Dynex Capital, Inc. (DX) — Agentic Tribune

CAUTIONARY STATEMENT – This Annual Report on Form 10-K contains “forward-looking” statements within the meaning of Section 27A of the Securities Act of 1933, as amended (“Securities Act”), and Section 21E of the Securities Exchange Act of 1934, as amended (“Exchange Act”). We caution that such forward-looking statements we make are not guarantees of future performance, and actual results may differ materially from those expressed or implied in such forward-looking statements. Some factors that could cause actual results to differ materially from estimates expressed or implied in our forward-looking statements are set forth in this Annual Report on Form 10-K for the year ended December 31, 2025. See “Forward-Looking Statements” set forth within this Part 1, Item 1 and “Risk Factors” within Part I, Item 1A of this Annual Report on Form 10-K.

In this Annual Report on Form 10-K, we refer to Dynex Capital, Inc. and its subsidiaries as the "Company,” “we,” “us,” or “our,” unless we specifically state otherwise, or the context indicates otherwise.

PART I.

ITEM 1. BUSINESS

COMPANY OVERVIEW

Dynex Capital, Inc. is a real estate investment trust (“REIT”) structured to deliver dividends to shareholders supported by long term returns from investments in mortgage assets backed by U.S. housing and commercial real estate. Our common and preferred stocks trade on the New York Stock Exchange (“NYSE”) under the ticker symbols “DX” and “DXPRC”, respectively.

We are internally managed and invest primarily in residential and commercial mortgage-backed securities (“RMBS” and “CMBS”, respectively), which are backed by residential and commercial mortgage loans, and which are Agency securities guaranteed by U.S. government-sponsored enterprises (“GSEs”). We may invest opportunistically in other mortgage-related assets consistent with our objectives. We actively manage interest rate, prepayment, spread, liquidity, and counterparty risks. The Dynex approach emphasizes risk management and disciplined capital allocation designed to preserve book value and support dividends across market cycles.

We operate to qualify as a REIT and to distribute at least 90% of our taxable income. We also seek to maintain exclusion from registration under the Investment Company Act of 1940 (the “1940 Act”). Please refer to “Operating and Regulatory Structure” within this Item 1, “Business” and Item 1A, “Risk Factors” of Part I of this Annual Report on Form 10-K for additional information.

Our business is subject to risks and uncertainties, including changes in interest rates and the yield curve, mortgage prepayments, market volatility and spread movements, financing conditions, counterparty performance, and regulatory and macroeconomic developments. Please refer to Item 1A, "Risk Factors," within this Part I as well as Part II, Item 7, "Management's Discussion and Analysis of Financial Condition and Results of Operations," and Item 7A, "Quantitative and Qualitative Disclosures about Market Risk," of this Annual Report on Form 10-K for additional discussions of factors that have the potential to impact our results of operations and financial condition.

INVESTMENT STRATEGY

Our investment strategy and the allocation of our capital to a particular sector or investment is driven by a “top-down” framework that focuses on the risk management, scenario analysis, and expected risk-adjusted returns of any investment. Key aspects of this framework include the following:

•understanding macroeconomic factors, global monetary and fiscal policies, and variable outcomes;

•understanding the regulatory environment, competition for assets, and terms and availability of financing;

•investment analysis, including understanding absolute returns, relative and risk-adjusted returns, and supply/demand metrics in various mortgage asset classes;

•financing and hedging analysis, including sensitivity analysis on credit, interest rate volatility, liquidity, and market value risk; and

•managing performance and inherent portfolio risks, including but not limited to interest rate, credit, prepayment, and liquidity risks.

In allocating our capital and executing our strategy, we seek to balance the risks of owning specific types of investments with the earnings opportunity on the investment. Though the majority of our investment portfolio is currently in fixed-rate Agency RMBS, we may allocate capital from time to time to a variety of other investments, including adjustable-rate Agency RMBS, fixed-rate Agency CMBS, investment grade and unrated non-Agency RMBS and CMBS, Agency and non-Agency CMBS IO, and residual interests in securitized mortgage loans. Our investments in non-Agency MBS are generally higher quality senior or mezzanine classes (typically rated 'A' or better by one or more of the nationally recognized statistical rating organizations) because they are typically more liquid (i.e., they are more easily converted into cash either through sales or pledges as collateral for repurchase agreement borrowings) and have less exposure to credit losses than lower-rated non-Agency MBS. We regularly review our existing operations to determine whether our investment strategy or business model should change, including through capital reallocation, changing our targeted investments as well as hedging instruments and shifting our risk position.

