigate this risk through utilization of derivative contracts, primarily interest rate swap agreements, swaptions, and futures. 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.

### Interest Rate Effects on Net Interest Income

Our operating results depend, in large part, on differences between the income from our investments and our borrowing costs. Most of our warehouse facilities and secured financing agreements provide financing based on a floating rate of interest calculated on a fixed spread over SOFR. The fixed spread varies depending on the type of underlying asset which collateralizes the financing. During periods of rising interest rates, the borrowing costs associated with our investments tend to increase while the income earned on our investments may remain substantially unchanged or decrease. This will result in a narrowing of the net interest spread between the related assets and borrowings and may even result in losses. Further, defaults could increase and result in credit losses to us, which could adversely affect our liquidity and operating results. Such delinquencies or defaults could also have an adverse effect on the spread between interest-earning assets and interest-bearing liabilities. We generally do not hedge against credit losses. Hedging techniques are partly based on assumed levels of prepayments of our fixed-rate and hybrid adjustable-rate residential mortgage loans and RMBS. If prepayments are slower or faster than assumed, the life of the residential mortgage loans and RMBS will be longer or shorter, which would reduce the effectiveness of any hedging strategies we may use and may cause losses on such transactions.

### Interest Rate Effects on Fair Value

Another component of interest rate risk is the effect changes in interest rates will have on the fair value of the assets we acquire. We face the risk that the fair value of our assets will increase or decrease at different rates than that of our liabilities, including our hedging instruments, if any. We primarily assess our interest rate risk by estimating the duration of our assets compared to the duration of our liabilities and hedges. Duration essentially measures the market price volatility of financial instruments as interest rates change. We generally calculate duration using various financial models and empirical data. Different models and methodologies can produce different duration numbers for the same securities.

It is important to note that the impact of changing interest rates on fair value can change significantly when interest rates change beyond 100 basis points from current levels. Therefore, the volatility in the fair value of our assets could increase significantly when interest rates change beyond 100 basis points. In addition, other factors impact the fair value of our interest rate-sensitive investments and hedging instruments, such as the shape of the yield curve, market expectations as to future interest rate changes and other market conditions. Accordingly, in the event of changes in actual interest rates, the change in the fair value of our assets would likely differ from that shown below and such difference might be material and adverse to our stockholders.

### Interest Rate Cap Risk

We may also invest in adjustable-rate residential mortgage loans and RMBS. These are mortgages or RMBS in which the underlying mortgages are typically subject to periodic and lifetime Interest rate cap and floors, which limit the amount by which the security’s interest yield may change during any given period. However, our borrowing costs pursuant to our financing agreements will not be subject to similar restrictions. Therefore, in a period of increasing interest rates, interest rate costs on our borrowings could increase without limitation by caps, while the interest-rate yields on our adjustable-rate residential mortgage loans and RMBS would effectively be limited. This problem will be magnified to the extent we acquire adjustable-rate RMBS that are not based on mortgages which are fully indexed. In addition, the mortgages or the underlying mortgages in an RMBS may be subject to periodic payment caps that result in some portion of the interest being deferred and added to the principal outstanding. This could result in our receipt of less cash income on our adjustable-rate mortgages or RMBS than we need in order to pay the interest cost on our related borrowings. These factors could lower our net interest income or cause a net loss during periods of rising interest rates, which would harm our financial condition, cash flows and results of operations.

### Interest Rate Mismatch Risk

We fund a substantial portion of the acquisitions of our investments with borrowings that have interest rates based on indices and re-pricing terms similar to, but of somewhat shorter maturities than, the interest rate indices and re-pricing terms of the mortgages and MBS we purchase. In most cases the interest rate indices and re-pricing terms of our mortgage assets and our funding sources will not be identical, thereby creating an interest rate mismatch between assets and liabilities. Our cost of funds would likely rise or fall more quickly than would our earnings rate on assets. During periods of changing interest rates, such interest rate mismatches could negatively impact our financial condition, cash flows and results of operations. To mitigate interest rate mismatches, we may utilize the hedging strategies discussed above. Our analysis of risks is based on our experience, estimates, models and assumptions. These analyses rely on models which utilize estimates of fair value and interest rate sensitivity. Actual economic conditions or implementation of investment decisions by our management may produce results that differ significantly from the estimates and assumptions used in our models and the projected results.

To mitigate potential interest rate mismatches, we have entered into agreements for longer term, non-MTM financing facilities at rates that are higher than short term secured financing agreements. These longer term agreements are primarily on our less liquid Non-Agency RMBS assets. Having non-MTM financing facilities may be useful in this market to prevent significant margin calls or collateral liquidation in a volatile market. If the market normalizes and repurchase rates fall, we may be locked into long term and higher interest expenses than are otherwise available in the market to finance our portfolio.

