Slides
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Invesco Mortgage Capital Inc. Second Quarter 2026 Earnings Call July 31, 2026 Kevin Collins Chief Executive Officer David Lyle President Brian Norris Chief Investment Officer Mark Gregson Chief Financial Officer
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Important notices 2 Forward looking statements This presentation and comments made in the associated conference call may include statements and information that constitute “forward-looking statements” within the meaning of the U.S. securities laws as defined in the Private Securities Litigation Reform Act of 1995, and such statements are intended to be covered by the safe harbor provided by the same. Forward-looking statements include our views on the risk positioning of our portfolio, domestic and global market conditions (including the Agency RMBS, Agency CMBS and residential and commercial real estate markets), the market for our target assets, our expected financial performance, including our earnings available for distribution, economic return, comprehensive income and changes in our book value, our intention and ability to pay dividends, our ability to continue performance trends, the stability of portfolio yields, interest rates, spreads, prepayment trends, financing sources, cost of funds, our anticipated leverage, liquidity, capital structure and equity allocation. In addition, words such as “believes,” “expects,” “anticipates,” “intends,” “plans,” “estimates,” “projects,” “forecasts,” and future or conditional verbs such as “will,” “may,” “could,” “should,” and “would” as well as any other statement that necessarily depends on future events, are intended to identify forward-looking statements. Forward-looking statements are not guarantees, and they involve risks, uncertainties and assumptions. There can be no assurance that actual results will not differ materially from our expectations. We caution investors not to rely unduly on any forward-looking statements and urge you to carefully consider the risks identified under the captions “Risk Factors,” “Forward-Looking Statements” and “Management’s Discussion and Analysis of Financial Condition and Results of Operations” in our annual report on Form 10-K for the year ended December 31, 2025, which may be updated by subsequently filed quarterly reports on Form 10-Q or current reports on Form 8-K, and, which are available on the Securities and Exchange Commission’s website at www.sec.gov. All written or oral forward-looking statements that we make, or that are attributable to us, are expressly qualified by this cautionary notice. We expressly disclaim any obligation to update the information in any public disclosure if any forward-looking statement later turns out to be inaccurate. Non-GAAP financial measures This presentation includes certain non-GAAP financial measures, including earnings available for distribution. We believe the non-GAAP financial measures are useful for management, investors, analysts, and other interested parties in evaluating our performance but should not be viewed in isolation and are not a substitute for financial measures computed in accordance with U.S. generally accepted accounting principles (“GAAP”). In addition, we may calculate our non- GAAP metrics, such as earnings available for distribution, or effective net interest income, differently than our peers making comparative analysis difficult.
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3 Our approach Our team Investors with extensive experience managing agency mortgage securities across a wide range of market environments. Our target assets We invest in Agency RMBS and CMBS that benefit from implicit or explicit U.S. government backing through Ginnie Mae, Fannie Mae or Freddie Mac, resulting in minimal credit risk and high liquidity 1. These securities have historically offered higher yields than Treasury bonds2, consistent monthly cash flows and access to financing across market cycles. Our impact We seek to enable high income-oriented investors to achieve attractive risk-adjusted returns through disciplined investment in Agency MBS, while supporting the availability of mortgage financing for U.S. homeowners. Our business We invest in Agency RMBS and CMBS assets through secured funding markets. We actively hedge interest rate risk and seek to generate net interest income for distribution to our stockholders, serving as an income vehicle for investors seeking exposure to Agency mortgage assets. Our competitive advantage In addition to our team’s extensive expertise managing agency mortgage investments, we benefit from the insights of a global investment manager 3, which informs our views on macroeconomic conditions, interest-rate dynamics and broader market risks. Our deep counterparty relationships further enhance our ability to source, finance, and hedge attractive investment opportunities.