From time to time, we analyze and evaluate potential business opportunities that we identify or are presented to us, including possible partnerships, mergers, acquisitions, or divestiture transactions that might maximize value for our shareholders. Pursuing such an opportunity or transaction could require us to issue additional equity or debt securities.

RMBS. As of December 31, 2025, the majority of our investments were Agency-issued pass-through RMBS collateralized primarily by pools of fixed-rate single-family mortgage loans. Monthly payments of principal and interest made by the individual borrowers on the mortgage loans underlying the pools are "passed through" to the security holders after deducting GSE or U.S. government agency guarantee and servicing fees. Mortgage pass-through certificates generally distribute cash flows from the underlying collateral on a pro-rata basis among the security holders. Security holders also receive guarantor advances of principal and interest for delinquent loans in the mortgage pools.

We also purchase to-be-announced securities (“TBAs” or “TBA securities”) as a means of investing in non-specified fixed-rate Agency RMBS, and from time to time, we may also sell TBA securities to economically hedge our book value exposure to Agency RMBS. A TBA security is a forward contract (“TBA contract”) for the purchase (“long position”) or sale (“short position”) of a fixed-rate Agency MBS at a predetermined price with certain principal and interest terms and certain types of collateral. The actual Agency securities to be delivered are not identified until approximately two days before the settlement date. We hold long and short positions in TBA securities by executing a series of transactions, commonly referred to as “dollar roll” transactions, which effectively delay the settlement of a forward purchase (or sale) of a non-specified Agency RMBS by entering into an offsetting TBA position, net settling the paired-off positions in cash, and simultaneously entering into an identical TBA long (or short) position with a later settlement date. TBA securities purchased or sold for a forward settlement date are generally priced at a discount relative to TBA securities settling in the current month because the current month settlement will receive a coupon sooner than the TBA settling in a forward month. This price difference, often referred to as “drop income,” represents the economic equivalent of net interest income (interest income less implied financing cost) on the underlying Agency security from the trade date to the settlement date. We account for all TBAs (whether net long or net short positions, or collectively “TBA dollar roll positions”) as derivative instruments because we cannot assert that it is probable at inception and throughout the term of an individual TBA transaction that its settlement will result in physical delivery of the underlying Agency RMBS, or that the individual TBA transaction will settle in the shortest period possible.

CMBS. Our CMBS investments comprised 6% of our investment portfolio as of December 31, 2025, and are fixed-rate Agency-issued securities backed by multifamily housing loans. The loans underlying CMBS are generally fixed-rate with scheduled principal payments generally assuming a 30-year amortization period but typically requiring balloon payments on average approximately 5-10 years from origination. These loans typically have some form of prepayment protection provisions (such as prepayment lock-out) or prepayment compensation provisions (such as yield maintenance or prepayment penalty), which provide us compensation if underlying loans prepay prior to us earning our expected return on our investment. Yield maintenance and prepayment penalty requirements are intended to create an economic disincentive for the loans to prepay, which we believe makes CMBS less costly to hedge relative to RMBS.

CMBS IO. CMBS interest only (“CMBS IO”) are interest-only securities issued as part of a CMBS securitization and represent the right to receive a portion of the monthly interest payments (but not principal cash flows) on the unpaid principal balance of the underlying pool of commercial mortgage loans. We have investments in both Agency-issued and non-Agency issued CMBS IO, which collectively comprised less than 1% of our investment portfolio as of December 31, 2025. The loans collateralizing Agency-issued CMBS IO pools are similar in composition to the pools of loans that collateralize CMBS as discussed above. Non-Agency issued CMBS IO, which are issued by non-governmental enterprises and do not have a guaranty of principal or interest payments, are backed by loans secured by many different property types, including multifamily, office buildings, hospitality, and retail, among others. Since CMBS IO securities have no principal associated with them, the interest payments received are based on the unpaid principal balance of the underlying mortgage loan pool, which is commonly referred to as the notional amount. Yields on CMBS IO securities depend on the underlying loans’ performance. Similar to CMBS described above, the Company may receive prepayment compensation; however, there are no prepayment protections if the loan defaults and is partially or wholly repaid earlier because of loss mitigation actions taken by the underlying loan servicer. Because Agency CMBS IO generally contain higher credit quality loans, they have a lower risk of default than non-Agency CMBS IO. The majority of our CMBS IO investments are well-seasoned and investment grade-rated, with the majority rated ‘AAA’ by at least one of the nationally recognized statistical rating organizations.