Our profitability and the value of our investment portfolio including derivatives may be adversely affected during any period as a result of changing interest rates. The following table quantifies the potential changes in net interest income and market value on the assets we retain and derivatives, if interest rates go up or down 50 and 100 basis points, assuming parallel movements in the yield curves. All changes in income and value are measured as percentage changes from the projected net interest income and the value of the assets we retain at the base interest rate scenario. The base interest rate scenario assumes interest rates at June 30, 2025 and various estimates regarding prepayment and all activities are made at each level of rate change. Actual results could differ significantly from these estimates.

| Change in Interest Rate | June 30, 2025 Projected Percentage Change in Net Interest Income (2) | Projected Percentage Change in Market Value (3) |
| --- | ---: | ---: |
| -100 Basis Points | 8.75% | 4.11% |
| -50 Basis Points | 4.59% | 2.08% |
| Base Interest Rate | — | — |
| +50 Basis Points | (4.62)% | (2.07)% |
| +100 Basis Points | (9.34)% | (4.03)% |

(1) The retained securities are securities retained by us from securitization VIEs included in our portfolio and not the consolidated assets and liabilities of the VIEs. Our consolidated statement of financial condition includes assets of consolidated VIEs that can only be used to settle obligations and liabilities of the VIEs for which creditors do not have recourse to us.

(2) Includes preferred stock dividend expense.

(3) Projected Percentage Change in Market Value is based on instantaneous moves in interest rates.

### Prepayment Risk

As we receive prepayments of principal on these investments, premiums and discounts on such investments will be amortized or accreted into interest income. In general, an increase in actual or expected prepayment rates will accelerate the amortization of purchase premiums, thereby reducing the interest income earned on the investments. Conversely, discounts on such investments are accelerated and accreted into interest income, increasing interest income when prepayments increase. Actual prepayment results may be materially different than the assumptions we use for our portfolio.

### Extension Risk

Management computes the projected weighted-average life of our investments based on assumptions regarding the rate at which the borrowers will prepay the underlying mortgages. In general, when fixed-rate or hybrid adjustable-rate residential mortgage loans or RMBS are acquired via borrowings, we may, but are not required to, enter into an interest rate swap agreement or other hedging instrument that attempts to fix our borrowing costs for a period close to the anticipated average life of the fixed-rate portion of the related assets. This strategy is designed to protect us from rising interest rates as the borrowing costs are managed to maintain a net interest spread for the duration of the fixed-rate portion of the related assets. However, if prepayment rates decrease in a rising interest rate environment, the life of the fixed-rate portion of the related assets could extend beyond the term of the swap agreement or other hedging instrument. This could have a negative impact on our results from operations, as borrowing costs would no longer be fixed after the end of the hedging instrument while the income earned on the fixed and hybrid adjustable-rate assets would remain fixed. In extreme situations, we may be forced to sell assets to maintain adequate liquidity, which could cause us to incur losses.

### Basis Risk

We may seek to limit our interest rate risk by hedging portions of our portfolio through interest rate swaps or other types of hedging instruments. Basis risk relates to the risk of the spread between our MBS and hedges widening. Such a widening may cause a decline in the fair value of our MBS that is greater than the increase in fair value of our hedges resulting in a net decline in book value.

### Market Risk

### Market Value Risk

Certain of our securities classified as available-for-sale are reflected at their estimated fair value with unrealized gains and losses excluded from earnings and reported in other comprehensive income. The estimated fair value of these securities fluctuates primarily due to changes in interest rates, prepayment speeds, market liquidity, credit quality, and other factors. Generally, in a rising interest rate environment, the estimated fair value of these securities would be expected to decrease; conversely, in a decreasing interest rate environment, the estimated fair value of these securities would be expected to increase. As market volatility increases or liquidity decreases, the fair value of our investments may be adversely impacted.

### Real Estate Market Risk

We own assets secured by real property and may own real property directly. Residential property values are subject to volatility and may be affected adversely by a number of factors, including, but not limited to, national, regional and local economic conditions and unemployment (which may be adversely affected by industry slowdowns and other factors); local real estate conditions (such as housing supply and demand); changes or continued weakness in specific industry segments; construction quality, age and design; demographic factors; natural disasters and other acts of God; and retroactive changes to building or similar codes. In addition, decreases in property values reduce the value of the collateral and the potential proceeds available to a borrower to repay our loans, which could also cause us to incur losses.

