CHIMERA INVESTMENT CORP (CIM)

Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations

The following discussion of our financial condition and results of operations should be read in conjunction with the consolidated financial statements and notes to those statements included in Item 1 of this Quarterly Report on Form 10-Q.

SPECIAL NOTE REGARDING FORWARD-LOOKING STATEMENTS

We make forward-looking statements in this report that are subject to risks and uncertainties. These forward-looking statements include information about, among other things, possible or assumed future results of our business, financial condition, liquidity, results of operations, plans and objectives. When we use the words “goal,” “target,” “assume,” ‘‘believe,’’ ‘‘expect,’’ ‘‘anticipate,’’ ‘‘estimate,’’ “project,” “budget,” “forecast,” “predict,” “potential,” ‘‘plan,’’ ‘‘continue,’’ ‘‘intend,’’ ‘‘should,’’ ‘‘may,’’ “could,” ‘‘would,’’ ‘‘will’’ or similar expressions, we intend to identify forward-looking statements. Statements regarding the following subjects, among others, are forward-looking by their nature:

•our ability to obtain funding on favorable terms and access the capital markets;

•our ability to achieve optimal levels of leverage and effectively manage our liquidity;

•changes in inflation, the yield curve, interest rates and mortgage prepayment rates;

•our ability to manage credit risk related to our investments and comply with the Dodd-Frank Act and related laws and regulations relating to credit risk retention for securitizations;

•rates of default, delinquencies, forbearance, deferred payments or decreased recovery rates on our investments;

•the concentration of properties securing our securities and residential loans in a small number of geographic areas;

•our ability to execute on our business and investment strategy;

•our ability to determine accurately the fair market value of our assets;

•changes in our industry, the general economy or geopolitical conditions, including the ongoing conflicts involving the U.S. in the Middle East;

•our ability to successfully integrate and realize the anticipated benefits of any acquisitions, including the acquisition of HomeXpress;

•our ability to originate or acquire quality and profitable loans at an appropriate and consistent cost;

•our ability to sell the loans that we originate or acquire;

•our ability to refinance or obtain additional liquidity for borrowing;

•our ability to manage, maintain and expand our relationships with our clients, the independent mortgage brokers and bankers;

•our ability to operate our investment management and advisory services and manage any regulatory rules and conflicts of interest;

•the degree to which our hedging strategies may or may not be effective;

•our ability to effect our strategy to securitize residential mortgage loans;

•our ability to compete with competitors and source target assets at attractive prices;

•the ability of servicers and other third parties to perform their services at a high level and comply with applicable law and expanding regulations;

•our dependence on information technology and its susceptibility to cyber-attacks;

•the development, proliferation and use of artificial intelligence;

•our ability to find and retain qualified executive officers and key personnel;

•our ability to comply with extensive government regulation, including, but not limited to, federal and state consumer lending regulations;

•the impact of and changes in governmental regulations, tax law and rates, accounting guidance, refinancing or borrowing guidelines and similar matters;

•our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended (the “1940 Act”);

•our ability to maintain our classification as a real estate investment trust (“REIT”) for U.S. federal income tax purposes;

•the volatility of the market price and trading volume of our shares; and

•our ability to make distributions to our stockholders in the future.

Forward-looking statements are based on our beliefs, assumptions and expectations of our future performance, taking into account all information currently available to us. You should not place undue reliance on these forward-looking statements. These beliefs, assumptions and expectations can change as a result of many possible events or factors, not all of which are known to us. If a change occurs, our business, financial condition, liquidity, results of operations and prospects may vary

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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 diversified real estate company that invests in, originates, and manages primarily residential real estate assets. The assets we may invest in for ourselves and manage for others through our wholly-owned subsidiary Palisades Advisory Services, LLC (“PAS”) include residential mortgage loans, Non-Agency RMBS, Agency RMBS, RTLs, Investor Loans, MSRs and other real estate-related assets such as Agency CMBS, junior liens and HELOCs, equity appreciation rights, and reverse mortgages. Also, through our wholly-owned subsidiary, HomeXpress Mortgage Corp. (“HomeXpress”), we primarily originate Non-QM residential mortgage loans (both consumer loans and Investor Loans) as well as a smaller amount of QM residential mortgage loans.

In 2025, we reevaluated the composition of our reportable segments based on changes in the significance of certain business activities, including the acquisition of HomeXpress (the “HomeXpress Acquisition”) in October 2025, and the manner in which our management reviews operating results and allocates resources. As a result of this reevaluation, we now have two reportable segments: (i) Investment Portfolio, and (ii) Residential Origination. The Investment Portfolio segment consists of our investments and third-party advisory services activities. The Residential Origination segment consists of the stand-alone residential mortgage origination business of HomeXpress that originates Non-QM residential mortgage loans (both consumer loans and Investor Loans) and other Non-Agency and Agency mortgage loan products.

Investment Portfolio Segment

As of March 31, 2026, based on the fair value of our interest-earning assets, approximately 58% of our investment portfolio was allocated to residential mortgage loans, 36.7% to Agency MBS, 5.3% to Non-Agency RMBS and less than 1% to interests in MSR financing receivables (excluding LHFS by HomeXpress).

We utilize a variety of channels, including securitizations, warehouse facilities, repurchase agreements and other capital market activities to finance our investments, manage liquidity, improve capital efficiency, support the implementation of our investment strategies, as well as enhance our return on equity. We manage interest rate risk using hedging instruments such as interest rate swaps, swap futures, treasury futures, swaptions, and interest rate caps. We also use TBA securities to hedge certain risks within our Agency portfolio.

Our investment strategy is intended to be effective across a variety of economic, rate, and credit environments. We seek to approach portfolio management in a disciplined manner and expect to operate in an environment characterized by ongoing uncertainty related to global trade dynamics, fiscal and monetary policy, inflation, labor market conditions, economic growth, and domestic and geopolitical tensions.

Fees earned from investment management, as well as third-party asset management and advisory services, are included in this segment.

Residential Origination Segment

We closed the HomeXpress Acquisition on October 1, 2025. The HomeXpress Acquisition represents a strategically significant milestone and broadens our business capabilities. We expect that this acquisition will provide us with direct exposure to the growing Non-QM residential mortgage loans (both consumer loans and Investor Loans) origination market and enhance the diversification of our earnings sources beyond our core investment activities. As of March 31, 2026, LHFS by HomeXpress constituted approximately 4.7% of our interest earning assets based on fair value.

HomeXpress is a specialty mortgage lender focused primarily on providing first lien, consumer Non-QM loans, and Investor Loans solutions to the residential housing market on a national scale through mortgage brokers and bankers. As of March 31, 2026, HomeXpress had approximately 6,100 approved wholesale brokers and non-delegated correspondent bankers. Non-QM loans are designed for borrowers who do not meet traditional qualified mortgage standards and typically carry higher interest rates and offer more flexible solutions. Investor Loans are secured by first liens on non-owner occupied 1–8 unit investment rental properties. HomeXpress is a leading originator of these residential mortgage loans and does so substantially on a wholesale basis through independent mortgage brokers and bankers. In the first quarter of 2026, HomeXpress sold all the loans it originated on a servicing-released basis to third-party institutional investors. During the first quarter of 2026, HomeXpress sold loans (scheduled to settle in the second quarter) to our Investment Portfolio segment under our strategy of sponsoring securitizations of Non-QM loans using HomeXpress collateral. HomeXpress uses warehouse financing to fund loans from origination through sale. While the residential real estate market and associated mortgage loan origination volumes are heavily influenced by economic factors such as interest rates, housing prices and employment conditions, additional loan origination

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growth for HomeXpress is expected to be realized from further development of its existing wholesale origination network, as well as the growth of its recently implemented non-delegated correspondent channel. Additional growth is also expected from the expansion of its FHA, VA and conventional Agency-conforming channel and the implementation of delegated correspondent lending platform.

Market Conditions and our Strategy

Interest Rates, Inflation, Labor Markets, and Economic Activity

This year began on a relatively stable footing, supported by expectations of Federal Reserve rate cuts in the latter half of 2025 that reinforced confidence that inflation was moderating. Markets also grew more comfortable with the outlook on tariffs, as their potential inflationary impact appeared more contained. In March 2026, escalating tensions and conflicts involving the U.S. in the Middle East disrupted energy markets, driving a sharp increase in oil prices amid concerns over disruption to flows through the Strait of Hormuz. From late February through the end of March, crude oil prices rose significantly, reigniting concerns about inflationary pressures and the risk of a broader global economic slowdown.

The U.S. economy continued to demonstrate resilience, despite moderating job growth, with unemployment in the low-4% range, and inflation relatively contained. The Federal Reserve held its target range for the federal funds rate steady during the quarter, noting at its March meeting that the economic implications of developments in the Middle East remained uncertain. After beginning the year with strong momentum and rising to new highs, equity markets became more volatile in March, with volatility persisting through quarter-end.

Against this backdrop, interest rates largely reflected shifting economic and geopolitical dynamics. Following a period of relative stability in January and

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Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations

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 Part IV of this 2025 Form 10-K. The discussion may contain certain forward-looking statements that involve risks and uncertainties. Forward-looking statements are those that are not historical in nature. As a result of many factors, such as those set forth under “Risk Factors” in this 2025 Form 10-K, our actual results may differ materially from those anticipated in such forward-looking statements.

This section of the 2025 Form 10-K generally discusses 2025 and 2024 items and year-to-year comparisons between 2025 and 2024. Discussions of 2023 items and year-to-year comparisons between 2024 and 2023 that are not included in this 2025 Form 10-K, can be found in “Management’s Discussion and Analysis of Financial Condition and Results of Operations” in Part II, Item 7 of our Annual Report on Form 10-K for the fiscal year ended December 31, 2024.

Executive Summary

We are a diversified real estate company that invests in, originates, and manages primarily residential real estate assets. The assets we may invest in and manage for others, through our wholly-owned subsidiary PAS, include residential mortgage loans, Non-Agency RMBS, Agency RMBS, business purpose loans (including RTLs) and investor loans, MSRs and other real estate-related assets such as Agency CMBS, junior liens and HELOCs, equity appreciation rights, and reverse mortgages. Also, through our wholly-owned subsidiary, HomeXpress, we originate consumer Non-QM and investor business purpose residential mortgage loans as well as QM residential mortgage loans.

