Slides
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1 Second Quarter 2026 Earnings Presentation Monday, July 20, 2026
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22 Safe Harbor Statement NOTE: This presentation contains certain statements that are not historical facts and that constitute “forward-looking statements” within the meaning of the Private Securities Litigation Reform Act of 1995. Statements in this presentation addressing expectations, assumptions, beliefs, projections, estimates, future plans, strategies, and events, developments that we expect or anticipate will occur in the future, and future operating results or financial condition are forward-looking statements. Forward-looking statements in this presentation may include, but are not limited to, our ability to find suitable reinvestment opportunities; changes in domestic economic conditions; geopolitical events and instability, including the conflict in the Middle East, and the related impacts on macroeconomic conditions as a result of such related uncertainty; tariffs that the U.S. imposes on trading partners or tariffs imposed on the U.S. from trading partners, including the legality of any such tariff measures; global and domestic government policy changes and the ability or inability to react to rapidly changing economic policies; changes in interest rates and credit spreads, including the repricing of interest-earning assets and interest-bearing liabilities; Company’s investment portfolio performance particularly as it relates to cash flow, prepayment rates, and credit performance;the impact on markets and asset prices from changes in the Federal Reserve’s policies regarding the purchases of Agency residential mortgage-backed securities ("Agency RMBS"), Agency commercial mortgage-backed securities ("Agency CMBS"), and U.S. Treasuries; actual or anticipated changes in Federal Reserve monetary policy or the monetary policy of other central banks; adverse reactions in U.S. financial markets related to actions of foreign central banks or the economic performance of foreign economies, including in particular the People's Republic of China, Japan, the European Union, and the United Kingdom; the cost and availability of financing, including the future availability of financing due to changes to regulation of, and capital requirements imposed upon, financial institutions; cost and availability of new equity capital; changes in the Company’s leverage and use of leverage; changes to the Company’s investment strategy, operating policies, dividend policy, or asset allocations; quality ofperformance of third-party service providers, including the Company’s sole third- party service provider for our critical operations and trade functions; the loss, unavailability, or security of the Company’s third-party service providers’ service and technology that support critical functions of the Company’s business, including those related to the Company’s trading and borrowing activities due to outages, interruptions, or other failures; the level of defaults by borrowers on loans underlying MBS; changes in the Company’s industry; increased competition; changes in government regulations affecting the Company’s business;changes or volatility in the repurchase agreement financing markets and other credit markets; changes to the market for interest rate swaps and other derivative instruments, including changes to margin requirements on derivative instruments; uncertainty regarding continued government support of the U.S. financial system and U.S. housing and real estate markets, or to reform the U.S. housing finance system including the resolution of the conservatorship of Fannie Mae and Freddie Mac; the composition of the Board of Governors of the Federal Reserve; the political environment in the U.S.; systemsfailures or cybersecurity incidents; and exposure to current and future claims and litigation. Not all of these risks, uncertainties, and other factors are known to us. New risks and uncertainties arise over time, and it is not possible to predict those risks or uncertainties or how they may affect us. The projections, assumptions, expectations, or beliefs upon which the forward-looking statements are based can also change as a result of these risks and uncertainties or other factors. If such a risk, uncertainty, or other factor materializes in future periods, our business, financial condition, liquidity, and results of operations may differ materially from those expressed or implied in our forward-looking statements. While it is not possible to identify all factors, some of the factors that may cause actual results to differ from historical results or from any results expressed or implied by our forward-looking statements, or that may cause our projections, assumptions, expectations or beliefs to change, include the risks and uncertainties referenced in our Annual Report on Form 10-K for the year ended December 31, 2025 and subsequent filings with the Securities and Exchange Commission, particularly those set forth under the caption “Risk Factors.” The Company assumes no obligation to update any forward-looking statements, which speak only as of the date of this presentation. This presentation includes certain adjusted financial measures defined as non-GAAP financial measures under Securities and Exchange Commission rules, which we believe provide useful information to investors as a supplement to our operating results presented in accordance with generally accepted accounting principles, or U.S. GAAP. The presentation of such information is not intended to be considered in isolation or as a substitute for, or superior to, the financial information prepared and presented in accordance with U.S.GAAP. Additional information relating to certain of our financial measures contained herein, including non-GAAP financial measures, is available in the "Supplemental Financials" section of this presentation and our most recent earnings release, available on our website at www.dynexcapital.com.