FINANCING STRATEGY

We employ leverage to enhance the returns on our invested capital by pledging our investments as collateral for borrowings, primarily through repurchase agreements. The amount of leverage we utilize is contingent on various factors such as prevailing economic, political, and financial market conditions; the actual and anticipated liquidity and price volatility of our assets; the gap between the duration of our investments, financings, and hedges; the availability and cost of financing our assets; our opinion of the creditworthiness of financing counterparties; the health of the U.S. residential mortgage and housing markets; our outlook for the level, slope, and volatility of interest rates; the credit quality of the loans underlying our investments; the rating assigned to securities; and our outlook for asset spreads. Repurchase agreements generally have original terms to maturity of overnight to six months, though in some instances, we may enter into longer-dated maturities depending on market conditions. We pay interest on our repurchase agreement borrowings at a rate determined by a spread to certain short-term interest rates and fixed for the term of the borrowing. Borrowings under uncommitted repurchase agreements are renewable at the discretion of our lenders and do not contain guaranteed rollover terms.

Repurchase agreement financing is provided principally by major financial institutions and broker-dealers acting as financial intermediaries for short-term cash investors, including money market funds and securities lenders. Repurchase agreement financing exposes us to counterparty risk to such financial intermediaries, principally related to the excess of our collateral pledged over the amount borrowed. We seek to mitigate this risk by spreading our borrowings across a diverse set of repurchase agreement lenders. As of December 31, 2025, we did not have more than 10% of equity at risk with any of our repurchase agreement counterparties. Please refer to "Risk Factors—Risks Related to Our Financing and Hedging Activities" in Part I, Item 1A of this Annual Report on Form 10-K for additional information regarding significant risks related to repurchase agreement financing.

RISK MANAGEMENT AND HEDGING STRATEGIES

As a leveraged investor, risk management is essential to our business operations. We face a range of market risks, including interest rate, prepayment, extension, spread, and credit risks. Our investment strategies reflect our assessment of these risks, our ability to hedge a portion of them, and our intent to maintain our REIT qualification, which could limit our activities and the instruments that we may use to hedge risk.

Our hedging strategy is dynamic and is based on our assessment of U.S. and global economic conditions, monetary policies, and our expectations for future interest rates—both their absolute level and the slope of the yield curve relative to market pricing. We use derivative instruments primarily as economic hedges of our exposure to adverse changes in interest rates resulting from our ownership of longer-term fixed-rate investments financed using

short-term repurchase agreements with interest rates that reset each time we renew our borrowing. Some interest rate hedges are intended to protect primarily against larger interest rate moves and may be less effective for smaller changes. We also may choose to not fully hedge interest rate risk, as well as prepayment or extension risks, if we believe maintaining some risk exposure enhances our return profile or if certain hedges could adversely affect our REIT status.

We do not use hedges to protect our book value from spread risk—the possibility that the spread between market yields on our assets and the benchmark rates, primarily U.S. Treasury benchmarks, will change. We attempt to mitigate spread risk primarily by diversification in the coupon and asset types we hold in our portfolio. Our risk-management decisions may reduce near-term earnings and dividends in order to preserve our book value and the maintenance of attractive earnings and dividends over the long term.

OPERATING POLICIES

We invest our capital and manage our risk according to our “Investment Policy,” which is approved by our Board of Directors. The Investment Policy sets forth investment and risk limitations related to the Company's investment activities and sets parameters for the Company's investment and capital allocation decisions. The Investment Policy also places limits on certain risks to which we are exposed, such as interest rate risk, liquidity risk, and shareholders’ equity at risk from changes in the fair value of our investment securities. Also, it sets forth limits for the Company’s overall leverage and who is expressly authorized to trade.

Our Investment Policy currently limits our investment in non-Agency MBS that are rated BBB+ or lower at the time of purchase by any of the nationally recognized statistical ratings organizations to 10% of total shareholders’ equity. We also conduct our own independent evaluation of the credit risk on any non-Agency MBS, so that we do not rely solely on the security’s credit rating. Our Investment Policy requires us to perform a variety of stress tests to model the effect of adverse market conditions on our investment portfolio value and our liquidity.