In 2025, we reevaluated the composition of our reportable segments based on changes in the significance of certain business activities, including the acquisition of HomeXpress, and the manner in which our management reviews operating results and allocates resources. As a result of this reevaluation, we report as two reportable segments: (i) Investment Portfolio, and (ii) Residential Origination. The Investment Portfolio segment consists of our investments and third-party advisory services activities. The Residential Origination segment consists of the stand-alone mortgage origination business of HomeXpress that originates consumer Non-QM, investor business purpose, and other Non-Agency and Agency mortgage loan products.

Investment Portfolio Segment

As of December 31, 2025, based on the fair value of our interest earning assets, approximately 65% of our investment portfolio was allocated to residential mortgage loans, 23% to Agency MBS, 5% to Non-Agency RMBS and less than 1% to interests in MSR financing receivables (excluding loans held for sale by HomeXpress). As of December 31, 2024, based on the fair value of our interest earning assets, approximately 88% of our investment portfolio was allocated to residential mortgage loans, 4% to Agency RMBS, and 8% to Non-Agency RMBS.

We utilize a variety of channels, including securitizations, warehouse facilities, repurchase agreements and other capital market activities to finance our investments, manage liquidity, improve capital efficiency, support the implementation of our investment strategies, as well as to enhance our potential return on equity. We manage interest rate risk using hedging instruments such as interest rate swaps, swap futures, treasury futures, swaptions, and interest rate caps.

Our investment strategy is intended to be durable across a variety of economic, rate, and credit environments. We seek to approach portfolio management in a disciplined manner and expect to operate in an environment characterized by ongoing uncertainty related to global trade dynamics, fiscal and monetary policy, inflation, labor market conditions, economic growth, and domestic and geopolitical tensions.

Residential Origination Segment

During the fourth quarter we completed the HomeXpress Acquisition, which closed on October 1, 2025. We raised liquidity through staggered sales of select assets, some of which we sourced from our Agency RMBS liquidity allocation and the rest from what we viewed to be fully priced Non-Agency RMBS positions. Separately, we also issued unsecured debt.

The HomeXpress Acquisition represents a strategically significant milestone and broadens our business capabilities. We expect that this acquisition will provide us with direct exposure to the growing residential consumer Non-QM and investor business purpose mortgage loan origination market and will enhance the diversification of our earnings sources beyond our core investment activities. As of December 31, 2025, loans held for sale by HomeXpress constituted approximately 6% of our interest earning assets based on fair value.

HomeXpress is a specialty mortgage lender focused primarily on providing first lien, consumer Non-QM loans, and investor business purpose solutions to the residential housing market on a national basis through mortgage brokers and bankers. Non-

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QM loans are designed for borrowers who do not meet traditional qualified mortgage standards and typically carry higher interest rates and offer more flexible solutions for potential borrowers. Investor business purpose loans are secured by first liens on non-owner occupied 1–8 unit investment rental properties. HomeXpress is a leading originator of these residential mortgage loans and does so substantially on a wholesale basis through independent mortgage brokers and bankers. HomeXpress currently sells all the loans it originates on a servicing-released basis to third-party institutional investors. Warehouse financing is used by HomeXpress to fund these loans from origination through sale. While the residential real estate market and associated mortgage loan origination volumes are heavily influenced by economic factors such as interest rates, housing prices and employment conditions, additional loan origination growth for HomeXpress is expected to be realized from further development of its existing wholesale origination network as well as from the growth in its recent implementation of a non-delegated correspondent channel. Additional growth is also expected from expansion in its FHA, VA and conventional agency-conforming channel and the implementation of delegated correspondent lending platform.

For a full description of our business, see Part 1 – Business in this Annual Report on Form 10-K.

Market Conditions and our Strategy

Interest Rates, Inflation, Labor Markets, and Economic Activity

Interest rates across the U.S. Treasury curve fluctuated throughout the year as market expectations regarding the timing and magnitude of policy easing evolved in response to incoming inflation, labor, and economic data. Short-term interest rates declined over the course of the year alongside expectations for easing monetary policy, while longer-term Treasury yields declined more slowly reflecting continued inflation uncertainty and term-premium dynamics.

Inflation, as measured by the Consumer Price Index (“CPI”), moderated at times during the year but remained above the Federal Reserve’s stated 2.0% objective. CPI inflation ranged between 2.3% and 3.0% on a year-over-year basis during 2025 and ended the year at 2.7%. Shelter costs continued to be a significant contributor to overall inflation, with rates of increase that generally exceeded those of goods and energy prices.

Labor market conditions moderated over the course of the year but remained relatively resilient. The unemployment rate increased to 4.4% at year-end, but still remained historically low, while job gains and broader indicators pointed to an easing labor market trajectory. Economic activity remained solid as real gross domestic product increased at an annualized rate of 3.8% in the second quarter and 4.4% in the third quarter of 2025.

With this backdrop, the Federal Reserve held short term rates steady through the first half of 2025 and eased 25 basis points at each of the final three Federal Open Market Committee meetings, bringing the yearend federal funds target range between 3.50% and 3.75%.

Consistent with these dynamics, the yield curve evolved with a steepening bias during 2025. The two-year Treasury yield dropped 77 basis points during the year to 3.47%, while the ten-year yield declined just 39 basis points, resulting in the yield curve steepening by 38 basis points during 2025.

Housing Market

U.S. housing market conditions in 2025 were shaped by continued affordability challenges and an ongoing imbalance between housing supply and demand. While mortgage interest rates, home prices, insurance costs, and property taxes continued to pressure homebuyer affordability, several of the largest drivers showed signs of easing over the course of the year.

According to the Freddie Mac Primary Mortgage Market Survey, the average 30-year fixed mortgage rate declined from 6.85% at the beginning of the year to 6.15% at year-end, a decrease of approximately 70 basis points, with most of the decline occurring in the second half of 2025.

Housing supply conditions remained constrained, particularly in the existing home market, as elevated mortgage rates continued to limit homeowner mobility. Existing home inventory increased modestly during the year but remained below long-term averages. In contrast, new home supply and construction remained relatively more active. Homebuilders continued to support transaction volumes through the use of mortgage rate buydowns and other incentives, which helped offset affordability pressures and support new home sales despite higher headline financing costs.

Home price growth moderated relative to prior years, and year-over-year national home price appreciation ended the year below consumer wage growth, representing a step toward easing affordability challenges.

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Execution of Our Strategy in 2025

During 2025, we focused on diversifying the portfolio and repositioning the Company as a diversified, vertically integrated residential real estate platform. To execute on these objectives, we exercised redemption rights with respect to several securitized transactions and raised capital organically through re-securitizations of the underlying mortgage loans and loan sales to third parties. We also raised capital through monetizing certain fully valued assets as well as through the issuance of senior unsecured debt. These activities provided the capital necessary as we expanded our platform and mortgage lending capabilities through the acquisition of HomeXpress, increased our allocation to liquid Agency RMBS, made our first investment in MSRs, and began to reshape our allocation of capital, investment mix, and sources of income and earnings.

Full Year and Fourth Quarter 2025 Business Highlights - Investment Portfolio Segment

Investment Activity

Asset Purchases

Agency RMBS. Predominantly starting with the second quarter and through the rest of the year 2025, we purchased approximately $4.3 billion of Agency RMBS, taking advantage of relative value opportunities while simultaneously increasing our liquid securities allocation. These investments allow us to deploy capital in a relatively expedient manner upon raising funds through capital market transactions, asset divestitures, portfolio run-off, or other means and enable us to maintain liquidity that we can access for future investments or other strategic objectives, including business acquisitions. During the fourth quarter we added $606 million of Agency RMBS, net of sales.

MSR Investment. During the third quarter, we gained exposure to a $6.5 billion pool of Fannie Mae MSRs through a third-party servicing partnership. The weighted average interest rate on the loans at the time of acquisition was 4.02% and the weighted average LTV ratio and borrower credit score was 71% and 754, respectively. The purchase price for this investment was $38 million, which represented the net asset value after financing the MSRs by the mortgage loan servicing counterparty. Because MSR valuations typically increase as interest rates rise, offsetting mark-to-market declines on our residential credit portfolio, the MSR allocation is intended to serve as a natural book value hedge to our portfolio. In addition to its hedging characteristics, MSRs are also standalone, income generating assets. The recurring servicing fees, ancillary income, recapture income and float earnings associated with MSRs contribute to earnings while diversifying our interest rate exposure.

RTL Loans. We settled $27 million of business purpose loans during the second quarter that we committed to purchase in the 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%. We did not purchase any additional RTL loans during the rest of the year.

Asset Sales

Agency CMOs. During the second quarter, we sold Agency CMO securities for $73 million. In addition, we also sold previously purchased Agency RMBS Pass-through securities for $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.

Non-Agency and CMBS IO securities. In the third quarter, we also sold $104 million of Non-Agency RMBS subordinate securities, $88 million of Non-Agency RMBS senior securities and $164 million of Agency CMBS IO positions. Net liquidity raised after payment of principal on a secured financing facility that held these securities as collateral was $44 million. These sales generated a realized loss of $8.4 million during the third quarter. In the fourth quarter, we sold $33 million of Non-Agency RMBS subordinate securities. These sales generated a realized loss of $5 million during the fourth quarter.

Non-Agency retained securities. During the third quarter, we sold $237 million of retained bonds from previously issued RPL securitizations and $25 million from previously issued Non-QM and investor securitization for total proceeds of $232 million. Consequently, the retained positions sold will be added to securitized debt as a result of consolidation going forward. Net liquidity raised after payment of principal on a secured financing facility that held these retained bonds as collateral was $72 million.

Non-QM investment loans sales. As a normal discipline of our business operation, we routinely evaluate the potential economic and portfolio benefits of exercising our redemption rights with respect to our sponsored securitizations. These rights provide us with the option to organically raise liquidity by refinancing and/or selling the underlying loans. Through this strategy, during the fourth quarter we redeemed $70 million in securities from the CIM 2022-I1 securitization and sold the

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underlying loans with principal balance of $166 million. After satisfying certain recourse financing obligations, the transaction released approximately $28 million in equity.