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3 ~16% Annualized Common Stock Dividend Yield $3.1B Market Capitalization Source: Bloomberg or Company data as of June 30, 2026
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4 We employ a global, top-down macroeconomic approach that informs our disciplined risk management – driving and protecting investor value across market cycles. This process involves: Dynex’s Strategy Delivers Strong Returns Macroeconomic Insight – A global view and perspective of monetary and fiscal policies, assessing evolving scenarios to inform decisions Advanced Investment Analysis – A multifaceted approach combining fundamentals, technicals, and psychology to evaluate returns and supply/demand dynamics Proven Financing & Hedging Expertise – Decades of industry relationships, supported by rigorous sensitivity analyses of credit, interest rates, liquidity, and market values Preparation for Decision Making – Disciplined processes creating resilient teams prepared to navigate volatile conditions and drive informed choices across all market environments Disciplined Risk Management – Interest rate, credit, prepayment, and liquidity risks to safeguard consistent performance Regulatory Savvy – A strategic grasp of rules, competition, and financing availability to optimize asset opportunities 4
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5 $0.17 Monthly Dividend Per Common Share ~15.6% Annualized Common Stock Dividend Yield What We Do Dynex generates dividend income and long-term total returns through the financing of real estate mortgage assets, and by doing so supports the growth and revitalization of communities in the United States. DYNEX BY THE NUMBERS 608% Total Shareholder Return Since Inception $27.6B Total Investment Portfolio $3.1B Market Capitalization A Differentiated Mortgage Investment Strategy Delivering Consistent, Monthly Dividends Source: Bloomberg or Company data as of June 30, 2026. Market capitalization based upon common shares outstanding of 237,414,259 as of June 30, 2026. Total Investment Portfolio based on fair value of portfolio inclusive of TBAs. $27.6B Total Investment Portfolio $3.1B Market Capitalization ~15.6% Annualized Common Stock Dividend Yield
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6 Returns have consistently outperformed the REM (iShares Mortgage Real Estate ETF) Source: Bloomberg data as of June 30, 2026. 'Cumulative Total Shareholder Returns' assumes dividends are reinvested in the respective security. Note: Agency mREITS include: NLY, AGNC, ARR, IVR, ORC on an equal weight basis. Hybrid mREITS include EFC, PMT, CIM, MFA, ADAM, RITM, MITT on an equal weight basis. 5-Year Track Record of Industry Leading Returns Cumulative Total Shareholder Returns
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7 Portfolio Growth Market Capitalization Growth(1) ($s in billions) ($s in billions) ~5x GROW TH Disciplined capital deployment and favorable market opportunities have fueled portfolio expansion and market capitalization growth ~5x GROW TH Source: Company data as of June 30, 2026. For annual periods, data represents information as of year-end for the period presented. (1) June 30, 2026 market capitalization based upon DX common shares outstanding of 237,414,259 as of June 30, 2026. 5x Growth with Strategic Capital Management
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8 The Dynex Value Creation Cycle A favorable investment backdrop, efficient capital raising, and Dynex's differentiated platform combine to drive long- term shareholder value Note: Views on this page represent management’s views and actual results may differ materially.
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9 Second Quarter 2026 Performance
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10 Q2’26 Earnings Summary Q2'26 Q1'26 Book Value per common share $12.90 $12.60 Total Economic Return (Loss)(1) 6.4% (2.5)% Dividend per common share $0.51 $0.51 Investments as of Period-End inclusive of Agency RMBS TBAs $27.6B $24.8B Leverage(2) 8.1x 8.6x Comprehensive Income (Loss) per common share $0.80 $(0.42) Quarterly Performance Highlights $27.6B Source: Company data as of June 30, 2026. (1) Equals sum of dividend declared per common share during the quarter plus the change in book value per common share during the quarter divided by beginning book value per common share. (2) Leverage equals the sum of (i) total liabilities plus (ii) amortized cost basis of TBA long positions divided by total shareholders' equity.