Within the overall limits established by the Investment Policy, our investment and capital allocation decisions depend on prevailing market conditions and other factors and may change over time in response to opportunities available in different economic and capital market environments. Our Board of Directors may also adjust the Investment Policy from time to time based on macroeconomic expectations, market conditions, and risk tolerances.

In addition to the Investment Policy described above, we manage our operations and investments to comply with various REIT limitations (as discussed further below in “Operating and Regulatory Structure”) and to avoid qualifying as an investment company as such term is defined in the 1940 Act or as a commodity pool operator under the Commodity Exchange Act of 1936, as amended.

HUMAN CAPITAL STRATEGY

The Company views its employees as its most important asset and as the key to managing a successful business for the benefit of all of our stakeholders. Our human capital strategy is designed to create an environment where our employees can grow professionally and contribute to the success of the Company. We believe a supportive, collaborative, engaging, and equitable culture is key to attracting and retaining skilled, experienced, and talented employees and fostering the development of the Company’s next generation of leaders. We have implemented a formal operating process to track, manage, and monitor key corporate goals for the Company and our employees. Further, we encourage employee engagement through monthly Company-wide meetings and an anonymous survey to assess employee satisfaction and to solicit feedback on the employee experience at the Company.

As of December 31, 2025, we had 28 full and part-time employees with an average tenure of 8.9 years. Our voluntary turnover rate was 9% based on an average headcount of 22 for the three years ended December 31, 2025. None of our employees are covered by any collective bargaining agreements, and we are not aware of any union-organizing activity relating to our employees.

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Financial statements

data from SEC XBRL filings. Values are as-reported; restatements supersede originals. Values reported in .

From 10-Q filed 2026-04-27 (period ending 2026-03-31).

ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

EXECUTIVE OVERVIEW

During the first quarter of 2026, financial markets experienced increased volatility as investors reassessed the outlook for inflation, monetary policy, and global growth amid heightened geopolitical uncertainty. While the U.S. economy continued to expand at a moderate pace, uncertainty around the inflation trajectory led market participants to reduce expectations for near‑term Federal Reserve policy easing. Funding markets remained orderly, and liquidity across the mortgage and repo markets continued to function effectively. Spreads across Agency MBS widened meaningfully, particularly late in the quarter, as periodic correlation with risky assets increased amid macroeconomic and geopolitical developments.

Against this backdrop, Agency MBS continues to offer attractive long‑term return potential relative to other high‑quality fixed‑income assets, particularly given muted new mortgage origination supply and the sector’s strong liquidity profile. We continue to monitor monetary policy, inflation trends, housing market activity, supply‑and‑demand dynamics, and geopolitical developments, as we assess their potential impact on interest rates, spreads, prepayment behavior, and financing conditions. We remain focused on disciplined portfolio construction, liquidity management, and risk positioning as market conditions continue to evolve.

The charts below show the range of U.S. Treasury and Secured Overnight Funding Rate (“SOFR”)-based swap rates for the three months ended March 31, 2026 and information regarding market spreads as of and for the periods indicated:

	Market Spreads as of:	Change in Spreads YTD
Investment Type: (1)	March 31, 2026			December 31, 2025
Agency RMBS:
2.0% coupon	73		70		3
2.5% coupon	76		73		3
4.0% coupon	52		50		2
4.5% coupon	53		45		8
5.0% coupon	56		46		10
5.5% coupon	63		51		12
6.0% coupon	64		54		10
Agency CMBS(2)	84		82		2

(1)Option adjusted spreads (“OAS”) are based on Company estimates using third-party models and market data. OAS shown for prior periods may differ from previous disclosures because the Company regularly updates the third-party model used.

(2)Data is sourced from J.P. Morgan and represents the spread to swap rate on newly issued Agency securities collateralized by multifamily properties.

Summary of First Quarter 2026 Financial Performance

For the first quarter of 2026, our total economic return of $(0.34) per common share was comprised of a decrease in book value of $(0.85) per common share offset by dividends declared of $0.51 per common share. The decrease in book value per common share was driven by a net loss of $(140) million on our investment portfolio, net of hedges, which resulted primarily from widening mortgage spreads late in the quarter. We grew our capital base by $442 million, using the proceeds to opportunistically add investments of $6 billion, net of sales. Our adjusted leverage increased to 8.6 times equity primarily due to our use of repurchase agreement borrowings to partially finance these purchases.