Securitization Activity

On January 31, 2025, we sponsored CIM 2025-I1, a $288 million securitization of residential mortgage investor loans. The loans had a weighted average coupon of 7.9%, weighted average FICO scores of 748, and LTV ratio of 64%. Securities issued by CIM 2025-I1, with an aggregate balance of approximately $276 million, were sold in a private placement to institutional investors. These senior securities represented approximately 95.8% of the capital structure. We also retained an option to call the securitized mortgage loans on the earlier of (i) February 25, 2028, or (ii) when the unpaid principal balance is less than or equal to 30% of the unpaid principal balance of the securitized mortgage loans as of the cut-off date. The weighted average cost of debt on securities sold was 5.8%. The securitization is rated by Fitch and Morningstar DBRS. PAS is the asset manager for the securitization.

During the first quarter, we redeemed securities in seven outstanding securitizations and sponsored two new securitizations as further detailed below. The net result of these transactions enabled us to organically generate in excess of $187 million in capital for new investments, while moderately lowering our cost of financing by 17 basis points from a weighted average cost of 6.21% from the seven terminated securitizations to a 6.04% weighted average cost on the two new securitizations. Below we describe these transactions in more detail.

On March 25, 2025, we sponsored two securitizations of residential mortgage loans with an aggregate principal balance of $646 million. The mortgage loans for both securitizations were sourced from the redemption of prior Chimera-sponsored securitizations, including CIM 2021-NR1, CIM 2021-NR2, CIM 2021-NR3, CIM 2021-NR4, CIM 2022-NR1, CIM 2023-NR1, and CIM 2023-NR2.

CIM 2025-R1 was a $392 million securitization of residential mortgage loans. The loans had a weighted average coupon of 5.74%, weighted average FICO scores of 636, and LTV ratio of 50.80%. Securities issued by CIM 2025-R1, with an aggregate balance of approximately $333 million, were sold in a private placement to institutional investors. These senior securities represented approximately 85% of the capital structure. We retained subordinate interests in securities with an aggregate balance of approximately $59 million and certain IOs. We also retained an option to call the securitized mortgage loans on the earlier of (i) March 25, 2027 or (ii) when the aggregate principal amount of the offered notes is less than, or equal to, 10% of the aggregate principal amount of the offered notes as of March 25, 2025. The weighted average cost of debt on securities sold was 5.74%. PAS is the asset manager for the securitization.

CIM 2025-NR1 was a $254 million securitization of residential mortgage loans. The loans had a weighted average coupon of 5.67%, weighted average FICO scores of 597, and LTV ratio of 61.61%. Securities issued by CIM 2025-NR1, with an aggregate balance of approximately $184 million, were sold in a private placement to institutional investors. These senior securities represented approximately 72.50% of the capital structure. We retained subordinate interests in securities with an aggregate balance of approximately $70 million. We also retained an option to call the securitized mortgage loans, at the direction of the majority class B1 certificate holder, beginning on March 25, 2026. The weighted average cost of debt on securities sold was 6.59%. PAS is the asset manager for the securitizations.

Secured Financing Activity

During the first quarter of 2025, we exited a maturing $104 million non-MTM secured facility and separately entered into a new non-MTM secured facility with a principal amount of $167 million that will mature in 18 months in July 2026. The interest rate on the new facility was 412.5 basis points lower than the maturing facility.

In addition, we extended a maturing $407 million non-MTM secured facility by an additional 24 months to February 2027. The old facility had a spread of 375 basis points over SOFR with a maximum rate of 8.75%. The new facility has two separate terms: (i) an approximately $283 million financing facility with a fixed rate of 8.15%, and (ii) an approximately $136 million floating-rate facility at a rate of SOFR +425 basis points.

During the fourth quarter of 2025, our secured financing costs overall declined by 43 basis points for the quarter and 158 basis points for the year, and our secured financing agreements (recourse liabilities) increased by a net $352 million for the quarter, reflecting the deployment of leverage to support our Agency RMBS activities. While the purchase of Agency RMBS securities increased toward the end of the year, our Non-Agency RMBS financing saw a decrease of approximately $74 million during the quarter and $78 million during the year due to asset sales and paydowns.

As of December 31, 2025, we had no outstanding warehouse financing exposure (recourse liabilities) backed by residential mortgage loans, other than a $67 million facility related to business purpose loans for the Investment Portfolio segment.

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At the end of the year, our total recourse financing exposure on our investment portfolio was $5.2 billion. We continue to seek opportunities to finance our retained notes from securitizations with long-term, limited, or, when conditions are appropriate, non-MTM financing facilities. We currently have $1.3 billion, or 25%, of our recourse financing with these types of facilities.

Hedging Activity

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 residential credit portfolio seeks to limit the impact of higher short-term interest rates, while maintaining optionality in the event interest rates decline in the future.

As of December 31, 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 $1.0 billion interest rate cap with a strike rate of 3.95% maturing in February 2027, (iii) $50 million 4.05% par rate equivalent pay-fixed two-year Eris swap futures maturing in March 2027, (iv) a $300 million two-year 3.40% pay fixed rate swaption that expires in January 2027, and (v) a $300 million two-year 3.17% pay fixed rate swaption that expires in February 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 $1.7 billion in pay-fixed interest rate swaps. We also closed out interest rate swaps with a range of maturities and underlying swap tenors representing notional balances of $951 million that resulted in net realized loss of $16 million.

As of December 31, 2025, we maintained open interest rate hedge positions attributable to the Agency RMBS portfolio that included: (i) $3.0 billion 3.44% average pay-fixed interest rate swaps with varying maturities, (ii) $60 million 3.87% par rate equivalent pay-fixed ten-year Eris swap futures maturing in June 2035 and $230 million 3.60% par rate equivalent pay-fixed five-year Eris swap futures maturing in June 2030.

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.

Capital Raising Activity

In September, we issued $120 million of 8.875% unsecured senior notes due August 15, 2030. Net of underwriting fees and offering expenses, we received approximately $116 million in proceeds. These notes may be redeemed, in whole or in part, at any time, from time to time, at our option on or after August 15, 2027. While we continue to favor securitized debt as a source of financing for our assets, the ability to issue unsecured debt helps us to further diversify our capital structure and provides long-term financing to support our investment activities. This was our third overall unsecured bond offering over the past two years, resulting in a combined total issuances of approximately $260 million.

Investment and third-party asset management and advisory fees

Through the Palisades Acquisition in December 2024, we started earning investment management and advisory fees. In addition, PAS was hired to provide asset management services for three securitizations issued by Chimera during the year, and we continue to provide services to unaffiliated investors and private credit funds. Palisades’ fee-based income (both transaction and advisory fees) contributed $9 million in revenue during the fourth quarter and $35 million for the full year 2025.

Acquisition of HomeXpress

On October 1, 2025, we completed the acquisition of HomeXpress for total consideration of $272 million, which consisted of (i) cash of $124 million, representing the Adjusted Book Value of HomeXpress as of September 30, 2025, (ii) cash premium of $120 million, and (iii) issuance of 2,077,151 shares of our common stock.

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Fourth Quarter 2025 Business Highlights - Residential Origination Segment

HomeXpress’ loan origination strategy is focused on providing consistent high-quality service to its network of independent mortgage brokers and bankers and having an agile and responsive approach to shifts in market demand for its loan products, institutional investor appetite and regulatory environments. We expect continued growth in loan originations to come from further penetration of HomeXpress’ existing independent mortgage brokers network and the development of new relationships with them and non-delegated correspondent lenders. Our business strategy is also focused on driving loan origination process and operational efficiencies through our customized technology and risk assessment framework so that we can control and enhance the cost of originating our loans. HomeXpress currently sells all the loans it originates on a servicing-released basis to third-party institutional investors for cash premiums. Warehouse financing is used by HomeXpress to fund these loans from origination through sale.

During the fourth quarter of 2025, HomeXpress originated 2,516 mortgage loans for approximately $1.0 billion in principal balance for an average loan balance produced of approximately $412 thousand. Substantially all these loans were consumer Non-QM and investor business purpose loans with approximately 3.7% being FHA, VA and conventional agency-conforming loans. The weighted average interest rate, FICO score and loan-to value on these loans were 7.13%, 739 and 71.6%, respectively.

Secured Financing Activity

HomeXpress maintained a sufficient overall liquidity position during the fourth quarter of 2025 with its cash balances and seven warehouse lines of credit. HomeXpress had a total available capacity of $1.4 billion in warehouse lines as of December 31, 2025, which are all priced utilizing a base pricing of the 30-day SOFR plus a weighted pricing spread of approximately 197 basis points. As of December 31, 2025, HomeXpress held $872 million on unpaid principal balance on the balance sheet that was financed with $802 million of advances from the warehouse lines of credit, with an average advance rate of 92%.

Hedging Activity

Prior to funding a loan, HomeXpress typically enters into an IRLC with the prospective borrower. This IRLC is accounted for as a derivative asset and is valued based on market conditions, loan characteristics, estimated remaining direct expenses, and subject to the anticipated loan funding probability (the “Pull-through Rate”). As of December 31, 2025, the fair value of HomeXpress’ IRLC asset was $4 million. Upon funding of a locked loan, the IRLC is derecognized and the loan is recorded as LHFS at fair value, with origination fees recognized in interest income and direct loan origination costs expensed as incurred. As of December 31, 2025, the total fair value of HomeXpress’ LHFS was $24 million. HomeXpress operates a daily hedging program that utilizes financial instruments (2-year and 5-year U.S. Treasury futures) in an effort to protect its operational results from interest rate risk. The program covers loans from the day the IRLC is issued through the day a loan is committed for sale to an investor. As of December 31, 2025, HomeXpress had hedging instruments with a notional amount of $173 million for U.S. Treasury futures and $199 million for IRLC.

For the fourth quarter of 2025, HomeXpress reported net income of $8 million, inclusive of gain on origination and sale of loans, net, of approximately $21 million, net interest income of $3 million, total operating expenses of approximately $12 million, and amortization of intangibles and depreciation expense of approximately $3 million. Net income, excluding amortization of intangibles and depreciation, resulted in fourth quarter operating income of approximately $11 million. The operating income represented 111 basis points of HomeXpress’ loan origination volume for the quarter.

Operating expenses

Investment Portfolio Segment

Compensation and benefits expenses decreased by $6 million to $8 million during the fourth quarter, primarily due to lower performance-related expense accruals in the current quarter. For the full year 2025, compensation and benefits expenses

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increased by $5 million to $46 million from $41 million in the prior year, reflecting the inclusion of staffing costs from the Palisades Acquisition in December 2024.

Servicing expenses decreased by $1 million during the fourth quarter of 2025 to $6 million from $7 million in the prior quarter, due to lower loan balances and loan counts related to our portfolio reallocation strategy.