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11 Source: Company data as of and for the periods indicated. (1) Interest income includes amounts earned from cash equivalents. (2) Amounts are subject to change as they represent estimates for amortization of deferred tax hedge gains as of June 30, 2026 that are expected to be distributable as REIT taxable income for the periods presented, but which were recognized in GAAP earnings in prior periods. (3) Economic net interest income, a non-GAAP measure, is reconciled to GAAP measures on slide 30. Selected Components of Portfolio Returns (excluding mark-to-market) Interest Income(1) Amortization of Deferred Tax Hedge Gains(2) Interest Expense Economic Net Interest Income(3) Interest income continues to increase as higher yielding assets have been added to the portfolio and financing costs continue to trend down. Hedges continue to be supportive of portfolio returns
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12 Portfolio Resilience and Construction • 99% agency MBS, the portfolio is intentionally built for durable income, prepayment resilience, and flexibility to deploy capital when volatility creates attractive mortgage spread opportunities • Broad coupon exposure creates multiple sources of income, optionality, and relative value while managing prepayment uncertainty • Specified pools and seasoned securities emphasize cash-flow stability and flexibility over full mortgage cycles Q2’26 Q1’26 Source: Company data as of June 30, 2026 unless otherwise noted. Agency Coupon Composition Specified Pools / TBA Composition
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13 Macro Dynamics, Positioning & Strategy
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14 • Shifting geopolitical and economic priorities which focus on domestic interests are reshaping global trade, capital flows, and supply chains • Conflict is manifested across many dimensions including cyber technology and physical warfare • The consequences can be greater instability and periodic volatility, creating opportunities for disciplined investors to deploy capital Key Macroeconomic Themes Note: Views on this page represent management’s views and actual results may differ materially. (1) Source: UN World Population Prospects 2024 (medium-variant projections); 2025 estimates via World Bank / UN. (2) Source: IMF World Economic Outlook / Global Debt Database. General government gross debt. Japan's ratio is sensitive to GDP revisions (recent IMF vintages ~205–235%). Policy decisions are increasingly shaping the investment landscape across each of these macroeconomic themes Global Power Dynamics Technology Demographics • The magnitude, speed and pervasiveness of innovation, investment and adoption of AI capabilities is a significant economic driver with broad implications for the global economy • The timing of these impacts is currently uncertain but critically important to policymaking across defense, trade, monetary and fiscal dimensions • Persistent global demographic trends continue to support the demand for income and our overall business model • Housing demand continues to be shaped by millennial and Gen Z household formation • Housing affordability remains a persistent challenge with no near-term solution • Meaningful progress will likely require long-term investment, expanded housing supply, and coordinated action across federal, state, and local stakeholders Fed Policy Fiscal Policy Regulatory Policy • Persistent fiscal deficits in the US remain an important long-term consideration with implications for interest rates, future policy flexibility and assessment of returns • Rising global government borrowing needs due to shifting global power dynamics, defense-oriented spending also put upward pressure on global interest rates • Fed Chair Warsh has launched a comprehensive review of Fed policy tools, data, communications, and the balance sheet. • Key areas of focus include forward guidance and balance sheet policy, with changes likely unfolding over time. • Near term, a focus for the Fed will be balancing energy-driven inflation pressures against labor market health and AI-related economic impacts Developed Economies are Aging Rapidly(1) G7 Government Debt Keeps Climbing(2) • Lighter regulation from revised Basel III rules can serve as a tailwind for increased liquidity into the system • With the 2026 midterm US elections approaching, we are closely monitoring the potential for shifts in policy priorities or legislative gridlock • AI and technology government policy is increasingly relevant for global security and business resilience planning
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15 Mortgage Spreads: Persistent Opportunity Structural demand has historically supported tighter mortgage spreads; today's market is increasingly supported by private capital and renewed GSE demand History Periods supported by durable sources of agency MBS demand have historically coincided with tighter mortgage spread regimes Implication for Dynex Current spread levels continue to support attractive projected returns, while improving technicals may create potential for further appreciation over time Note: Views on this page represent management’s views and actual results may differ materially. (1) Source: Bloomberg. Secondary mortgage market yield less interpolated 7-year swap adjusted for Libor/SOFR difference. Mortgage Spreads Over Time(1) ‘93-’02: GSE Portfolio Expansion Regime 2026 $200bn GSE Buy Program Launched ‘09-’14: Fed Balance Sheet Expansion Historical periods of structural demand / sustained buyers of Agency MBS '20-'22 Fed Agency MBS Purchase Program