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4 Note: Financial information included throughout this presentation is in millions as of and/or for the periods noted, unless otherwise indicated. Per share amounts are per share of common stock. Income and loss per share amounts are based on weighted average common shares outstanding during the period. Economic debt-to-equity and earnings available for distribution are non-GAAP financial measures. Refer to slides 19 and 20 for additional information. Detailed footnotes are included at the end of this presentation. Second quarter highlights $8.03 Book value per share1 3.8% Economic return2 $118.0M Common equity issued through ATM program $0.36 Common dividends per share $0.34 Net income (loss) per share $821.8M Total common equity3 7.5x Economic debt-to-equity ratio $0.50 Earnings available for distribution per share 18.2% Dividend yield4 Key metrics Performance Capital highlights
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The Treasury yield curve bear flattened as 2-year yields rose significantly while 10- and 30-year yields were moderately higher Expectations for the Fed Funds target rate shifted from easing to tightening as inflation remained notably above the Federal Reserve’s 2% target Interest rate volatility declined as geopolitical disruptions moderated Money market rates 5 Treasury yields Fed Funds futures Interest rate volatility1 (basis points) Macro environment Data as of June 30, 2026 Sources: Bloomberg, JP Morgan and Federal Reserve Economic Data Detailed footnotes are included at the end of this presentation
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Dollar roll implied financing rate3Agency CMBS spread to Treasuries2 (basis points) Agency RMBS spread to Treasuries1 (basis points) Specified pool pay-ups ($200k max, in points)Higher coupon Agency RMBS performed well during the quarter as moderating interest rate volatility, supportive supply and demand technicals, and an attractive dollar roll market combined to produce positive returns relative to Treasury hedges Conversely, higher coupon specified pool pay-ups declined notably as higher mortgage rates reduced demand for prepayment protection 6 Agency MBS market Data as of June 30, 2026 Sources: Bloomberg and JP Morgan Detailed footnotes are included at the end of this presentation
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Investment portfolio increased 12.4% to $8.2 billion in Q2 2026 • Net purchased $1.1 billion during the quarter to invest proceeds from ATM issuance and paydowns • Purchases primarily consisted of Agency RMBS specified pools given a more attractive entry point as pay-ups declined Rotated Agency TBA exposures from 4.5% into 6.0% coupons as implied financing rates declined notably in higher coupons, increasing the weighted average coupon of our TBA position from 4.8% to 5.4% 7 Portfolio allocation As of June 30, 2026 As of March 31, 2026 Investment type FMV % FMV % Agency RMBS specified pools $5,984 73.4% $5,095 70.2% Agency TBA1 1,201 14.7% 1,227 16.9% Agency CMBS 902 11.1% 864 11.9% Agency CMO 64 0.8% 67 1.0% Total investment portfolio $8,151 100.0% $7,253 100.0% Detailed footnotes are included at the end of this presentation
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Funding characteristics • Financed Agency RMBS and CMBS investments with repurchase agreements across 22 counterparties • Debt-to-equity ratio 4 of 6.3x and economic debt-to-equity ratio5 of 7.5x Cost of funds protection • Hedged 77% of borrowing costs with interest rate swaps • Hedged 20% of borrowing costs with U.S. Treasury futures Implied financing rates on higher coupon Agency TBA remain below repo funding levels 8 Financing As of June 30, 2026 As of March 31, 2026 Funding Type Amount % Rate Amount % Rate Repurchase Agreements $6,210 83.8% 3.76% $5,339 81.1% 3.80% Agency TBA1 1,200 16.2% N/A 1,247 18.9% N/A Total Funding $7,410 100.0% $6,586 100.0% Cost of Funds2 3.73% 3.92% Cost of funds protection3 (in billions) Detailed footnotes are included at the end of this presentation