### Risk Management

Subject to maintaining our REIT status, we seek to manage risk exposure to protect our portfolio of residential mortgage loans, RMBS, and other assets and related debt against the effects of major interest rate changes. We generally seek to manage risk by:

- monitoring and adjusting, if necessary, the reset index and interest rate related to our RMBS and our financings;
- attempting to structure our financing agreements to have a range of different maturities, terms, amortizations and interest rate adjustment periods, rights to post both cash and collateral for margin calls and provisions for non-MTM financing facilities;
- using derivatives, financial futures, swaps, options, caps, floors and forward sales to adjust the interest rate sensitivity of our investments and our borrowings;
- using securitization financing to receive the benefit of attractive financing terms for an extended period of time in contrast to short term financing and maturity dates of the investments not included in the securitization; and
- actively managing, through assets selection, on an aggregate basis, the interest rate indices, interest rate adjustment periods, and gross reset margins of our investments and the interest rate indices and adjustment periods of our financings.

Our efforts to manage our assets and liabilities are focused on the timing and magnitude of the re-pricing of assets and liabilities. We attempt to control risks associated with interest rate movements. Methods for evaluating interest rate risk include an analysis of our interest rate sensitivity “gap,” which is the difference between interest-earning assets and interest-bearing liabilities maturing or re-pricing within a given time period. A gap is considered positive when the amount of interest-rate sensitive assets exceeds the amount of interest-rate sensitive liabilities. A gap is considered negative when the amount of interest-rate sensitive liabilities exceeds interest-rate sensitive assets. During a period of rising interest rates, a negative gap would tend to adversely affect net interest income, while a positive gap would tend to result in an increase in net interest income. During a period of falling interest rates, a negative gap would tend to result in an increase in net interest income, while a positive gap would tend to affect net interest income adversely. Because different types of assets and liabilities with the same or similar maturities may react differently to changes in overall market rates or conditions, changes in interest rates may affect net interest income positively or negatively even if an institution were perfectly matched in each maturity category.

The following table sets forth the estimated maturity or re-pricing of our interest-earning assets and interest-bearing liabilities at June 30, 2025. The amounts of assets and liabilities shown within a particular period were determined in accordance with the contractual terms of the assets and liabilities, and securities are included in the period in which their interest rates are first scheduled to adjust and not in the period in which they mature and includes the effect of the interest rate swaps, if any. The interest rate sensitivity of our assets and liabilities in the table could vary substantially based on actual prepayments.

*June 30, 2025*

*(dollars in thousands)*

|  | Within 3 Months | 3-12 Months | 1 Year to 3 Years | Greater than 3 Years | Total |
| --- | ---: | ---: | ---: | ---: | ---: |
| Rate sensitive assets | $1,090,801 | $5,858,437 | $648,409 | $6,749,413 | $14,347,059 |
| Cash equivalents | 250,223 | — | — | — | 250,223 |
| Total rate sensitive assets | $1,341,024 | $5,858,437 | $648,409 | $6,749,413 | $14,597,282 |
| Rate sensitive liabilities | 4,996,601 | 3,729,675 | 554,015 | 2,309,829 | 11,590,120 |
| Interest rate sensitivity gap | $(3,655,577) | $2,128,762 | $94,394 | $4,439,584 | $3,007,162 |
| Cumulative rate sensitivity gap | $(3,655,577) | $(1,526,815) | $(1,432,421) | $3,007,163 |  |
| Cumulative interest rate sensitivity gap as a percentage of total rate sensitive assets | (25)% | (10)% | (10)% | 21% |  |

Our analysis of risks is based on our management’s experience, estimates, models and assumptions. These analyses rely on models which utilize estimates of fair value and interest rate sensitivity. Actual economic conditions or implementation of investment decisions by our management may produce results that differ significantly from the estimates and assumptions used in our models and the projected results shown in the above tables. These analyses contain certain forward-looking statements and are subject to the safe harbor statement set forth under the heading, “Special Note Regarding Forward-Looking Statements.”

### Enterprise Risk Management

We employ a “Three Layers of Defense Approach” to Enterprise Risk Management designed to assess and manage risk to achieve our strategic goals. The “First Layer of Defense” consists of assessing key risks indicators facing each respective business unit within the Company. Our risk management unit is an independent group that acts as the “Second Layer of Defense”. The risk management unit partners with various business units to understand, monitor, manage and escalate risks as appropriate. The financial reporting unit operates under the requirements of the Sarbanes Oxley. The “Third Layer of Defense” consists of many of our internal controls which are subject to an independent evaluation by our third-party internal auditors. As an independent third party, the mandate of the internal auditor is to objectively assess the adequacy and effectiveness of our internal control environment to improve risk management, control and governance processes. Periodic reporting from the risk management unit is provided to executive management and to the Audit Committee of the Board of Directors.