For the full year 2025, G&A expenses increased by $5 million to $28 million compared to $23 million in the prior year, driven primarily by the inclusion of a full year of G&A expenses related to Palisades following the acquisition in December 2024.

Transaction expense was $625 thousand for the fourth quarter of 2025, reflecting additional costs incurred related to the HomeXpress Acquisition. For the full year, we recorded transaction expense of $17 million related to the HomeXpress Acquisition, reflecting an increase of $10 million from the prior year.

Residential Origination Segment

We recognized compensation and benefits of $10 million for our Residential Origination segment for the quarter and year ended December 31, 2025, following the acquisition of HomeXpress on October 1, 2025. We recognized G&A expenses of $2 million for our Residential Origination segment for the quarter and year ended December 31, 2025, following the acquisition of HomeXpress on October 1, 2025. No such expenses were recognized in the prior reporting periods.

Inducement Grants for HomeXpress employees

On September 19, 2025, the Compensation Committee of the Board of Directors (the “Compensation Committee”) approved grants of restricted stock units (“RSUs”), effective October 1, 2025, representing an aggregate of up to 540,000 shares of our common stock, of which 533,391 were granted, under the Chimera Investment Corporation 2025 Inducement Award Plan (the “Award Plan”) to up to 300 individuals offered employment with Chimera in connection with our acquisition of HomeXpress.

In accordance with NYSE Rule 303A.08, the grants were made exclusively to individuals employed by HomeXpress at the time as a material inducement to such individual’s continued service following our acquisition of HomeXpress. The Award Plan reserves up to 540,000 shares of our common stock to be used for inducement grants.

Each grant of RSUs will generally vest in full upon the third anniversary of the grant date, subject to the recipient’s continued service through such vesting date. All of the RSU awards are subject to the terms of the Award Plan and the grant agreements covering such awards.

Earnings and Book Value

During 2025, we diversified our portfolio and positioned it to maintain flexibility and to meet liquidity needs as they arise. In parallel, we continued to evaluate and execute selective asset dispositions related to investments that we believe to be fully valued, not meeting our risk-adjusted return objectives, and/or are no longer consistent with our long-term portfolio objectives. These asset sales were comprised primarily of retained securities from sponsored securitizations and Non-Agency RMBS, with proceeds being redeployed into higher-returning investments to enhance our earnings power, dividend paying ability, and return on equity. We also continue to grow our sources of income, a growth that began with the Palisades Acquisition and continued with the HomeXpress Acquisition that closed on October 1, 2025.

During the quarter, spreads on mortgage loans were relatively unchanged from the third quarter while securitized products continued to tighten. Spread tightening and a steeper yield curve had a more pronounced effect on the bonds issued through our securitization programs than in the underlying mortgage loan assets that we consolidate. As a result, the fair value of our securitized debt liabilities increased more than the fair value of the related mortgage loans.

This dynamic, along with elevated transaction during the fourth quarter, contributed to a decrease in book value per share of 2.7%, to $19.70 as of December 31, 2025, as compared to $20.24 in the prior quarter. For the year ended December 31, 2025, our book value per common share remained relatively unchanged at $19.70, as compared to $19.72 for the year ended December 31, 2024. We declared $1.48 common stock dividends per share in 2025. Our economic return on book value, which includes the overall change in book value for the period plus dividends, was (0.9)% for the fourth quarter and 7.4% for the full year of 2025.

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Strategy Outlook

We continue to focus on building a diversified residential platform that can generate income from assets, gains on sale, and fees from operations with the long-term goal of growing both dividends and overall business value. Specifically, we will continue to look for opportunities to grow and diversify our portfolio, increase liquidity and grow our fee-based income revenue streams.

With respect to our portfolio, while we intend to continue to look for opportunities to securitize mortgage loans (whether we manufacture or acquire the loans), we expect to grow our Agency RMBS and MSR portfolios. In addition to supporting our regulatory compliance, we believe that a larger Agency RMBS portfolio will provide portfolio diversity, more stable dividends, a source of liquidity for opportunistic asset and business acquisitions, as well as allowing us to grow our fee-based operations, and protection in periods of volatility. We also intend to look at opportunities to acquire additional MSRs, which we believe will help hedge our loan portfolio, as well as provide a diverse source of income for our dividends.

With the HomeXpress and Palisades acquisitions, we have embarked on our strategy of enhancing returns to our shareholders through diversification of revenue from fee-based income. As we move into 2026 and beyond, we will look for opportunities to grow our residential operating platform both organically and through acquisitions. We believe that HomeXpress is well positioned to grow originations in 2026 and we will continue to assess the strategy of selling versus retaining the loan production volume of HomeXpress, considering how it affects our short-term results and long-term earnings potential. HomeXpress views its loan origination volumes, its loan sale premiums and its cost efficiency to be its key performance indicators and uses these to measure management’s effectiveness in realizing its objectives. With respect to our non-discretionary advisory business, we anticipate heightened competition may pressure client flow volumes which may lead to margin compression across existing and potential client relationships. We will however, continue to navigate through the market challenges and look to maintain and/or grow our non-discretionary investment management and advisory services through a combination of organic and external growth, depending on opportunities and market conditions.

We will continue to seek other opportunities to acquire platforms that we believe will be synergistic and accretive. We believe such opportunities exist and expect acquisitions to continue to be a source of growth and diversification.

Funds for these portfolio diversification and growth initiatives will come from both our existing portfolio, as we return to our re-lever strategy, and the capital markets. We expect to call, and if market conditions are appropriate, either sell loans or re-securitize our NR securitizations, as well as some of our R securitizations, in 2026. Our ability to call and either sell or resecuritize the loans, as well as access the capital markets will depend on a number of factors, including the breakeven economic re-investment rate, relative value opportunity and liquidity needs, among others.

Business Operations

Net Income Summary

The table below presents our net income on a GAAP basis for the years ended December 31, 2025, 2024, and 2023.

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(1) Includes interest income of consolidated VIEs of $557,046, $640,499 and $593,384 for the years ended December 31, 2025, 2024, and 2023 respectively.

(2) Includes interest expense of consolidated VIEs of $283,722, $293,509, and $282,542 for the years ended December 31, 2025, 2024, and 2023, respectively.

(3) Includes interest income from investment in MSR financing receivables of a consolidated VIE of $709, $0 and $0 for the years ended December 31, 2025, 2024 and 2023, respectively.

(4) Includes a related-party, non-cash imputed compensation expense from the Palisades Acquisition of $1,364, $10,296, and $0 for the years ended December 31, 2025, 2024 and 2023, respectively.

See accompanying notes to the consolidated financial statements.

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Results of Operations for the Years Ended December 31, 2025 and 2024.

The primary source of income for our Investment Portfolio segment is interest income earned on our assets, net of interest expense paid on our financing liabilities, and investment and asset management fees earned through our investment management and advisory business.

The primary source of income for our Residential Origination segment is derived from our mortgage lending activities and includes certain fees collected at the time of origination and gain or loss from the sale of LHFS. Loan origination income reflects the fees earned, net of lender credits from originating the loans. These consist of fees related to loan origination, discount points, underwriting, processing and other fees.

For the year ended December 31, 2025, our net income available to common shareholders was $144 million, or $1.76 per average basic common share, compared to a net income of $90 million, or $1.12 per average basic common share for year ended December 31, 2024. The increase in net income available to common shareholders for the year ended December 31, 2025, as compared to the year ended December 31, 2024, was primarily driven by an increase in net unrealized gains on financial instruments at fair value of $71 million, an increase in investment management and advisory fees of $33 million related to a full year of customized solutions offerings, and an increase in net unrealized gains on derivatives of $7 million. This was offset by an increase in net realized losses on sales of investments of $18 million, an increase in realized losses on derivatives of $12 million, an increases to compensation and benefits of $15 million due to the inclusion of staffing costs from the Palisades Acquisition in December 2024, an increase in transaction expenses of $10 million related to a combination of the HomeXpress Acquisition and higher securitization activity, and an increase in amortization of intangibles and depreciation of $7 million related to the newly acquired intangible assets as part of the business acquisitions.

Interest Income

Our interest income revenues are driven primarily by our Investment Portfolio segment. Interest income increased by $60 million, or 7.9%, to $821 million for the year ended December 31, 2025 as compared to $761 million, for the year ended December 31, 2024. This increase was primarily driven by our Agency Pass-through purchases during the period, resulting in an increase in interest income on our Agency RMBS portfolio of $77 million as compared to the year ended December 31, 2024. The increase was also related to interest income of $13 million on loans held for sale following the acquisition of HomeXpress as reported within our Residential Origination segment. The increase in interest income is offset by decreases in income on our Non-agency RMBS and Loans held for investment portfolios of $10 million and $21 million, respectively, due to asset sales and paydowns during the year.

Interest Expense

Interest expense increased by $59 million, or 11.8%, to $555 million for the year ended December 31, 2025, as compared to $496 million for the year ended December 31, 2024. The increase was primarily driven by an increase in interest expense on our secured financing agreements collateralized by Agency RMBS of $52 million, driven by higher borrowings to finance our Agency CMO and Agency Pass-through purchases, reflecting the deployment of leverage to support our Agency RMBS activities, during the year ended December 31, 2025 as compared to the prior year. Additionally, the interest expense on our Long Term Debt increased to $17 million during the year ended December 31, 2025 as compared to $7 million for the year ended December 31, 2024, driven by our additional unsecured long term debt issuance during the year to support our investment activities. The increase was also driven by the additional interest expense of $10 million on warehouse financing used by HomeXpress to fund our loans from origination through sale.

The increase in interest expense was offset by a decrease in our interest expense on secured financing agreements collateralized by Non-Agency RMBS of $12 million for the year ended December 31, 2025, as compared to the year ended December 31, 2024, due to a reduction in our average secured financing agreements collateralized by Non-Agency RMBS through asset sales and paydowns. Additionally, our interest expense on Securitized debt decreased by $2 million due to a reduction in our average securitized debt balance of $524 million during the year ended December 31, 2025, as compared to the year ended December 31, 2024.

Economic Net Interest Income - Investment Portfolio Segment

Economic net interest income of our Investment Portfolio is a non-GAAP financial measure that equals GAAP net interest income adjusted for net periodic interest on derivatives, interest income from Residential Origination segment and interest income from investment in MSR financing receivables, and excludes interest earned on cash and interest expense from our Residential Origination segment. For the purpose of computing economic net interest income and ratios relating to cost of funds measures throughout this section, interest expense includes net payments on our derivatives, which is presented as a part of Net gains (losses) on derivatives in our Consolidated Statements of Operations. Interest rate swaps, Interest rate cap and Swap

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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.