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16 Fundamentals • Slow Housing – We do not expect a material pickup in activity until primary rates fall below 5.5% • Stretched Affordability – Rate relief appears unlikely near-term against backdrop of inflation risks. Removing supply constraints requires coordination with state and local governments • Innovation – Mortgage bankers consolidate and leverage technology to help borrowers extract equity and refi to lower rates as soon as available • Focused Refis – Refi response expected to be high for concentrated segment of high-rate, easily refinanced loans; other segments offer more muted response Psychology • Fed Policy Impacts MBS Spreads - The Fed likely to balance short term inflation, financial conditions and longer-term economic factors. MBS spreads adjust to the market’s expectation of Fed actions • Fully Priced Credit – Broader credit markets (Corps, ABS) still price little margin for economic slowdown risks, and continued AI build-out funding needs are driving supply to record highs. MBS spreads appear cheap in this context Policy • Mid-Term Elections – Policy risks could increase into midterm elections with a desire to address housing affordability with headline grabbing announcements. Given current benchmark rates, there are limited tools to drive affordability in the near-term • Return of Banks – Lighter bank regulation and possibility for hedge accounting to be extended to held-to-maturity portfolios offers potential tailwinds for both MBS demand and funding Technicals • Low Supply– 2026 net issuance running below 2025 and most original estimates for 2026 (see right hand chart below) • Supportive Fund Flows– Strong money market, bond fund and annuity flows continue to supportMBS demand and financing (see left hand chart below) • Evolving GSE Balance Sheets– Relative value minded GSE activity serving as a backstop for MBS spreads, limiting material widening • Broad Coupon Stack – A broad range of investable coupons (from 2.0s to 6.5s) supports active relative value positioning and diversified portfolio construction across a range of interest rate environments Agency RMBS: Solid Fundamentals, Strong Technicals Agency MBS Net Supply is Low(2)Bond Funds and Annuities Flows Remain Elevated(1) Note: Views on this page represent management’s views and actual results may differ materially. (1) Source: Bloomberg. (2) Source: JP Morgan Research. Near-term policy directives appear likely to support Agency RMBS as long-term regulatory regime eases costs for private capital to own MBS
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17 Fundamentals • Demand for Multifamily (MF) – High prices and low affordability for single-family support demand for apartments • Supply Pressures – RecentMF supply continues to impact rent growth and occupancy levels. These pressures are expected to abate over time • Structural Office Headwinds – Older commodity office product remains challenged, while trophy assets continue tooutperform • Inflation & Rates – Higher rates have affected financing costs and property values, while inflation has pressured properties' operating expenses • Elevated Delinquencies & Special-Servicing – These balances remain elevated even as servicers work out troubled loans Psychology • Supportive Fiscal and Monetary Policies have helped sustain the CRE recovery, but a "higher for longer" approach by the Fed could weaken investor sentiment • Low Refi Fear – Upcoming loan maturities are slightly less concerning giventhe strong economy andlenders’ willingness to modify loans Policy • GSE MBS Purchases have helped push Agency CMBS spreads tighter in concert with RMBS • Housing Regulation – Potential housing regulation has the potential to drive future supply, rents levels, as well as overall investor demand and economics Technicals • Higher Issuance – 2026 issuance is running ahead of prior year, driven by single asset / borrower deals, CRE CLOs and ACMBS • Broad Demand – Overall demand remains broad based as evidenced by strong fixed income fund flows. Bank participation in Agency CMBS has rebounded • Elevated Spreads & Supportive Backdrop – Relatively high all-in yields and a strong technical backdrop have generally kept spreads well supported Hedging with swaps adds to stable returns CMBS: Diversification and Durable Income Apartments Monthly Effective Rent Continues to Rise, Reflecting Continued Demand for Rental Housing Note: Views on this page represent management’s views and actual results may differ materially. (1) Based on Apartments Real Estate Monthly Effective Rents ($)-US Metro Total. Source: Bloomberg, Moody’s CRE.