Our interest income continued to increase as a result of our deployment of capital into Agency MBS purchases over recent quarters. In addition, the Federal Reserve's rate cuts in 2025 continued to benefit our repurchase agreement financing costs, which declined 33 basis points for the first quarter of 2026 compared to the prior quarter. Operating expenses for the first quarter of 2026 included an increase of $3.4 million in share-based compensation expense, largely due to accelerated vesting conditions for equity grants associated with the departure of the Company's former chief financial officer.

The following table summarizes the changes in the Company's financial position during the three months ended March 31, 2026:

($s in thousands except per share data)	Net Change in Fair Value		Components of Comprehensive Income		Common Book Value Rollforward		Per Common Share
Balance as of December 31, 2025 (1)					$	2,350,644	$	13.45
Net interest income			$	79,254
Periodic interest from interest rate swaps			1,698
G & A and other operating expenses			(21,253)
Preferred stock dividends			(2,658)
Changes in fair value:
MBS and other	$	(243,238)
TBAs	(13,879)
U.S. Treasury futures	35,308
Options on U.S. Treasury futures	(2,656)
Interest rate swaps	84,591
Interest rate swaptions	(335)
Total net change in fair value			(140,209)
Comprehensive loss to common shareholders					(83,168)
Capital transactions:
Net proceeds from stock issuance (2)					446,903
Common dividends declared					(104,609)
Balance as of March 31, 2026 (1)					$	2,609,770	$	12.60

(1)Amounts represent total shareholders' equity less the aggregate liquidation preference of the Company's preferred stock of $111.5 million, in thousands and on a per common share basis.

(2)Net proceeds from common stock issuance include approximately $442 million from ATM issuances and approximately $5 million from amortization of share-based compensation, net of grants, during the three months ended March 31, 2026.

FINANCIAL CONDITION

Investment Portfolio

Our investment portfolio, including TBAs, as of March 31, 2026, has increased $6 billion, or 27%, since December 31, 2025, net of sales. We added over $7 billion of Agency RMBS, net of sales of $608 million, during the three months ended March 31, 2026. We reduced our TBA securities by a net notional of $1.3 billion. The following charts compare the composition of our investment portfolio as of the dates indicated:

The following tables compare our 30-year fixed-rate Agency RMBS investments, including TBA dollar roll positions, as of the dates indicated:

	March 31, 2026
Agency RMBS by Coupon	Par/Notional		Amortized Cost/ Implied Cost Basis (3)(5)		Fair Value (4)(5)		Weighted Average
							Loan Age (in months)(6)	3 Month CPR (6)(7)		Estimated Duration (8)	Market Yield (9)
($s in thousands)
2.0%	$	1,275,957	$	1,164,966	$	1,041,759	68	2.2	%	7.43	4.75	%
2.5%	648,281		646,466		554,603		65	4.6	%	6.97	4.76	%
4.0%	286,550		286,876		272,829		60	6.4	%	5.86	4.81	%
4.5% (1)	1,685,062		1,636,907		1,636,567		36	6.7	%	5.51	4.96	%
5.0%	7,479,116		7,434,011		7,420,134		13	3.9	%	5.01	5.11	%
5.5%	9,038,565		9,145,191		9,152,542		12	8.4	%	3.83	5.28	%
6.0%	1,494,282		1,537,251		1,538,780		11	14.8	%	2.72	5.40	%
TBA 4.5%(2)	1,257,000		1,230,544		1,227,574		n/a	n/a		4.63	4.90	%
TBA 5.0%	603,000		600,548		594,473		n/a	n/a		4.91	5.20	%
Total	$	23,767,813	$	23,682,760	$	23,439,261	19	6.8	%	4.59	5.15	%