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Hedge portfolio • Our hedge portfolio totaled $6.0 billion and covered 97% of our repurchase agreements as of June 30, 2026 compared to 96% at March 31, 2026 • Allocation to interest rate swaps remained near 80% as persistently negative swap spreads improved hedged returns Interest rate swaps • Fixed pay swaps increased to $4.8 billion Treasury futures • U.S. Treasury Futures increased to $1.3 billion • Hedges consist of 10-year, 10- year Ultra and 30-year contracts 9 Hedging portfolio As of June 30, 2026 As of March 31, 2026 Remaining maturities Notional Swap pay rate2 WAVG years to maturity Notional Swap pay rate2 WAVG years to maturity Less than 3 years $1,925 1.28% 1.7 $1,675 0.86% 1.7 3 to 5 years 1,150 1.14% 4.2 950 0.54% 4.3 5 to 7 years 545 3.66% 6.6 545 3.66% 6.8 7 to 10 years 595 3.98% 9.2 495 3.99% 9.3 10+ years 550 2.44% 20.5 450 2.04% 18.7 Total interest rate swaps $4,765 1.99% 6.0 $4,115 1.66% 5.8 Hedge portfolio composition As of June 30, 2026 As of March 31, 2026 Instrument type Notional % Duration1 Notional % Duration1 Interest rate swaps $4,765 78.8% 5.0 $4,115 80.6% 5.0 U.S. Treasury futures 1,280 21.2% 8.0 990 19.4% 8.7 Total hedge portfolio $6,045 100.0% 5.6 $5,105 100.0% 5.7 Interest rate swaps Detailed footnotes are included at the end of this presentation
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10 Interest rate (basis points) Estimated percentage change in book value per common share As of June 30, 2026 As of March 31, 2026 +75 (6.4)% (8.5)% +50 (3.5)% (4.9)% +25 (1.3)% (2.0)% -25 0.1% 0.8% -50 (1.1)% 0.3% -75 (3.8)% (1.8)% Option-adjusted spread (basis points) Estimated percentage change in book value per common share As of June 30, 2026 As of March 31, 2026 +20 (9.5)% (10.0)% 10 (4.8)% (5.0)% -10 4.8% 5.1% -20 9.7% 10.2% Sensitivity to instantaneous interest rate changes1 Sensitivity to instantaneous MBS spread changes2 We seek to limit the impact of changes in interest rates by dynamically hedging, primarily through interest rate swaps and US Treasury futures We generate income primarily through the spread on our Agency RMBS and CMBS investments We seek diversification across the Agency RMBS coupon stack and via Agency CMBS Sensitivity analysis Detailed footnotes are included at the end of this presentation
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Historical information
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12 Historical overview Economic return Common dividends per share Stockholders' equity1,2 Expenses as % of average common equity3 Detailed footnotes are included at the end of this presentation
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13 Historical portfolio metrics Investment portfolio1 Debt-to-equity and economic debt-to-equity ratio2 Agency RMBS coupon allocation3 Agency RMBS 3-month CPR4 Detailed footnotes are included at the end of this presentation
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14 Historical operating metrics Cash and unencumbered investments (“CUB”)1 Average earning asset yields2 Cost of funds and effective cost of funds3 Net interest rate margin4 and effective interest rate margin5 Detailed footnotes are included at the end of this presentation
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Supplemental information
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16 Portfolio details Fair value % of total portfolio Market yield1 Duration2 WAVG loan age3 WAVG pay-up to TBA4 1-month CPR5 Agency CMBS $902 11.1% 4.68% 6.3 27 - 0.0% Agency CMO $64 0.8% 6.05% (0.2) 67 - 7.8% Agency RMBS: 4.5% Coupon 1,257 15.4% 5.08% 5.7 30 0.61 9.3% 5.0% Coupon 1,591 19.5% 5.15% 4.9 26 0.83 9.4% 5.5% Coupon 1,902 23.4% 5.21% 3.8 23 0.91 11.2% 6.0% Coupon 1,234 15.1% 4.98% 2.3 25 1.21 14.8% Total Agency RMBS $5,984 73.4% 5.12% 4.2 26 0.89 11.1% Agency TBA6: 5.0% Coupon 542 6.6% 5.30% 4.6 - - - 5.5% Coupon 251 3.1% 5.32% 3.1 - - - 6.0% Coupon 408 5.0% 5.32% 2.5 - - - Total Agency TBA $1,201 14.7% 5.31% 3.6 - - - Total investment portfolio $8,151 100.0% 5.11% 4.3 - - - Detailed footnotes are included at the end of this presentation
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17 Balance sheets $ in thousands, except share amounts, unaudited 6/30/2026 3/31/2026 12/31/2025 9/30/2025 6/30/2025 Mortgage-backed securities, at fair value $6,949,909 $6,026,208 $6,276,609 $5,749,238 $5,185,559 Cash and cash equivalents 73,381 52,598 56,040 58,539 59,396 Restricted cash 167,155 138,323 110,391 122,181 131,146 Due from counterparties — 25,749 — — — Investment related receivable 30,650 26,804 27,848 29,017 23,538 Derivative assets, at fair value 16,510 1,119 4,412 738 — Other assets 1,014 399 594 1,232 731 Total assets $7,238,619 $6,271,200 $6,475,894 $5,960,945 $5,400,370 Repurchase agreements 6,210,403 5,339,373 5,619,255 5,150,081 4,635,881 Derivative liabilities, at fair value 882 28,730 — 680 10,775 Dividends payable 12,008 10,490 25,845 24,121 22,545 Investment related payable — 6 — 427 — Accrued interest payable 12,512 10,738 28,664 9,114 10,550 Collateral held payable 6,703 14 — 797 6,238 Accounts payable and accrued expenses 2,289 1,789 1,580 1,623 1,904 Due to affiliate 3,501 3,706 3,006 4,521 3,101 Total liabilities $6,248,298 $5,394,846 $5,678,350 $5,191,364 $4,690,994 Preferred Stock 163,049 164,191 165,756 167,602 169,760 Common Stock 1,024 875 718 709 663 Additional paid in capital 4,461,196 4,343,365 4,209,977 4,202,575 4,166,345 Retained earnings (distributions in excess of earnings) (3,634,948) (3,632,077) (3,578,907) (3,601,305) (3,627,392) Total stockholders’ equity $990,321 $876,354 $797,544 $769,581 $709,376 Total liabilities and stockholders' equity $7,238,619 $6,271,200 $6,475,894 $5,960,945 $5,400,370 Other supplemental data: Total common shares outstanding 102,386,106 87,485,972 71,790,532 70,945,571 66,307,379 Book value per common share $8.03 $8.08 $8.72 $8.41 $8.05 Detailed footnotes are included at the end of this presentation
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18 Statements of comprehensive income (loss) $ in thousands, except share amounts, unaudited Q2 2026 Q1 2026 Q4 2025 Q3 2025 Q2 2025 Interest income $85,408 $79,641 $77,901 $72,916 $70,624 Interest expense 55,308 52,593 56,643 55,302 52,895 Net interest income $30,100 $27,048 $21,258 $17,614 $17,729 Gain (loss) on investments, net (21,226) (54,940) 22,914 49,540 (5,268) Gain (loss) on derivative instruments, net 31,584 12,879 11,887 (9,218) (30,916) Total other income (loss) $10,358 $(42,061) $34,801 $40,322 $(36,184) Management fee - related party 3,329 2,974 2,806 2,662 2,831 General and administrative 2,125 1,917 1,759 1,803 2,041 Total expenses $5,454 $4,891 $4,565 $4,465 $4,872 Net income (loss) $35,004 $(19,904) $51,494 $53,471 $(23,327) Dividends to preferred stockholders (3,165) (3,190) (3,221) (3,261) (3,297) Gain (loss) on repurchase and retirement of preferred stock 3 (27) (30) (2) 57 Net income (loss) attributable to common stockholders $31,842 $(23,121) $48,243 $50,208 $(26,567) Unrealized gain (loss) on mortgage-backed securities, net — — — — (271) Reclassification of unrealized gain (loss) on sale of mortgage-backed securities to gain (loss) on investments, net — — — — (518) Total other comprehensive income (loss) $— $— $— $— $(789) Comprehensive income (loss) attributable to common stockholders $31,842 $(23,121) $48,243 $50,208 $(27,356) Basic weighted average number of common shares outstanding 94,904,498 81,870,574 70,997,971 67,582,202 66,006,135 Net income (loss) attributable to common stockholders per share: Basic $0.34 $(0.28) $0.68 $0.74 $(0.40) Diluted $0.34 $(0.28) $0.68 $0.74 $(0.40) Detailed footnotes are included at the end of this presentation
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Calculation of non-GAAP measures $ in thousands Q2 2026 Q1 2026 Q4 2025 Q3 2025 Q2 2025 Total interest expense $55,308 $52,593 $56,643 $55,302 $52,895 Contractual net interest (income) expense on interest rate swaps1 (20,757) (21,578) (26,396) (29,138) (28,631) Effective interest expense2 $34,551 $31,015 $30,247 $26,164 $24,264 Cost of funds 3.73 % 3.92 % 4.20 % 4.52 % 4.62 % Effective cost of funds3,4 2.33 % 2.31 % 2.24 % 2.14 % 2.12 % Net interest income $30,100 $27,048 $21,258 $17,614 $17,729 Contractual net interest income (expense) on interest rate swaps1 20,757 21,578 26,396 29,138 28,631 Effective net interest income5 $50,857 $48,626 $47,654 $46,752 $46,360 Net interest rate margin 1.42 % 1.44 % 1.11 % 0.90 % 0.94 % Effective interest rate margin3 2.82 % 3.05 % 3.07 % 3.28 % 3.44 % Effective cost of funds / Effective interest rate margin $ in thousands Q2 2026 Q1 2026 Q4 2025 Q3 2025 Q2 2025 Repurchase agreements $6,210,403 $5,339,373 $5,619,255 $5,150,081 $4,635,881 Agency TBA6 1,199,557 1,247,065 — — — Total funding $7,409,960 $6,586,438 $5,619,255 $5,150,081 $4,635,881 Stockholders' equity $990,321 $876,354 $797,544 $769,581 $709,376 Debt-to-equity 6.3x 6.1x 7.0x 6.7x 6.5x Economic debt-to-equity3 7.5x 7.5x 7.0x 6.7x 6.5x Debt-to-equity / Economic debt-to-equity 19Detailed footnotes are included at the end of this presentation