(1) Primarily interest income on cash and cash equivalents from our Portfolio and Residential Origination segments and interest income from investment in MSR financing receivables.

Net Interest Rate Spread - Investment Portfolio Segment

The following tables show our average earning assets held, interest earned on assets, yield on average interest earning assets, average debt balance, economic interest expense, economic average cost of funds, economic net interest income and net interest rate spread for the periods presented.

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Economic Net Interest Income and the Average Earning Assets - Investment Portfolio Segment

Our Economic net interest income (which is a non-GAAP measure, see “Economic net interest income” discussion earlier for details) decreased by $6 million to $275 million for the year ended December 31, 2025, from $281 million for the year ended December 31, 2024. Our net interest rate spread, which equals the yield on our average interest-earning assets less the economic average cost of funds, remained relatively unchanged at 1.5% for the years ended December 31, 2025 and 2024, respectively.

Our Average net interest-earning assets decreased by $254 million to $1.8 billion for the year ended December 31, 2025, compared to $2.0 billion for the same period of 2024. Our net interest margin, which equals the yield on our average interest-earning assets less the economic average cost of funds, decreased by 20 basis points for the year ended December 31, 2025, as compared to the year ended December 31, 2024.

Economic Interest Expense and the Cost of Funds - Investment Portfolio Segment

The borrowing rate at which we are able to finance our assets using secured financing agreements is typically correlated to SOFR and the term of the financing. The borrowing rate on the majority of our securitized debt is fixed and correlated to the term of the financing. The table below shows our average borrowed funds, Economic interest expense, average cost of funds (inclusive of periodic interest on swaps and Swap futures), average one-month SOFR, average three-month SOFR and average one-month SOFR relative to average three-month SOFR.

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Average interest-bearing liabilities increased by $1.1 billion for the year ended December 31, 2025, as compared to the year ended December 31, 2024. Economic interest expense increased by $52 million for the year ended December 31, 2025, as compared to the year ended December 31, 2024, 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 year ended December 31, 2025, we recorded an increase in provision for credit losses of $16 million, as compared to an increase in provision of credit losses of $10 million for the year ended December 31, 2024. The changes in provision for credit losses for the year ended December 31, 2025, as compared to the year ended December 31, 2024, are primarily due to a deterioration in cashflows on a combination of Non-Agency senior and subordinated bonds.

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 derivatives portfolio during the period as well as sales, terminations and settlements related to our derivatives portfolio.

The tables below show a summary of our net gains (losses) on derivative instruments for the years ended December 31, 2025, 2024 and 2023.

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In addition, the net gains (losses) attributable to derivatives on our Residential Origination segment was $1.2 million for the year ended December 31, 2025 which is reported in Gain on origination and sale of loans, net, in our Consolidated Statements of Operations.

During the years ended December 31, 2025 and 2024, we recognized total net losses on derivatives of $3 million and total net gains on derivatives of $5 million, respectively. Changes in market value are generally a result of changes in interest rates. We may or may not ultimately realize these unrealized derivative gains and losses depending on trade activity, changes in interest rates and the values of the underlying securities.

Interest Rate Swaps

The weighted average pay rate on our interest rate swaps at December 31, 2025 was 3.44% and the weighted average receive rate was 3.87%. At December 31, 2025, the weighted average maturity on our interest rate swaps was less than 6 years. During the year ended December 31, 2025, we had net realized losses of $26 million related to the interest rate swaps.

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 net realized losses of $26 million related to swap terminations during the year ended December 31, 2025. We had a realized loss of $17 million related to the maturity of one swap during the year ended December 31, 2024.

Swap Futures

During the year ended December 31, 2025, we had Swap futures with a notional of $340 million. We had net realized losses of $2 million related to swap futures terminations during the year ended December 31, 2025.

Swaptions

During the year ended December 31, 2025, we had swaptions with a notional of $600 million. We had net realized losses of $6 million related to swaptions during the year ended December 31, 2025. During the year ended December 31, 2024, we did not have any swaption terminations.

Interest Rate Cap

During the year ended December 31, 2025, we entered into an interest rate cap. We paid $7 million for a $1.0 billion notional two-year interest rate cap with a strike rate of 3.95% on SOFR as the market reference rate. At December 31, 2024, we held no interest rate caps.

Treasury Future Contracts

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For our Investment Portfolio segment, during the year ended December 31, 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 year ended December 31, 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, which we subsequently covered for a net realized loss of $5 million. Additionally, we covered and reopened our existing open 2-year U.S Treasury futures contract position for a realized gain of $641 thousand. We are short 1,000 2-year U.S. Treasury futures contract at December 31, 2024.

For the Residential Origination segment, during the year ended December 31, 2025, we entered into 360 short 5-year and 1,400 short 2-year U.S. Treasury futures contract with notional amounts of $36 million and $280 million respectively, which we subsequently covered for net realized gain of $31 thousand. We are short 197 5-year and 765 2-year U.S. Treasury futures contracts at December 31, 2025.

Interest Rate Lock Commitments

For the Residential Origination segment, we enter into IRLCs with prospective borrowers to originate mortgage loans at a specified interest rate. This creates a derivative asset which is valued based on market conditions, loan characteristics, estimated remaining direct expenses, and subject to the Pull-through Rate. As of December 31, 2025, HomeXpress’ total IRLC asset had a notional amount of $200 million and a fair value of $4 million.

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

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 $251 million of proceeds.

During the third quarter of 2024, we issued $75 million aggregate principal amount (including the additional amount

issued pursuant to the exercise of the over-allotment option) of 9.25% unsecured senior notes due 2029 that pay quarterly interest. After deducting the underwriting discount and other debt issuance costs, we received approximately $72 million of proceeds.

During the third quarter of 2025, we issued $120 million aggregate principal amount (including the additional amount

issued pursuant to the exercise of the over-allotment option) of 8.875% unsecured senior notes due 2030 that pay quarterly interest. After deducting the underwriting discount and other debt issuance costs, we received approximately $116 million of proceeds.

At December 31, 2025, the outstanding principal amount of these notes was $260 million and the accrued interest payable on this debt was $3 million. At December 31, 2025, the unamortized deferred debt issuance cost was $8 million. The net interest expense was $17 million and $7 million for the years ended December 31, 2025 and 2024, respectively.

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 $35 million and $3 million for the years ended December 31, 2025 and 2024, respectively.

Gain on origination and sale, net

Gain on origination and sale, net, represents the primary source of revenue for our Residential Origination segment. During the fourth quarter of 2025, revenue derived from our mortgage lending activities includes certain fees collected at the time of origination, gain or loss from the sale of LHFS, net change in the valuations of the IRLC and LHFS, realized and unrealized change in value of the derivative instruments, provisions or benefit for loan repurchase reserves and the direct loan originations costs, net.

Loan origination income, net, reflects the fees earned, net of lender credits from originating the loans. These consist of fees related to loan origination, discount points, underwriting, processing and other fees. Lender credits typically are related to rebates or concessions for certain loan origination costs.

Premiums from loan sales and the mark-to-market changes of LHFS include both the realized and unrealized gains and losses on the sale of LHFS and are included in Gain on origination and sales of loans, net. The valuation of LHFS approximates the

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servicing released market value of a loan sold to a private investor. Unrealized gains from derivative instruments are the net change in value of the IRLC derivative asset and the hedge derivatives.

Benefits (provision) for loan repurchase reserves records the net change in the estimated losses retaining to reps and warrant associated with a mortgage loan sale.

Direct loan origination costs, net, are the direct expenses associated with the origination of a mortgage loan. These costs include loan verification services, interim servicing expenses, third party due diligence fees, and commissions to sales employees. Under fair value accounting these expenses are realized when a loan funds.

We recognized gain on origination and sale of loans, net, of $21 million for the year ended December 31, 2025 following the acquisition of HomeXpress on October 1, 2025.

Interest Income from investment in MSR financing receivables

During the year ended December 31, 2025, we entered into purchase agreements to acquire base and excess servicing compensation rights, also known as MSRs, associated with a $6.5 billion portfolio of mortgage loans from a licensed, GSE-approved residential mortgage loan servicer. In these arrangements, the licensed servicer holds legal title to the MSRs and is responsible for performing all servicing activities, while we provide financing or capital support and, in return, receive the economic benefits of a base and excess servicing spread.

We entered into a Reference Spread Agreement for Agency Loans to purchase the base servicing fee on the mortgage servicing loans at a rate of 12.5 basis points less the cost of servicing and other ancillary fees and income. We also entered into a True Excess Spread Agreement for FNMA Loans entitling us to monthly distributions of the servicing fees collected by the mortgage loan servicer in excess of 12.5 basis points per annum and other related servicing cash flows.

Recurring servicing fees, ancillary income, recapture income, and float earnings associated with MSRs are recognized on a cash basis when earned and received. We recognized interest income on our investments in MSR financing receivables, net, of $520 thousand for the year ended December 31, 2025.

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

During the year ended December 31, 2025, the Federal Reserve cut rates three times by 25 basis points each, bringing the year end range to 3.50%-3.75%. Interest rates generally tracked lower during the year, with the two-year treasury falling 77 basis points to 3.47%, and the ten-year treasury yield dropping 40 basis points to 4.17% at year end. We recorded net unrealized gains on financial instruments at fair value of $82 million and $11 million for the years ended December 31, 2025 and 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 year ended December 31, 2025, we rebalanced a portion of our investment portfolio and sold certain Agency CMO, Non-Agency RMBS and Loans held for investment assets, which resulted in a net realized loss of $23 million. Proceeds from these sales were largely re-invested in Agency RMBS Pass-through securities and enabled us to maintain liquidity which can be used for investments or acquisitions. During the year ended December 31, 2024, we sold Agency CMBS and Agency CMO assets. These sales resulted in a net realized losses of $5 million.

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 years ended December 31, 2025 and 2024.

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Securitized Debt Collateralized by Loans Held for Investment

We acquired securitized debt collateralized by Loans held for investment with an amortized cost balance of $384 million for $382 million during the year ended December 31, 2025. We did not acquire any securitized debt collateralized by loans held for investment during the year ended December 31, 2024.

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.