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18 Fundamentals • Interest rate movements across the curve are correlating with short term fluctuations in oil prices, especially the front end of the yield curve • Uncertain Yields in Intermediate Term – Growth, inflation and labor market dynamics amid AI revolution offer uncertainty, making hedging an essential part of generating long-term returns • Attractive Swap Yields – SOFR swap yields are below Treasury yields by 15-65 bps, offering additional yield spread investors could capture over time Psychology • Bearish Sentiment has pervaded with the front end now pricing potential rate hikes in late ’26 and ’27. Long end yields are reflecting higher term premium - “real” rates moved higher over the quarter • Implied Volatility – Options prices are lower, reflecting lower realized moves in interest rates (see right hand chart below) Policy • Near-Term Fed Policy – Potentially tighter range of outcomes for Fed policy rate, as Chair Warsh’s committees take time to establish new regime • Central Clearing Mandates – Amid other regulatory changes, mandating central clearing are expected to free up bank balance sheets to own and hedge assets • FASB Accounting Changes – New proposal would allow banks to apply hedge accounting to held-to-maturity securities, potentially increasing their demand for pay- fixed interest rate swaps Technicals • Deep Liquidity – UST futures market is among the deepest, most liquid markets in the world, with 24X5 trading • Rate Trends – Overall rates have been pressured higher following oil price volatility • Swap Spread Trends – UST debt issuance continues to be a factor keeping swap spreads negative. Swap spreads moved modestly wider (less negative) during the quarter and tend to correlate with risk assets (see left hand chart below) Hedging: Managing Risk Across Market Environments Implied Volatility Trends Lower as Realized Volatility Remains Muted(2)Swap Spreads Offer Yield Advantage(1) Hedging with Treasury futures and interest rate swaps allows us to mitigate interest rate risk Note: Views on this page represent management’s views and actual results may differ materially. (1) Source: Bloomberg data as of June 30, 2026. (2) Source: JP Morgan Research.
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19 Fundamentals • Evolving Economic Data – Global markets are waiting for resolution of conflict with Iran and what the impacts on both inflation and growth will be from the oil supply shock • Standing Repo – Fed facility continues to support market liquidity; record usage at year-end suggests stigma might be declining Psychology • Fundamental and Technical Factors - Overall, the repo market tone remains stable, with pricing and flow dynamics suggesting orderly conditions • Reporting Periods - Month-end trades continue to clear with modest premiums, with both advance and actual quarter-end turns showing limited pressure and a calm market tone • SOFR Trading Range – Excluding modest quarter-end widening, SOFR’s monthly range has narrowed from roughly 18 bps to under 10bps, reflecting the Fed’s Reserve Management Purchases ("RMPs") and supply-demand technicals keeping rates in a tighter band, contributing to more stable repo rates on Agency MBS (see right hand chart below) Policy • Federal Reserve Support – The Fed remains a net supplier of reserves through both RMPs and reinvestment activity. RMPs have been reduced from $40B/month to $10B/month and combined with Fed standing repo operations, continue to add roughly $25–30B per month of liquidity, helping support stable repo market conditions and limiting reserve scarcity concerns • Potential Regulatory Changes – Proposed Basel III regulatory adjustments hare expected to enhance the environment for banks, fostering stability in the repo market and potentially mitigating volatility Technicals • Growing Money Market Funds – Over the past two years, money market fund assets grew from roughly $6.2tr to $8.3tr, deepening the demand base that supports repo funding (see left hand chart below) • GSE Cash remains a steady and predictable source of liquidity, arriving at regular intervals throughout the month, aiding liquidity and softening rates • Seasonal Treasury Technicals - Net bill paydowns during the period contributed to softer quarterly funding conditions, as the reduction in bill collateral created scarcity while continued cash demand kept repo rates low Funding availability remains strong Funding: Stable Liquidity & Favorable Funding Conditions Benchmark Funding Rate Range has Tightened in 2026(2) Money Market Funds Asset Balances Push Towards $8Tr(1) Note: Views on this page represent management’s views and actual results may differ materially. (1) Source: Bloomberg, ICI Investment Company. (2) Source: Federal Reserve / NY Fed via FRED (SOFR percentiles); monthly high/low and average, illustrative.