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Calculation of non-GAAP measures, continued $ in thousands Q2 2026 Q1 2026 Q4 2025 Q3 2025 Q2 2025 Net income (loss) attributable to common stockholders $31,842 $(23,121) $48,243 $50,208 $(26,567) Adjustments: (Gain) loss on investments, net 21,226 54,940 (22,914) (49,540) 5,268 Realized (gain) loss on derivative instruments, net 32,412 (23,324) 18,863 49,189 47,608 Unrealized (gain) loss on derivative instruments, net (43,239) 32,023 (4,354) (10,833) 11,939 TBA Dollar Roll Income1 4,857 4,166 — — — (Gain) loss on repurchase and retirement of preferred stock (3) 27 30 2 (57) Earnings available for distribution2 $47,095 $44,711 $39,868 $39,026 $38,191 Earnings available for distribution per common share2,3 $0.50 $0.55 $0.56 $0.58 $0.58 Reconciliation to net income (loss) attributable to common stockholders $ in thousands Q2 2026 Q1 2026 Q4 2025 Q3 2025 Q2 2025 Effective net interest income $50,857 $48,626 $47,654 $46,752 $46,360 TBA dollar roll income1 4,857 4,166 — — — Total expenses (5,454) (4,891) (4,565) (4,465) (4,872) Dividends to preferred stockholders (3,165) (3,190) (3,221) (3,261) (3,297) Earnings available for distribution2 $47,095 $44,711 $39,868 $39,026 $38,191 Components of earnings available for distribution 20Detailed footnotes are included at the end of this presentation
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Footnotes 21 Slide 3 1. Agency MBS ranked second among U.S. Fixed Income markets in average daily trading volume in 2025 at $354.0B, after U.S. Treasuries at $1,055.5B and ahead of corporate bonds at $57.9B Source: SIFMA Quarterly Report: U.S. Fixed Income, "1Q26” April 2026. 2. Based on year-end yield-to-maturity data for the Bloomberg U.S. Treasury Index and the Bloomberg U.S. Mortgage Backed Securities Index from 2016 through 2025. Over this 10- year period, the Bloomberg U.S. Mortgage Backed Securities Index had an average year -end yield-to-maturity of 3.42%, compared with 2.69% for the Bloomberg U.S. Treasury Index. Source: Barclays. 3. Invesco Mortgage Capital Inc. is externally managed and advised by Invesco Advisers Inc., a subsidiary of Invesco Ltd. (NYSE: IVZ), an independent global investment management company. Slide 4 1. Calculated as total stockholders' equity less the liquidation preference of preferred stock, divided by total common shares outstanding. 2. Calculated as the change in book value per common share for the period plus dividends declared per common share during the period, divided by the beginning book value per common share. 3. Calculated as total stockholders' equity less the liquidation preference of preferred stock. 4. Calculated as annualized common dividends per share divided by period-end common stock share price. Slide 5 1. Forward-looking expectations of future interest rate volatility based on market pricing of a swaption, which is an option to enter an interest rate swap at a future date. A 3M x 10Y swaption provides the right to enter a 10 year interest rate swap starting in 3 months. A 3Y x 10Y swaption provides the right to enter a 10 year interest rate swap starting in 3 years. Slide 6 1. 30-year Agency RMBS current coupon zero volatility spread to U.S. Treasuries. 2. Fannie DUS 10/9.5 spread to U.S. Treasuries. 3. Represents the rate at which the economics of rolling a TBA contract forward are equivalent to holding MBS. Slide 7 1. Represents the implied market value of Agency TBA. Under U.S. GAAP, Agency TBA are treated as derivative instruments and recorded on the balance sheet at net carrying value, which represents the difference between implied market value and implied cost basis. Slide 8 1. Represents the implied cost basis of Agency TBA. Agency TBA are a form of off -balance sheet financing because a forward contract to acquire Agency RMBS in the TBA market carries similar risks to Agency RMBS purchased in the cash market and funded with on- balance sheet liabilities. 2. Calculated by dividing annualized interest expense for the three-month period by the weighted average month-end balance of repurchase agreement borrowings for the period. 3. Reflects carrying value of repurchase agreement borrowings and notional amounts of interest rate swaps and U.S. Treasury futures. 4. Calculated as the ratio of repurchase agreement borrowings to total stockholders' equity. 5. Represents a non-GAAP financial measure and is calculated as the ratio of total repurchase agreement borrowings and TBAs at implied cost basis to total stockholders' equity. Refer to slide 19 for additional information. Slide 9 1. Measure of the sensitivity of a security's value to changes in interest rates, expressed in years. 2. Represents period-end weighted average fixed pay rate.