Compensation and benefits costs were approximately $57 million and $41 million for the year ended December 31, 2025 and December 31, 2024. The increase in Compensation and benefits costs for the year ended December 31, 2025 compared to the year ended December 31, 2024, was driven by higher overall compensation expense related to the increase in employee headcount and expenses related to the acquisitions of Palisades and HomeXpress.

G&A expenses were approximately $30 million and $23 million for the year ended December 31, 2025 and December 31, 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 year ended December 31, 2025, we incurred transaction expenses of $17 million in relation to the HomeXpress Acquisition. During the year ended December 31, 2024, we incurred transaction expenses of $7 million due to Palisades Acquisition and securitization activity.

Servicing and Asset Manager Fee Expense

Servicing fees and asset manager expenses were $28 million and $30 million for the year ended December 31, 2025 and December 31, 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. Servicing and asset manager fee expense decreased by $2 million year over year due to lower loan balances and loan counts at December 31, 2025 related to our portfolio reallocation during the year. Servicing fees paid by the Residential Origination unit are for the interim servicing of loans from organization to sale and are included in Gain on origination and sale of loans, net, in our Consolidated Statements of Operations.

Amortization of intangibles and depreciation expenses

We recognized intangible assets related to investment management agreements, internally developed software, developed technology, broker relationships, trade name and licenses acquired in the acquisitions. The long-lived fixed assets are comprised of leasehold improvements, furniture and fixtures, and computers. The fixed assets and intangible assets are depreciated or amortized over their estimated useful lives. We acquired both intangible assets and long-lived fixed assets through the acquisitions of Palisades and HomeXpress during the fourth quarters of 2024 and 2025, respectively. During the years ended December 31, 2025 and December 31, 2024, we recognized amortization of intangible assets and depreciation expense of $7 million and $321 thousand, respectively.

Segment Results of Operations

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Investment Portfolio segment

The Investment Portfolio segment consists of our investments and third-party advisory services activities, and is comprised of our investments and financial assets including (i) MSR Related Investments, (ii) Real Estate Securities, (iii) Properties and Residential Mortgage Loans, (iv) Consumer loans and (v) certain ancillary investments and equity method investments, as well as associated financing, hedging, and various allocable expenses. These activities were previously reflected within our single reportable segment prior to the 2025 segment reevaluation.

Residential Origination segment

In conjunction with the HomeXpress Acquisition, the Residential Origination segment consists of our stand-alone mortgage origination business of HomeXpress that originates consumer Non-QM, investor business purpose, and other Non-Agency and Agency mortgage loan products, and includes the related goodwill, intangible assets, and direct expenses, plus HomeXpress-related residential whole loans and real estate owned.

The following presents, for each reportable segment, revenues, the measure of segment profit or loss, and significant segment expenses. Segment results are prepared on the same basis as our consolidated financial statements and are reconciled to consolidated amounts below:

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Earnings Available for Distribution

Earnings available for distribution is a non-GAAP measure and is defined as GAAP net income (loss) 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, net of any tax impact (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.

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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 issuance 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.

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(1) As a result of the business combinations, we updated the determination of earnings available for distribution to exclude non-recurring acquisition-related transaction expenses, non-cash amortization of intangibles and depreciation expenses, and non-cash imputed compensation expenses. These expenses are excluded as they relate to our business combinations and are not directly related to our income generating activities.

(2) Non-cash amortization of intangibles and depreciation expenses related to acquisitions.

(3) Tax impact on non-cash amortization of intangibles and depreciation expenses related to business combinations.

The table below summarizes the reconciliation from weighted-average diluted shares under GAAP to the weighted average adjusted diluted shares used for Earnings available for distribution for the years ended December 31, 2025, 2024 and 2023.

(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. There were no dilutive shares related to RSU/PSUs given the Company reported GAAP net income available to common shareholders for all periods.

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(1) As a result of the business combinations, we updated the determination of earnings available for distribution to exclude non-recurring acquisition-related transaction expenses, non-cash amortization of intangibles and depreciation expenses, and non-cash imputed compensation expenses. These expenses are excluded as they relate to our business combinations and are not directly related to our income generating activities.

(2) Non-cash amortization of intangibles and depreciation expenses related to acquisitions.

(3) Tax impact on non-cash amortization of intangibles and depreciation expenses related to business combinations.

The table below summarizes the reconciliation from weighted-average diluted shares under GAAP to the weighted-average adjusted diluted shares used for Earnings available for distribution for the periods reported below.

(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 quarters ended September 30, 2025 and December 31, 2024.

Earnings available for distribution for the year ended December 31, 2025 were $141 million, or $1.68 per average diluted common share, and increased by $20 million, compared to $121 million, or $1.48 per average diluted common share for the year ended December 31, 2024. As discussed earlier, the increase in Earnings available for distribution was primarily due to our portfolio reallocation efforts, investment and asset management fee revenue and purchase of HomeXpress.

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

The table below shows our Net income (loss) and Economic net interest income as a percentage of average stockholders' equity Earnings available for distribution as a percentage of average common stockholders' equity, and Average Tangible Common Equity. Return on average equity is defined as our GAAP net income (loss) as a percentage of average equity. Average equity is defined as the average of our beginning and ending stockholders' equity balance for the period reported. Economic net interest income and Earnings available for distribution are non-GAAP measures as defined in previous sections. Tangible Common Equity is a non-GAAP measure and is defined below.

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(1) Includes our Economic Net Interest Income and Average equity on our Investment Portfolio.

Return on average equity was 8.91% for year ended December 31, 2025, as compared to 6.72% for the year ended December 31, 2025. This increase was primarily driven by higher mark to market gains on our investment portfolio. Economic net interest income as a percentage of average equity on our in increased by 16 basis points for the year ended December 31, 2025 as compared to the year ended December 31, 2024. Earnings available for distribution as a percentage of average common equity increased by 135 basis points for the year ended December 31, 2025, as compared to the year ended December 31, 2024.

Tangible Common Equity is a non-GAAP measure and is defined as Total stockholders' equity available to common stockholders less intangible assets and goodwill related to the business acquisitions. We believe that this measure helps our management and investors understand our capital adequacy and changes from period to period in our common stockholders' equity exclusive of changes of intangible assets. The following table presents a reconciliation of Total Stockholders’ Equity to Tangible Common Equity as of December 31, 2025.

Financial Condition

Portfolio Review

During the year ended December 31, 2025, we focused our efforts on taking advantage of relative value opportunities while simultaneously increasing our liquid securities allocation. During the year ended December 31, 2025, on an aggregate basis, we purchased $4.7 billion of investments and received $1.8 billion 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 December 31, 2025 and December 31, 2024.

(1) Excludes cash and cash equivalents.

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GAAP leverage at period-end is calculated as a ratio of our secured financing agreements and securitized debt liabilities over GAAP book value. GAAP recourse leverage is calculated as a ratio of our secured financing agreements over stockholders' equity.

The following table presents details of each asset class in our portfolio, excluding interests in MSR financing receivables, at December 31, 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.

(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.)

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(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.

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

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offerings. Over the past several months, we have deliberately positioned the portfolio to maintain flexibility and to meet liquidity needs as they arise, including the HomeXpress Acquisition that closed on October 1, 2025.

Our ability to fund our operations, meet financial obligations and finance target asset acquisitions may be impacted by our ability to secure and maintain our master secured financing agreements, warehouse facilities and secured financing agreement facilities with our counterparties. Because secured financing agreements and warehouse facilities are short-term commitments of capital, lenders may respond to market conditions making it more difficult for us to renew or replace on a continuous basis our maturing short-term borrowings and have and may continue to impose more onerous conditions when rolling forward such financings. If we are not able to renew our existing facilities or arrange for new financing on terms acceptable to us, or if we default on our covenants or are otherwise unable to access funds under our financing facilities, or if we are required to post more collateral or face larger haircuts, we may have to curtail our asset acquisition activities and dispose of assets.

To meet our short-term (one year or less) liquidity needs, we expect to continue to borrow funds in the form of secured financing agreements and, subject to market conditions, other types of financing. The terms of the secured financing transaction borrowings under our master secured financing agreement generally conform to the terms in the standard master secured financing agreement as published by 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 $279 million and $84 million at December 31, 2025 and December 31, 2024, respectively. As a result of our operating, investing and financing activities described below, our cash position increased by $195 million from December 31, 2024 to December 31, 2025.

Our operating activities used net cash of approximately $249 million and provided $206 million for the year ended December 31, 2025 and 2024, respectively. The cash flows from operations were primarily driven by cash used of $374 million related to our mortgage origination activities offset in part by interest received in excess of interest paid of $265 million during the year ended December 31, 2025. The cash flows from operations were primarily driven by interest received in excess of interest paid of $282 million during the year ended December 31, 2024.

Our investing activities used cash of $1.7 billion and provided cash of $178 million for the year ended December 31, 2025 and 2024, respectively. During the year ended December 31, 2025, we used cash to purchase $4.2 billion of Agency MBS and $441 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 $1.8 billion, collectively. We also used cash for the HomeXpress acquisition during the year ended December 31, 2025. During the year ended December 31, 2024, we used cash to purchase $1.1 billion Agency MBS, $657 million Loans held for investment and $96 million Non-Agency RMBS offset by cash received for principal repayments on Agency MBS, Non-Agency RMBS and Loans held for investment of $1.5 billion and from the sale of our Agency MBS of $569 million

Our financing activities provided cash of $2.1 billion and used cash of $522 million for the year ended December 31, 2025 and 2024, respectively. During the year ended December 31, 2025, we received cash from net proceeds on our secured financing agreements of $2.7 billion, and proceeds received from our secured debt borrowings of $1.0 billion. This cash received was offset in part by cash used for repayment of principal on our securitized debt of $1.5 billion, and payment of common and preferred dividends of $209 million. During the year ended December 31, 2024, we received cash from net proceeds on our secured financing agreements of $398 million, and issuance of unsecured notes of $134 million. This cash received was offset

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in part by cash used for repayment of principal on our securitized debt of $1.2 billion, and payment of common and preferred dividends of $223 million.

Our recourse leverage increased at December 31, 2025 to 2.4:1 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 December 31, 2025 and December 31, 2024, we had $249 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 December 31, 2025 and December 31, 2024, the remaining maturities and borrowing rates on our RMBS and loan secured financing agreements were as follows. The acquisition of HomeXpress added $802 million of secured financing that had a weighted average borrowing rate of 5.84%.