### Cybersecurity Risk

Our cybersecurity risk management and strategy is incorporated into our Enterprise Risk Management process. Our Board of Directors, in coordination with the Audit Committee and the Risk Committee, oversees management of cybersecurity risk. Please refer to Item 1C, “Cybersecurity” in our Annual Report on Form 10-K for the year ended December 31, 2024 for additional information about our cybersecurity risk management, strategy and governance.

### Business Continuity Plan

Our Business Continuity Plan is prepared with the intent of providing guidelines to facilitate (i) employee safety and relocation; (ii) preparedness for carrying out activities and receiving communication; (iii) resumption and restoration of systems and business processes and (iv) the protection and integrity of the Company’s assets.

Our Business Continuity Plan is designed to facilitate business process resilience in a broad range of scenarios with a dedicated Disaster Recovery Team which is comprised of executive management, head of technology, and professionals across our various business units. Our Business Continuity Plan identifies the critical systems and processes necessary for business operations as well as the resources, employees, and planning needed to support these systems and processes. Critical systems and processes are defined as those which have a material impact on core operations, financial performance, or regulatory requirements. This includes applications which facilitate financial transactions, transaction settlements, financial reporting, and business communication and the personnel who perform such actions. Our Business Continuity Plan provides guidelines to aid in the timely resumption of business operations and for communication with employees, service providers and other key stakeholders needed to support these operations. Our Business Continuity Plan is a "living process" that will evolve with the input and guidance of the key stakeholders, subject matter experts and industry best practices and is reviewed and updated at least annually.

## Controls and procedures

As filed, 1,312 characters.

### (a) Evaluation of Disclosure Controls and Procedures

As of the end of the period covered by this report, an evaluation of the effectiveness of the design and operation of the Company’s disclosure controls and procedures (as defined in Rule 13a-15(e) under the Exchange Act) was performed under the supervision and with the participation of the Company’s senior management, including the Chief Executive Officer and the Chief Financial Officer. Based on that evaluation, the Company’s management, including the Chief Executive Officer and the Chief Financial Officer, concluded that the Company’s disclosure controls and procedures were effective as of the end of the period covered by this report.

### (b) Changes in Internal Control over Financial Reporting

As required by Rule 13a-15(d) under the Securities Exchange Act of 1934, the Company’s management, including its Chief Executive Officer and the Chief Financial Officer, has evaluated the Company’s internal control over financial reporting to determine whether any changes occurred during the period covered by this quarterly report that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting. Based on that evaluation, there has been no such changes, during the second quarter of 2025.

## Risk factors

As filed, 2,009 characters.

*We are supplementing the risk factors described under “Item 1A. Risk Factors” in our Annual Report on Form 10-K for the year ended December 31, 2024 (“2024 Form 10-K”), with the additional risk factors set forth below. These supplemental risk factors should be read in conjunction with the other risk factors described in the 2024 Form 10-K.*

***Completion of the HomeXpress Acquisition remains subject to conditions and we may fail to realize the expected benefits of the HomeXpress Acquisition.***

The HomeXpress Acquisition is subject to various customary closing conditions. There is no assurance that these closing conditions will be satisfied in a timely manner or at all. If the HomeXpress Acquisition is not completed within the expected timeframe, such delay may materially and adversely affect the benefits that we may expect to achieve as a result of the HomeXpress Acquisition and could result in additional transaction costs or other effects associated with the uncertainty.

In addition, we may be required to devote significant attention and resources to successfully integrate HomeXpress’ operations into our existing business. This integration process may disrupt our business and, if ineffective, would limit the anticipated benefits of the HomeXpress Acquisition. Failure to achieve the anticipated benefits of the HomeXpress Acquisition could adversely affect our results of operations.

***We have incurred, and may continue to incur, substantial expenses related to the HomeXpress Acquisition.***

We have incurred substantial legal, accounting, financial advisory and other costs in connection with the HomeXpress Acquisition. We may incur significant additional costs in connection with the completion of the HomeXpress. There are a number of factors beyond our control that could affect the total amount or the timing of the transaction and integration expenses. Many of the expenses that will be incurred are, by their nature, difficult to estimate accurately at the present time.

Filed Aug 6, 2025.
Source: SEC EDGAR, the filing index for accession 0001628280-25-038345. Last ingested by Listed: Oct 30, 2026, 11:29 ET. No prices; not investment advice.