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20 We Deliver Value We are unwavering in our commitment to deliver lasting value. Our focus on long-term performance underpins every decision, driving results for our stakeholders. Our Core Values Guide Us We Are Curious We continuously challenge the status quo and explore the unknown, embracing the idea of preparing, not predicting. Our comfort with uncertainty spurs open-mindedness, which strengthens our team. By embracing feedback and remaining adaptable, we position ourselves to thrive in a dynamic financial landscape. We Build Trust We earn trust by acting with integrity, fostering a stewardship mindset and demonstrating transparency. We extend it by empowering each other to succeed. We trust in our team’s capabilities and principles, knowing that trustworthiness is both our strength and responsibility. We Are Kind We have genuine regard for others' well-being, expressed through empathy, patience, and respect. By honoring the inherent worth of all, we build a culture rooted in mutual regard and shared purpose. We embrace kindness even in challenging situations to create a culture where collaboration and excellence can thrive. These values keep us grounded and allow us to sustain our high-performance culture while consistently generating attractive, long-term returns
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21 Supplemental Financials
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22 Capital Structure Common Stock Series C Preferred Stock NYSE Ticker DX DX PRC Shares Outstanding 237.4 million 4.5 million Book Value per common share $12.90 — Second Quarter 2026 Dividends Declared per common share $0.51 $0.59 Annualized Dividend Yield 15.6% 9.2% Share Price $13.11 $25.86 Market Capitalization $3.1 billion — Par Value of Preferred — $111.5 million Note: Data as of June 30, 2026.
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23 (1) Includes $9 million par value of 4.5% 15-year Agency RMBS. (2) Includes $440 million notional value of 4.5% 15-year TBA securities. (3) Not applicable to TBA securities. (4) Market yield represents the projected yield calculated using cash flows generated off the forward curve based on market prices as of the end of the period and assuming zero volatility. (5) 3-month CPRs exclude recent purchases of securities which do not have a prepayment history. RMBS Portfolio Details (as of June 30, 2026) ($ in thousands) Par/Notional Value Amortized Cost (%) (3) Fair Value Fair Value (%) % of Total Portfolio WAVG Pay up to TBA (3) Unamortized Premium Balance (3) Market Yield (4) 3-month WAVG Yield (3) 3-month CPR (3) (5) Agency RMBS Pools: 2.0% coupon $ 1,655,060 88.6 % $ 1,341,563 81.1 % 4.9 % 1.09 $ (188,047) 4.90% 3.33% 5.1 % 2.5% coupon 748,519 97.4 % 637,192 85.1 % 2.3 % 1.43 (19,602) 4.88% 2.48% 6.4 % 4.0% coupon 1,122,540 94.9 % 1,057,493 94.2 % 3.8 % 0.61 (57,501) 4.93% 4.15% 5.6 % 4.5% coupon (1) 2,219,150 96.8 % 2,146,620 96.7 % 7.8 % 0.72 (71,475) 5.02% 4.99% 6.5 % 5.0% coupon 8,017,356 99.4 % 7,942,615 99.1 % 28.8 % 0.68 (47,485) 5.14% 5.11% 6.9 % 5.5% coupon 8,921,868 101.2 % 9,027,526 101.2 % 32.7 % 0.77 106,203 5.28% 5.27% 10.5 % 6.0% coupon 1,418,680 102.9 % 1,460,687 103.0 % 5.3 % 0.74 40,726 5.31% 5.21% 17.3 % Total Agency RMBS Pools: $ 24,103,173 99.0 % $ 23,613,696 98.0 % 85.6 % 0.77 $ (237,181) 5.16 % 4.98 % 8.7 % Agency RMBS TBA: 4.0% coupon 12,000 - 11,231 93.6 % — % - - 4.89 % - - 4.5% coupon (2) 1,075,000 - 1,044,581 97.2 % 3.8 % - - 4.91 % - - 5.0% coupon 873,000 - 858,950 98.4 % 3.1 % - - 5.23 % - - 5.5% coupon 600,000 - 602,531 100.4 % 2.2 % - - 5.41 % - - Total Agency RMBS TBA: $ 2,560,000 - $ 2,517,293 98.3 % 9.1 % - - 5.14 % - - Total Agency RMBS: $ 26,663,173 $ 26,130,989 98.0 % 94.7 % 5.15 %
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24 CMBS and CMBS IO Portfolio Details (as of June 30, 2026) ($ in thousands) Amortized Cost Fair Value % of Total Portfolio Portfolio Characteristics Financing Details WAVG Life Remaining (1) 3-month WAVG Yield WAVG Market Yield (2) Repo Outstanding Equity Invested Agency CMBS $ 1,387,141 $ 1,377,163 5.0 % 5.7 4.26 % 4.47 % $ 1,215,694 $ 161,469 CMBS IO 75,970 75,338 0.3 % 4.4 8.70 % 6.86 % 68,011 7,327 Total $ 1,463,111 $ 1,452,501 5.3 % 5.6 4.52 % 4.61 % $ 1,283,705 $ 168,796 (1) Represents the weighted average life remaining in years based on contractual cash flows as of the dates indicated. (2) Represents the weighted average market yield projected using cash flows generated off the forward curve based on market prices as of the dates indicated and assuming zero volatility.