(1) The values for secured financing agreements in the table above is net of $271 thousand of deferred financing costs as of December 31, 2025.

Average remaining maturity of Secured financing agreements secured by:

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 December 31, 2025, the weighted average haircut on the Company's secured financing agreements collateralized by Agency RMBS was 4.4%, Agency CMBS was 5.4%, Loans-held for sale was 7.3% and Non-Agency RMBS and Loans held for investment was 27.1%. At December 31, 2024, the weighted average haircut on the Company's 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

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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 December 31, 2025, we have entered into $890 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 December 31, 2025 we have $402 million of limited MTM facilities. We believe these non-MTM and limited MTM facilities significantly reduce our financing risks. See Note 6 to our consolidated financial statements for a discussion on how we determine the fair values of the RMBS collateralizing our secured financing agreements.

At December 31, 2025, the weighted average borrowing rates for our secured financing agreements collateralized by Agency RMBS was 4.0%, Agency CMBS was 4.0%, Loans held for sale was 5.84% and Non-Agency MBS and Loans held for investment was 6.4%. 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 December 31, 2025 and December 31, 2024 was $306 million and $337 million, respectively. The fair value of collateral pledged was $360 million and $383 million as of December 31, 2025 and December 31, 2024, respectively. We carry this secured financing instrument at fair value of $299 million and $319 million as of December 31, 2025 and December 31, 2024, respectively. At December 31, 2025 and December 31, 2024, the weighted average borrowing rate on secured financing agreements at fair value was 5.0%. At December 31, 2025 and December 31, 2024, the haircut for the secured financing agreements at fair value was 7.5%. At December 31, 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 adjustments to the size of our portfolio resulting from the use of leverage. The acquisition of HomeXpress added $802 million of secured financing as of December 31, 2025 and this financing average $621 million during the quarter ending December 31, 2025.

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 December 31, 2025 and December 31, 2024, the carrying value of our total interest-bearing debt was approximately $13.1 billion and $9.9 billion, respectively, which represented a leverage ratio of approximately 5.1:1 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 December 31, 2025, we had secured financing agreements with 20 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 December 31, 2025 and December 31,

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2024, we had $7.4 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 December 31, 2025 was less than six years. All of our swaps are cleared by a central clearing house. When our interest rate swaps are in a net loss position (expected cash payments are in excess of expected cash receipts on the swaps), we post collateral as required by the terms of our swap agreements. The average remaining maturities on our Swap futures at December 31, 2025 is three 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 December 31, 2025:

(1) Represents the amount of securities and/or cash pledged as collateral to each counterparty less the aggregate of secured financing agreement.

HomeXpress represents $802 million of the counterparty balances and is spread among 7 counterparties. This represents 13% of the secured financing agreements as of December 31, 2025.

We regularly monitor our exposure to financing counterparties for credit risk and allocate assets to these counterparties based, in part, on the credit quality and internally developed metrics measuring counterparty risk. Our exposure to a particular counterparty is calculated as the excess collateral that is pledged relative to the secured financing agreement balance. If our exposure to our financing counterparties exceeds internally developed thresholds, we develop a plan to reduce the exposure to an acceptable level. At December 31, 2025, we had amounts at risk with Nomura of 18% of our equity related to the collateral posted on secured financing agreements. The weighted average maturities of the secured financing agreements with Nomura were 287 days. The amount at risk with Nomura was $459 million. At 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 December 31, 2025, we did not use credit default swaps or other forms of credit protection to hedge the exposures summarized in the table above.

Residential Origination Segment

In addition to warehouse bank covenants, we are also subject to liquidity and net worth requirements established by the FHFA for Freddie Mac seller/servicers and HUD. The FHFA and HUD have established minimum liquidity requirements and net worth requirements for their approved non-depository single-family sellers/servicers in the case of Freddie Mac and HUD:

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•FHFA liquidity requirement is equal to 0.035% (3.5 basis points) of total Agency servicing UPB at the entity level plus an incremental 200 basis points of the amount by which total nonperforming Agency servicing UPB exceeds 6% of the applicable Agency servicing UPB. Allowable assets to satisfy liquidity requirement include cash and cash equivalents (unrestricted), certain investment-grade securities that are available for sale or held for trading including Agency mortgage-backed securities, obligations of Fannie Mae or Freddie Mac, and U.S. Treasury obligations, and unused and available portions of committed servicing advance lines.

•FHFA net worth requirement is a minimum net worth of $2.5 million plus 0.25% (25 basis points) of UPB at the entity level for total 1-4 unit residential mortgage loans serviced and a tangible net worth/total assets ratio greater than or equal to 6%.

•HUD net worth requirement is equal to $1.0 million plus 1% (100 basis points) of adjusted activity up to a $2.5 million net worth requirement.

These requirements are calculated based on standalone audited financial statements of HomeXpress and we are currently in compliance with the applicable Agency requirements.

Stockholders’ Equity

In January 2024, our Board of Directors updated the authorization of our share repurchase program (the “Share Repurchase Program”) to include our preferred stock and increased the authorization by $33 million 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 years ended December 31, 2025 and 2024. The approximate dollar value of shares that may yet be purchased under the Share Repurchase Program is $250 million as of December 31, 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, we amended the Existing Sales Agreements and entered into separate Distribution Agency Agreements (together with the Existing Sales Agreements, as amended, the “Sales Agreements”) with J.P. Morgan Securities LLC and UBS Securities LLC (replacing Credit Suisse Securities LLC) to include J.P. Morgan Securities LLC and UBS Securities LLC as additional sales agents. Pursuant to the terms of the Sales Agreements, we may offer and sell shares of our common stock, having an aggregate offering price of up to $500 million from time to time in “at the market offerings” through any of the sales agents under the Securities Act of 1933. We did not issue any shares under the at-the-market sales program during the years ended December 31, 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 December 31, 2025.

We declared dividends to Series A preferred stockholders of $12 million, or $2.00 per preferred share, during the years ended December 31, 2025 and December 31, 2024, respectively.

We declared dividends to Series B preferred stockholders of $33 million, or $2.57 per preferred share, during the year ended December 31, 2025. We declared dividends to Series B preferred stockholders of $34 million, or $2.59 per preferred share, during the year ended December 31, 2024.

We declared dividends to Series C preferred stockholders of $21 million, or $2.02 per preferred share, during the year ended December 31, 2025. We declared dividends to Series C preferred stock holders of $20 million, or $1.94 per preferred share, during the year ended December 31, 2024.

We declared dividends to Series D preferred stockholders of $20 million, or $2.50 per preferred share, during the year ended December 31, 2025. We declared dividends to Series D preferred stockholders of $20 million, or $2.55 per preferred share, during the year ended December 31, 2024.

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On October 30, 2021, all 5,800,000 issued and outstanding shares of Series A Preferred Stock with an outstanding liquidation preference of $145 million became callable at a redemption price equal to the liquidation preference plus accrued and unpaid dividends through, but not including, the redemption date.

On March 30, 2024, all 13,000,000 issued and outstanding shares of Series B Preferred Stock with an outstanding liquidation preference of $325 million became callable at a redemption price equal to the liquidation preference plus accrued and unpaid dividends through, but not including, the redemption date.

On March 30, 2024, all 8,000,000 issued and outstanding shares of Series D Preferred Stock with an outstanding liquidation preference of $200 million became callable at a redemption price equal to the liquidation preference plus accrued and unpaid dividends through, but not including, the redemption date.

On September 30, 2025, all 10,400,000 issued and outstanding shares of Series C Preferred Stock with an outstanding liquidation preference of $260 million became callable at a redemption price equal to the liquidation preference plus accrued and unpaid dividends through, but not including, the redemption date.

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 our 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 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 (adjusted on a retroactive basis to reflect the Company's 1-for-3-reverse stock split effected on

May 21, 2024). 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 December 31, 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 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 irrevocably terminated the Executive Officer Plan and suspended new deferral elections under the Director Plan. The Executive Officer Plan was liquidated as of November 30, 2025, and all amounts outstanding under the Executive Officer Plan on the liquidation date were paid at that time in accordance with applicable tax rules. All deferrals previously made under the Director Plan will remain outstanding, and all deferrals pursuant to prior elections made by directors will be paid on the originally scheduled payment dates. At December 31, 2025 and December 31, 2024, there are approximately 92 thousand and 124 thousand shares for which payments have been deferred until separation or a date elected by the participant, respectively. At December 31, 2025 and December 31, 2024, there are approximately 269 thousand and 229 thousand DERs earned but not yet delivered, respectively.

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Grants of RSUs

During the year ended December 31, 2025 and 2024, we granted RSU awards to senior management, employees and directors. These RSU awards are designed to reward our senior management, employees and directors for services provided to us. Generally, the RSU awards vest equally over a three-year period and will fully vest after three years. For employees who are retirement eligible, defined as years of service to us plus age that is equal to or greater than 65, the service period is considered to be fulfilled and all grants are expensed immediately. For senior management who are retirement eligible, defined as having attained age 55 and the sum of his or her age plus his or her years of service is equal or greater than 65, the service period is considered to be fulfilled and all grants are expensed immediately. The RSU awards are valued at the market price of our common stock on the grant date and generally the employees must be employed by us on the vesting dates to receive the RSU awards. We granted 1 million RSU awards during the year ended December 31, 2025 with a grant date fair value of $16 million which includes stock grants to both Chimera and HomeXpress employees for the 2025 performance year. We granted 245 thousand RSU awards during the year ended December 31, 2024 with a grant date fair value of $5 million for the 2024 performance year.

In addition, in connection with the HomeXpress Acquisition, the Compensation Committee adopted the Award Plan, pursuant to which we reserved 540,000 shares of Chimera’s common stock, $0.01 par value per share for issuance under the Award Plan solely to individuals who were not previously employees of Chimera or any subsidiary of Chimera (or who are returning to employment following a bona fide period of interruption of employment with Chimera), in accordance with NYSE Listed Company Manual Rule 303A.08. The Award Plan was approved by the Compensation Committee without shareholder approval pursuant to NYSE Listed Company Manual Rule 303A.08. The Compensation Committee also adopted a form of restricted stock unit award agreement for use with the Award Plan. We issued restricted stock units to certain employees of HomeXpress as a material inducement for such employees to continue their employment with HomeXpress following the completion of the HomeXpress Acquisition. In connection with this transaction, stock-based compensation expense of $7 million will be recognized on a straight-line basis over the three-year vesting period as it relates to the HomeXpress Acquisition.