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Footnotes, continued 22 Slide 10 1. Represents the estimated impact of an instantaneous parallel shift in the U.S. Treasury yield curve on book value per common share. 2. Represents the estimated impact of an instantaneous change in Agency MBS spreads on book value per common share. Slide 12 1. Preferred stock presented at liquidation preference. 2. Percentage of preferred stock calculated as the liquidation preference of preferred stock divided by total stockholders' equity. 3. Calculated as annualized total expenses divided by average common equity. Average common equity is calculated as the average month-end balance of total stockholders' equity less the liquidation preference of preferred stock. Slide 13 1. Includes Agency TBA at implied market value. 2. Represents a non-GAAP financial measure. Refer to slide 19 for additional information. Historical reconciliations of non-GAAP financial measures are available in corresponding filings with the SEC. 3. Represents period-end fair value of Agency RMBS specified pools and implied market value of Agency TBA. 4. The three-month constant prepayment rate (“CPR”) is expressed as an annualized percentage of outstanding principal, based on the observed one-month prepayment speeds for the Agency RMBS portfolio as of each month end. Slide 14 1. Represents the total of unrestricted cash and unencumbered investments. 2. Calculated by dividing annualized interest income by weighted average month-end earning assets based on amortized cost. 3. Represents a non-GAAP financial measure and is calculated as annualized U.S. GAAP interest expense adjusted for contractual interest income or expense on interest rate swaps, divided by weighted average month-end balance of repurchase agreement borrowings. Refer to slide 19 for additional information. Historical reconciliations of non-GAAP financial measures are available in corresponding filings with the SEC. 4. Calculated as the average earning asset yield less the cost of funds. 5. Represents a non-GAAP financial measure and is calculated as the average earning asset yield less the effective cost of funds. Refer to slide 19 for additional information. Historical reconciliations of non-GAAP financial measures are available in corresponding filings with the SEC. Slide 16 1. Represents the annualized yield calculated using the security’s end of period market price and expected cash flows, including projected mortgage prepayment behavior and zero interest rate and spread volatility. 2. Measure of the sensitivity of a security's value to changes in interest rates, expressed in years. Incorporates the impact of expected changes in cash flows from embedded options in mortgage-backed securities. 3. Represents the weighted average seasoning of the underlying loans, measured in months since origination. 4. Represents the weighted average price premium paid for specified pool securities above corresponding forward-settling TBA securities, reflecting compensation for prepayment protection and other characteristics. 5. Represents the weighted average actual one-month annualized CPR for June 2026 for securities held as of June 30, 2026. 6. Represents the implied market value of Agency TBA.
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Footnotes, continued 23 Slide 19 1. Reported as a component of gain (loss) on derivative instruments, net on the statements of comprehensive income. 2. Represents a non-GAAP financial measure and is calculated as total U.S. GAAP interest expense adjusted for contractual interest income or expense on interest rate swaps. 3. Represents a non-GAAP financial measure. 4. Does not include an adjustment for U.S. Treasury futures that are used to hedge a portion of interest rate risk. 5. Represents a non-GAAP financial measure and is calculated as U.S. GAAP net interest income adjusted for contractual interest income or expense on interest rate swaps. 6. Represents the implied cost basis of TBA. Slide 20 1. Represents the price differential between the TBA price for current month settlement compared to the TBA price for forward month settlement. Amount excludes TBA mark -to- market adjustments. TBA dollar roll income is included in earnings available for distribution because it is the economic equivalent of interest income on the underlying Agency RMBS, less an implied financing cost, over the forward settlement period. Reported as a component of gain (loss) on derivative instruments, net on the statements of comprehensive income. 2. Represents a non-GAAP financial measure. 3. Calculated as earnings available for distribution divided by the basic weighted average number of common shares outstanding for the period.