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25 Source: Company models based on modeled option adjusted duration. Includes changes in market value of our investments, including TBA securities, and derivative instruments used to hedge interest rate risk. The estimated changes in the Interest Rate Sensitivity tables incorporate duration and convexity inherent in our investment portfolio as it existed as of the dates indicated. Percentage changes assume no change in market credit spreads. Risk Position - Interest Rate and Spread Sensitivity (1) Incorporates a 20-basis point shift in option-adjusted spread of Agency RMBS/CMBS and a 50- basis point shift in CMBS IO. Interest Rate Sensitivity to Instantaneous Shocks Spread Sensitivity to Instantaneous Shocks Percentage Change in Common Shareholders’ Equity Change in Spreads (bps) As of June 30, 2026 As of March 31, 2026 '+20/+50 (1) (9.2)% (10.1)% +10 (4.6)% (5.0)% -10 4.6% 5.0% '-20/-50 (1) 9.2% 10.1% Parallel Curve Shift (bps) Percentage Change in Common Shareholders’ Equity As of June 30, 2026 As of March 31, 2026 +100 (9.4)% (11.5)% +50 (3.5)% (4.6)% -50 (0.8)% 0.1% -100 (6.9)% (5.7)% Curve Shift Percentage Change in Common Shareholders’ Equity 2 year Treasury (bps) 10 year Treasury (bps) As of June 30, 2026 As of March 31, 2026 Bear Steepener +25 +50 (2.8)% (3.7)% +50 +100 (8.1)% (10.1)% Bear Flattener +50 +25 (2.2)% (2.8)% +100 +50 (5.1)% (6.4)% Bull Steepener -50 -25 0.9% 1.4% -100 -50 0.2% 1.2% Bull Flattener -25 -50 (1.5)% (0.7)% -50 -100 (8.2)% (7.1)%
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26 Our hedge strategy is constructed to protect and optimize portfolio performance under various rate scenarios. Hedge Position Changes June 30, 2026 March 31, 2026 ($ in thousands) Notional Amount WAVG Fixed Pay Rate Notional Amount WAVG Fixed Pay Rate 5-year U.S. Treasury futures $ (750,000) n/a $ — n/a 10-year U.S. Treasury futures (2,516,500) n/a (1,917,500) n/a 30-year U.S. Treasury futures (991,800) n/a (1,231,600) n/a 3-5 year interest rate swaps 4,375,000 3.45% 4,400,000 3.43% 5-7 year interest rate swaps 4,060,000 3.65% 4,060,000 3.65% 7-10 year interest rate swaps 5,065,000 3.86% 4,120,000 3.85% 15-20 year interest rate swaps 590,000 4.40% — —% June 30, 2026 March 31, 2026 ($s in thousands) Notional Amount Average Fixed Receive Rate Instrument Type Notional Amount Average Fixed Receive Rate Instrument Type 1-2 year interest rate swaption $ 750,000 3.25% 5 year SOFR- based swap $ 750,000 3.25% 5 year SOFR- based swap 3-month options on U.S. Treasury futures — n/a 10-year U.S. Treasury future — n/a 10-year U.S. Treasury future
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27 Funding Strategy (as of June 30, 2026) Collateral Type Balance ($s in thousands) Weighted Average Rate Fair Value of MBS Pledged as Collateral ($s in thousands) Agency RMBS $21,361,037 3.78 % $22,331,019 Agency CMBS 1,215,694 3.79 % 1,267,413 Agency CMBS IO 68,011 4.17 % 71,321 Total $22,644,742 3.79 % $23,669,753 Remaining Term to Maturity Balance ($s in thousands) Percentage Weighted Average Original Term to Maturity < 30 days $9,949,865 44% 76 30 to 90 days 9,852,555 44% 91 91 to 180 days 2,842,322 12% 181 Total $22,644,742 100% 96 Balancing and Diversifying Risk During the quarter, we were active with over 25 counterparties with maximum equity at risk no greater than 10% with any one counterparty. We continuously monitor FOMC meetings closely to optimize our funding.