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 year ended December 31, 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 year ended December 31, 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 the Company’s 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 our 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 year ended December 31, 2025, we granted 296 thousand PSU awards to senior management with a grant date fair value of $4 million. For the year ended December 31, 2024, we granted 179 thousand PSU awards to senior management with a grant date fair value of $3 million.

We recognized stock-based compensation expense of $11 million which includes stock grants to both Chimera and HomeXpress employees for the year ended December 31, 2025. We recognized stock-based compensation expense of $8 million for the year ended December 31, 2024.

At December 31, 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.

Capital Raising Activity

During the third quarter of 2025, we issued $120 million aggregate principal amount (including the additional amount issued pursuant to the exercise of the over-allotment option) of 8.875% Senior Notes due 2030 that pay quarterly interest. After deducting the underwriting discount and other debt issuance costs we received approximately $116 million of proceeds. While we continue to favor securitized debt as a source of financing for our assets, the ability to issue unsecured debt helps us to further diversify our capital structure and provides long-term financing to support our investment activities

Contractual Obligations and Commitments

The following tables summarize our contractual obligations at December 31, 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. The acquisition of HomeXpress added $802 million of uncommitted secured financing agreements that mature within one year.

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(1) Interest is based on variable rates in effect as of December 31, 2025.

(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 December 31, 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 year ended December 31, 2025, we funded an additional $637 thousand towards that commitment, which brought the total funding to $57 million, leaving an unfunded commitment of $18 million.

Capital Expenditure Requirements

At December 31, 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.

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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.

Recognition of Revenue

We primarily invest in pools of mortgage loans. All mortgage loans are carried at fair value with changes in fair value recognized in earnings. Our investments in mortgage loans pay principal and interest which is accrued when due. We also invest in MBS representing interests in obligations backed by pools of mortgage loans. Our investments in MBS includes investments in both Agency MBS and Non-Agency MBS. We delineate between (1) Agency MBS and (2) Non-Agency RMBS. The Agency MBS are mortgage pass-through certificates, CMOs, and other RMBS representing interests in or obligations backed by pools of residential mortgage loans issued or guaranteed as to principal and/or interest repayment by agencies of the U.S. Government or federally chartered corporations such as Ginnie Mae, Freddie Mac or Fannie Mae. The Non-Agency RMBS are not issued or guaranteed by Fannie Mae, Freddie Mac, or Ginnie Mae and are therefore subject to credit risk. We also invests in IO MBS strips which represent our right to receive a specified proportion of the contractual interest flows of the collateral.

Income on our investments is recognized based on an effective interest rate we expect to earn over the life of the investment. The effective interest rate is determined based on the cost of the investment and the expectation of future cash flows. To determine the future cash flows, we estimate the amount and timing of principal and interest, referred to as the repayment rate, and our expectations of defaults on payments of principal and interest. These estimates require significant judgment which change over time as our expectations change due to changes in market conditions and changes in our investments as principal and interest, other cash flows or losses are experienced. These estimates are compared to actual results of the investment and other similar investments on a regular basis and updated as necessary. These comparisons may result in a favorable or unfavorable change in the effective interest rate expected to be collected. Any favorable or unfavorable changes are reflected as a change in income. Our estimates of the timing and amount of principal and interest, including our expectation of defaults on payments of principal and interest are critical to accurately reporting interest income.

Our accounting policies for recognition of interest income and current expected credit losses related to MBS investments are described in further detail in Note 2 of the consolidated financial statements.

Revenue derived from our origination activities includes certain fees collected at the time of origination and gain or loss from the sale of LHFS. Loan origination income reflects the fees earned, net of lender credits from originating the loans. These consist of fees related to loan origination, discount points, underwriting, processing and other fees. Lender credits typically are related to rebates or concessions for certain loan origination costs.

Determination of Fair Value

Substantially all of our investments are carried at fair value. In accordance with current accounting guidance, fair value of our financial instruments represents the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the financial statement reporting date. We use internally developed models to determine fair value of our investments.

We determine the fair value of all of our Non-Agency RMBS investment securities, including Non-Agency represented as securitized debt, based on discounted cash flows utilizing an internal pricing model that incorporates factors such as coupon, repayment speeds, expected losses, expected loss severity, discount rates and other factors. Estimates of repayment speeds, expected losses and expected loss severity, require significant judgment and are based on what we believe a market participant would use to determine the cash flows. To corroborate that the estimates of fair values generated by these internal models are

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reflective of current market prices, we compare the fair values generated by the model to non-binding independent prices provided by an independent third-party pricing services.

We estimate the fair value of our Loans held for investment consisting of seasoned subprime residential mortgage loans on a loan-by-loan basis using an internally developed model which compares the loan held by us with a loan currently offered in the market. The loan price is adjusted in the model by considering the loan factors which would impact the value of a loan. These loan factors include loan coupon as compared to coupon currently available in the market, FICO, LTV ratios, delinquency history, owner occupancy, and property type, among other factors. A baseline is developed for each significant loan factor and adjusts the price up or down depending on how that factor for each specific loan compares to the baseline rate. Generally, the most significant impact on loan value is the loan interest rate as compared to interest rates currently available in the market and delinquency history. The determination of the baseline and the market expectation, requires significant judgment. To corroborate that the estimates of fair values generated by these internal models are reflective of current market prices, we compare the fair values generated by the model to non-binding independent prices provided by an independent third-party pricing service.

To the extent the inputs used to estimate fair value are observable, the values would be categorized in Level 2 of the fair value hierarchy; otherwise they would be categorized as Level 3. Our fair value estimation process utilizes inputs other than quoted prices that are observed in the market. Our estimates are deemed to be significant to the fair value measurement process, which renders the resulting Non-Agency fair value estimates Level 3 inputs in the fair value hierarchy. Level 3 assets represent approximately 70% of total assets measured at fair value on a recurring basis as of December 31, 2025 and 2024, respectively. Level 3 liabilities represent approximately 96% of total liabilities measured at fair value on a recurring basis as of December 31, 2025 and 2024, respectively.

Loans Held for Sale

LHFS are measured and reported at fair value. Our fair value election for its LHFS is intended to more accurately reflect the underlying economics of our operations. With the election of the fair value option for LHFS, loan origination fees, and the related direct loan origination costs associated with the origination of LHFS, are earned and expensed as incurred, respectively.

Interest Rate Lock Commitments

Interest rate lock commitments do not trade in an active market. Accordingly, the Company estimates the fair value of IRLCs based on the price an investor would be expected to pay to acquire such commitments, using current secondary market pricing for mortgage loans with similar characteristics.

The valuation incorporates observable market inputs, including loan type, underlying loan balance, borrower credit score, LTV ratio, note rate, loan program, expected loan sale date, and prevailing market conditions. The estimated fair value is adjusted at the individual loan level to reflect the servicing release premium, investor-specific pricing adjustments applicable to each loan, and the estimated direct costs required to convert the IRLC into a funded loan.

The resulting base value is further adjusted for the anticipated pull-through rate, which represents the probability that a locked loan will ultimately fund. The anticipated pull-through rate is an unobservable input derived from our historical funding experience and current pipeline characteristics. An increase in the anticipated pull-through rate results in an increase in the estimated fair value of IRLCs, while a decrease in the anticipated pull-through rate results in a decrease in estimated fair value. Due to the significance of this unobservable input, IRLCs are classified as Level 3 within the fair value hierarchy.

Our accounting policies for the determination of fair value of our investments are described in further detail in Note 2 and Note 7 of the consolidated financial statements.

VIEs

VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary and is generally the entity with (i) the power to direct the activities that most significantly impact the VIE’s economic performance, and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE. For VIEs’ that do not have substantial on-going activities, the power to direct the activities that most significantly impact the VIEs’ economic performance may be determined by an entity’s involvement with the design of the VIE.

Our Consolidated Statements of Financial Condition contain the assets and liabilities related to 36 consolidated variable interest entities or VIEs. Due to the non-recourse nature of these VIEs our net exposure to loss from investments in these entities is limited to our retained beneficial interests.

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At December 31, 2025, we consolidated 34 residential mortgage loan securitizations and 2 RMBS re-securitization transactions which are VIEs. The residential mortgage loan securitizations contain jumbo prime and Non-QM residential mortgage loans. The RMBS re-securitization transactions contain Non-Agency RMBS comprised of primarily first lien mortgages of 2005-2007 vintages.

Our determination to consolidate these 36 VIEs was significantly influenced by management’s judgment related to the activities that most significantly impact the economic performance of these entities and the identification of the party with the power over such activities. For the residential mortgage loan securitizations, we determined that our ability to remove the servicer without cause resulted in us having the power that most significantly impacts the economic performance of the VIE. For the three consolidated RMBS re-securitization transactions, we determined that no party has power over any ongoing activities of the entities and therefore the determination of the primary beneficiary should be based on involvement with the initial design of the entity. Since we transferred the RMBS to the securitization entities, we determined we had the power over the design of the entity, which resulted in us being considered the primary beneficiary. This determination was influenced by the amount of economic exposure to the financial performance of the entity and required a significant management judgment in determining that we should consolidate these three entities.

Due to the consolidation of these VIEs, our actual ownership interests in the securitization and re-securitizations have been eliminated in consolidation and the Consolidated Statements of Financial Condition reflect both the assets held and non-recourse debt issued to third parties by these VIEs. In addition, our operating results and cash flows include the gross amounts related to the assets and liabilities of the VIEs as opposed to the actual economic interests we own in these VIEs. Our interest in these VIEs is restricted to the beneficial interests we retained in these transactions. We are not obligated to provide any financial support to these VIEs.

Our Consolidated Statements of Financial Condition separately present: (i) our direct assets and liabilities, and (ii) the assets and liabilities of our consolidated securitization vehicles net of intercompany eliminations representing securities from the securitization trusts retained by us. Assets of all consolidated VIEs can only be used to satisfy the obligations of those VIEs, and the liabilities of consolidated VIEs are non-recourse to us.

We have aggregated all the assets and liabilities of the consolidated securitization vehicles due to our determination that these entities are substantively similar and therefore a further disaggregated presentation would not be more meaningful. The notes to our consolidated financial statements describe our direct assets and liabilities and the assets and liabilities of our consolidated securitization vehicles. See Note 10 to our consolidated financial statements for additional information related to our investments in VIEs.

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.