	December 31, 2025
Agency RMBS by Coupon	Par/Notional		Amortized Cost/ Implied Cost Basis (3)(5)		Fair Value (4)(5)		Weighted Average
							Loan Age (in months)(6)	3 Month CPR (6)(7)		Estimated Duration (8)	Market Yield (9)
($s in thousands)
2.0%	$	603,965	$	613,475	$	497,097	63	5.2	%	7.42	4.68	%
2.5%	516,325		535,039		444,904		64	5.1	%	7.02	4.67	%
4.0%	293,073		293,432		281,889		57	6.5	%	5.89	4.63	%
4.5% (1)	1,911,130		1,853,757		1,881,304		33	5.8	%	5.46	4.74	%
5.0%	3,974,655		3,913,622		3,997,537		21	5.9	%	4.62	4.91	%
5.5%	6,325,638		6,361,758		6,465,769		13	8.1	%	3.39	5.10	%
6.0%	1,381,567		1,419,727		1,432,860		9	8.2	%	2.28	5.14	%
TBA 4.0%	1,162,000		1,101,441		1,102,764		n/a	n/a		6.29	4.76	%
TBA 4.5%(2)	1,447,000		1,425,945		1,430,136		n/a	n/a		4.58	4.64	%
TBA 5.0%	176,000		175,287		175,670		n/a	n/a		4.51	5.03	%
TBA 5.5%	183,000		185,175		185,631		n/a	n/a		3.28	5.23	%
TBA 6.0%	221,000		226,218		226,922		n/a	n/a		1.99	5.24	%
Total	$	18,195,353	$	18,104,876	$	18,122,483	21	7.0	%	4.29	4.94	%

(1)Includes a par value of $9 million of 4.5% 15-year Agency RMBS as of March 31, 2026 and December 31, 2025.

(2)Includes a notional amount of $540 million of 4.5% 15-year TBA securities as of March 31, 2026 and $690 million as of December 31, 2025.

(3)Implied cost basis of TBAs represents the forward price to be paid for the underlying Agency MBS.

(4)Fair value of TBAs is the implied market value of the underlying Agency security as of the end of the period.

(5)TBAs are included on the consolidated balance sheet within “derivative assets/liabilities” at their net carrying value which is the difference between their implied market value and implied cost basis. Please refer to Note 5 of the Notes to the Consolidated Financial Statements for additional information.

(6)TBAs are excluded from this calculation as they do not have a defined weighted-average loan balance or age until mortgages have been assigned to the pool.

(7)Constant prepayment rate (“CPR”) represents the 3-month CPR of Agency RMBS held as of date indicated.

(8)Duration measures the sensitivity of a security's price to the change in interest rates and represents the percent change in price of a security for a 100-basis point increase in interest rates. We calculate duration using third-party financial models and empirical data. Different models and methodologies can produce different estimates of duration for the same securities.

(9)Represents the weighted average market yield projected using cash flows generated from the forward curve based on market prices as of the date indicated and assuming zero volatility.

Our Agency CMBS consist of loans collateralized by multifamily properties. Though we expect our exposure to Agency CMBS to remain modest as a percentage of the total portfolio, we will add Agency CMBS from time to time whenever we believe the risk-adjusted return profile aligns with our investment strategy. In addition to offering strong relative value, Agency CMBS help diversify and stabilize the portfolio's cash flow and total return profile, given their unique prepayment characteristics and underlying asset base.

Agency CMBS IO are backed by loans collateralized by multifamily properties. Our Agency CMBS IO are from Freddie Mac Series K deals from which interest continues to be advanced even in the event of an underlying default up until liquidation. Our non-Agency CMBS IO were all originated prior to 2018 and are backed by loans collateralized by a number of different property types, such as multifamily, office, retail, hotels, industrial, storage, and others. Our non-Agency CMBS IO investments are nearing maturity and have very little amortized cost remaining; any changes in actual payments may result in large swings in yield as shown below.

The following table provides certain information regarding our CMBS and CMBS IO as of the dates indicated:

	March 31, 2026
($s in thousands)	Par/Notional Value		Amortized Cost		Fair Value		WAVG Life Remaining (1)	WAVG Market Yield (2)
Agency CMBS	$	1,244,753	$	1,246,548	$	1,244,801	5.5	4.37	%
CMBS IO	5,790,816		81,484		81,242		4.6	7.21	%
Total			$	1,328,032	$	1,326,043
	December 31, 2025
($s in thousands)	Par/Notional Value		Amortized Cost		Fair Value		WAVG Life Remaining (1)	WAVG Market Yield (2)
Agency CMBS	$	1,210,953	$	1,213,107	$	1,218,343	5.5	4.25	%
CMBS IO	6,000,525		87,557		87,285		4.7	10.40	%
Total			$	1,300,664	$	1,305,628
(1) Represents the weighted average life remaining in years based on contractual cash flows as of the dates indicated.
(2) Represents the weighted average market yield projected using cash flows generated off the forward curve based on market prices as of the dates indicated and assuming zero volatility.