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28 Comprehensive Income For the Quarter Ended For the Year Ended June 30, 2026 March 31, 2026 June 30, 2026 ($ in thousands, except per share amounts) Income (Expense) Per Common Share* Income (Expense) Per Common Share* Income (Expense) Per Common Share* Interest income $ 302,751 $ 1.36 $ 257,390 $ 1.29 $ 560,141 $ 2.65 Interest expense (208,968) (0.94) (178,136) (0.89) (387,104) (1.83) Net interest Income 93,783 0.42 79,254 0.40 173,037 0.82 Realized gain on sale of investments, net — — 8,721 0.04 8,721 0.04 Unrealized loss on investments, net (25,622) (0.12) (251,811) (1.26) (277,433) (1.31) Gain on derivative instruments, net 128,845 0.58 104,727 0.52 233,572 1.11 Total gains (losses), net 103,223 0.46 (138,363) (0.70) (35,140) (0.17) General and administrative expenses (15,206) (0.07) (20,478) (0.10) (35,685) (0.17) Other operating expenses (1,007) — (775) — (1,783) (0.01) Net income (loss) 180,793 0.81 (80,362) (0.40) 100,429 0.48 Preferred stock dividends (2,650) (0.01) (2,658) (0.01) (5,307) (0.03) Net income (loss) to common shareholders 178,143 0.80 (83,020) (0.41) 95,122 0.45 Net unrealized loss on AFS investments (865) — (148) — (1,013) — Comprehensive income (loss) to common shareholders $ 177,278 $ 0.80 $ (83,168) $ (0.42) $ 94,109 $ 0.45 *Amounts may not foot due to rounding of $s presented in ‘000s.
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29 (1) Amounts represent total shareholders' equity less the aggregate liquidation preference of the Company's preferred stock of $111,500. (2) Net proceeds from common stock issuances include $391 million from ATM issuances and $1 million from amortization of share-based compensation, net of grants. Book Value Rollforward - Quarter Ended June 30, 2026 ($ in thousands) Common Equity Common equity, beginning of period (1) $ 2,609,770 Net interest income $ 93,783 Net periodic interest from interest rate swaps 542 Operating expenses (16,213) Preferred stock dividends (2,650) Changes in fair value: MBS and loans $ (26,487) TBAs (19,229) U.S. Treasury futures 16,568 Interest rate swaps 135,239 Interest rate swaptions (4,275) Total net change in fair value 101,816 Comprehensive income to common shareholders 177,278 Capital transactions: Net proceeds from stock issuance (2) 392,295 Common dividends declared (115,776) Common equity, end of period (1) $ 3,063,567
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30 (1) Please refer to "Non-GAAP Financial Measures" in our most recent Annual Report on Form 10-K, Quarterly Report on Form 10-Q, or earnings release for a discussion of management's use of these measures. (2) Amount represents realized and unrealized gains and losses on the Company's MBS. (3) Amount represents realized and unrealized gains and losses on derivatives including TBAs except for TBA drop income/loss and net periodic interest from interest rate swaps. Reconciliation of GAAP Measures to Non-GAAP Measures(1) ($ in thousands except per share amounts) 2Q'26 1Q'26 4Q'25 3Q'25 2Q'25 Comprehensive income (loss) to common shareholders $ 177,278 $ (83,168) $ 189,606 $ 162,527 $ (12,222) Adjustments: Change in fair value of investments (2) 26,487 243,238 (91,740) (157,435) (37,716) Change in fair value of derivative instruments, net (3) (123,082) (98,266) (63,467) 28,507 75,200 EAD to common shareholders $ 80,683 $ 61,804 $ 34,399 $ 33,599 $ 25,262 EAD per common share $ 0.36 $ 0.31 $ 0.22 $ 0.25 $ 0.22 ($ in thousands) 2Q'26 1Q'26 4Q'25 3Q'25 2Q'25 Net interest income $ 93,783 $ 79,254 $ 43,484 $ 30,611 $ 23,128 Net periodic interest from interest rate swaps 542 1,698 7,598 14,265 12,349 Economic net interest income $ 94,325 $ 80,952 $ 51,082 $ 44,876 $ 35,477 Agency RMBS TBA drop income 5,221 4,763 2,716 3,548 4,758 Operating expenses, net (16,213) (21,253) (16,639) (11,998) (12,293) Preferred stock dividends (2,650) (2,658) (2,760) (2,827) (2,680) EAD to common shareholders $ 80,683 $ 61,804 $ 34,399 $ 33,599 $ 25,262
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