Repurchase Agreements

Our repurchase agreement borrowings increased to $21 billion as of March 31, 2026 from $14 billion as of December 31, 2025. These borrowings were used to partially finance our purchases of Agency MBS during the three months ended March 31, 2026. We have not experienced any difficulty in securing financing with any of our counterparties, and our repurchase agreement counterparties have not indicated any concerns regarding leverage or credit. Please refer to Note 4 of the Notes to the Consolidated Financial Statements contained within this Quarterly Report on Form 10-Q as well as “Results of Operations” and “Liquidity and Capital Resources” contained within this Item 2 for additional information relating to our repurchase agreement borrowings.

Derivative Assets and Liabilities

Please refer to Note 5 of the Notes to the Consolidated Financial Statements for details on our interest rate hedging instruments as well as “Liquidity and Capital Resources” within Item 2 and “Quantitative and Qualitative Disclosures about Market Risk” within Item 3 of this Quarterly Report on Form 10-Q.

RESULTS OF OPERATIONS

The following table summarizes the results of operations for the periods discussed in this section:

	Three Months Ended
$s in thousands	March 31, 2026		December 31, 2025		March 31, 2025
Net interest income	$	79,254	$	43,484	$	17,133
Realized gain on sales of investments, net	8,721		—		—
Unrealized (loss) gain on investments, net	(251,811)		84,732		109,997
Gain (loss) on derivative instruments, net	104,727		73,781		(118,088)
Operating expenses, net	(21,253)		(16,639)		(12,118)
Preferred stock dividends	(2,658)		(2,760)		(1,923)
Net (loss) income to common shareholders	(83,020)		182,598		(4,999)
Other comprehensive (loss) income	(148)		7,008		19,390
Comprehensive (loss) income to common shareholders	$	(83,168)	$	189,606	$	14,391

Net Interest Income for the Three Months Ended March 31, 2026 Compared to the Three Months Ended December 31, 2025

Net interest income and net interest spread for the three months ended March 31, 2026, increased compared to the three months ended December 31, 2025, due to our recent purchases of higher yielding Agency MBS. Though interest expense increased due to an increase in repurchase agreement borrowings used to finance these purchases, the average financing rate we paid declined 33 basis points over the comparative periods.

The impact of net periodic interest on our economic net interest income for the three months ended March 31, 2026, decreased approximately $6 million, or 20 basis points as a percentage of average repurchase agreement borrowings, compared to the three months ended December 31, 2025. Our weighted average net receive rate declined 29 basis points to almost 0% for the three months ended March 31, 2026.

The following table presents information about our interest-earning assets and interest-bearing liabilities and their performance for the periods indicated:

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Holder	Type	ETF	MF	Position ($)	% of holder	Δ % of holder	Holder AUM

Next expected filings

~2026-07-27 10-Q expected by 2026-08-08 (in 1 day)
~2026-10-26 10-Q expected by 2026-11-07 (in 92 days)
~2027-02-24 10-K expected by 2027-02-25 (in 213 days)
~2027-04-26 10-Q expected by 2027-05-08 (in 274 days)

Predicted from historical filing cadence; not an SEC commitment.

Recent SEC filings

2026-07-20 8-K Earnings Release; Financial Statements and Exhibits
2026-06-16 8-K Officer/Director Change; Financial Statements and Exhibits
2026-05-22 8-K Officer/Director Change; Bylaws/Articles Amended; Shareholder Vote Results; Financial Statements and Exhibits
2026-04-28 8-K Material Agreement Entered; Financial Statements and Exhibits
2026-04-27 10-Q Quarterly Report
2026-04-21 8-K Other Events
2026-04-20 8-K Earnings Release; Financial Statements and Exhibits
2026-04-07 DEF 14A Proxy Statement
2026-02-27 8-K Officer/Director Change; Regulation FD Disclosure; Financial Statements and Exhibits
2026-02-25 10-K Annual Report
2026-01-27 8-K Material Agreement Entered; Financial Statements and Exhibits
2026-01-26 8-K Earnings Release; Officer/Director Change; Financial Statements and Exhibits
2026-01-16 8-K Officer/Director Change
2025-10-28 8-K Other Events; Financial Statements and Exhibits
2025-10-27 10-Q Quarterly Report

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