Financial Data and Key Metrics Changes - For Q1 2025, the company earned $0.18 per share compared to $0.07 in Q4 2024 [8] - Book value at March 31, 2025, was $7.94 per share, down from $8.09 at December 31, 2024 [8] - Total return for the quarter was 2.6% unannualized, compared to 0.6% for Q4 2024 [8] Business Line Data and Key Metrics Changes - The average portfolio size for Q1 was just under $6 billion, up from $5.3 billion in Q4 2024 [9] - The leverage ratio increased to 7.8% at March 31, 2025, from 7.3% at December 31, 2024 [9] - Prepayment speeds were 7.8% in Q1, down from 10.5% in Q4 2024 [9] Market Data and Key Metrics Changes - The market experienced significant volatility due to tariffs and their expected impact on the economy and inflation [11][72] - Swap spreads moved meaningfully negative late in the quarter and into April, affecting mortgage performance [18][22] - The performance of agency mortgages was strong, being the second-best sector in fixed income markets [22] Company Strategy and Development Direction - The company raised $206 million in capital during Q1 2025, selling 25 million shares of stock [42] - The strategy involved deploying proceeds into higher coupon, shorter duration assets while hedging predominantly with longer duration hedges [31] - The company is cautious about future capital raising, considering the current market volatility and the need for liquidity [108][122] Management's Comments on Operating Environment and Future Outlook - The management expressed uncertainty regarding future economic conditions, citing potential slower growth and upward pressure on inflation due to tariffs [71][75] - The company is positioned with a skew towards higher coupon, shorter duration assets, which should benefit from a steeper yield curve [76] - Management remains vigilant and ready to reposition as market conditions evolve [77] Other Important Information - The company declared and paid dividends of $0.36 per share for each quarter [8] - The liquidity position at March 31, 2025, was 52.2%, slightly down from 52.9% at December 31, 2024 [9] Q&A Session Summary Question: What is the duration gap at the end of the quarter and to-date? - The company does not provide duration in numerical terms but uses DV01, which was reported as $13, indicating a very narrow duration gap [84][85] Question: What is the current book value? - As of last Thursday, the estimated book value was $7.24, down 8.8%, but as of last night, it was estimated at $7.28, reflecting a decline of 8.3% quarter-to-date [94][95] Question: Where do you see gross ROE sitting today? - The gross ROE is very high, potentially in the range of 20%, with spreads on 7-year swaps versus current coupon above 200 basis points [103][104] Question: How are you looking at dividend issuance and buybacks? - The company is cautious about buybacks given the current stock price and may consider raising capital for liquidity purposes [108][122] Question: Will the 2025 dividend be 100% taxable income? - It is too early to confirm, but year-to-date, the taxable income has been in line with distributions [127][129]

Financial Data and Key Metrics Changes - For Q1, the company earned $0.18 per share compared to $0.07 in Q4 [5] - Book value at March 31 was $7.94 per share compared to $8.09 at December 31 [5] - Total return for the quarter was 2.6% unannualized compared to 0.6% for Q4 [5] - Liquidity at March 31 was 52.2% compared to 52.9% at December 31 [7] Business Line Data and Key Metrics Changes - The average portfolio was just under $6 billion compared to $5.3 billion in Q4 [6] - The leverage ratio at March 31 was 7.8 compared to 7.3 at December 31 [6] - Prepayment speeds were 7.8% in Q1 compared to 10.5% for Q4 [6] Market Data and Key Metrics Changes - The market moved to price in three or more Fed cuts by the end of the year [11] - Swap spreads moved meaningfully negative late in the quarter and into April [14] - The spread of the current coupon mortgage to the ten-year has widened significantly [16] Company Strategy and Development Direction - The company raised capital during the quarter and deployed it into higher coupon, shorter duration assets [24] - The strategy includes using longer duration hedges to mitigate exposure to declining swap spreads [24] - The company is focused on maintaining liquidity and is prepared to raise capital if necessary [76] Management's Comments on Operating Environment and Future Outlook - The management expressed uncertainty due to market volatility driven by tariffs and inflation [55] - The expectation is for slower growth and potential Fed eases, which could lead to a steeper yield curve [58] - The company is positioned with a skew towards higher coupon, shorter duration assets, which should work well in the current environment [59] Other Important Information - The company declared and paid dividends of $0.36 per share for each quarter [5] - The management acknowledged a mistake in the initial earnings release regarding the breakdown of earnings per share [9] Q&A Session Summary Question: What is the duration gap at the end of the quarter and to date? - The duration gap is very narrow, with a DV01 basis of $13, remaining about the same as of now [62][63] Question: Where do you see gross ROE sitting today? - The gross ROE is estimated to be around 20%, with high volatility in swaps [73] Question: How are you looking at dividend issuance and buybacks? - The company is cautious about buybacks due to stock trading close to book value and may consider raising capital for liquidity [76][78] Question: Will the 2025 dividend be 100% taxable income? - It is uncertain at this point, but the taxable income has been right on top of the distribution year to date [91][93] Question: Thoughts on the Rocket Mortgage and Nationstar deal? - The deal may increase prepayment speeds and impact the convexity of the mortgage universe negatively [99][100]

Financial Data and Key Metrics Changes - For Q1, the company earned $0.18 per share compared to $0.07 in Q4, with a book value of $7.94 per share down from $8.09 at the end of Q4 [5][6] - Total return for the quarter was 2.6% unannualized, an increase from 0.6% in Q4 [5] - The average portfolio size was just under $6 billion, up from $5.3 billion in Q4, with a leverage ratio of 7.8 compared to 7.3 at the end of Q4 [6] Business Line Data and Key Metrics Changes - The average portfolio size increased, indicating a more substantial investment in mortgage-backed securities [6] - Prepayment speeds decreased to 7.8% in Q1 from 10.5% in Q4, reflecting changes in market conditions [6][52] Market Data and Key Metrics Changes - The market experienced significant volatility due to tariffs and their expected impact on the economy and inflation, leading to pricing in multiple Fed cuts by year-end [11][60] - Swap spreads moved meaningfully negative late in the quarter, impacting mortgage performance [14][15] Company Strategy and Development Direction - The company raised capital during the quarter, deploying it into higher coupon, shorter duration assets, and hedging with longer duration instruments [24][32] - The strategy focuses on maintaining a balance between risk and return, particularly in a volatile market environment [61] Management's Comments on Operating Environment and Future Outlook - Management expressed uncertainty regarding future economic conditions, highlighting potential inflationary pressures and slower growth due to tariffs [56][60] - The company is positioned to benefit from a steeper yield curve, which is anticipated to occur as a result of the current economic landscape [61] Other Important Information - The company declared and paid dividends of $0.36 per share for the quarter, maintaining a consistent payout [5] - Liquidity at the end of Q1 was 52.2%, slightly down from 52.9% at the end of Q4 [7] Q&A Session Summary Question: What is the duration gap at the end of the quarter and to date? - Management indicated that the duration gap is narrow, with a DV01 basis of $13, remaining consistent [64][65] Question: What is the current book value? - The estimated book value was $7.28, reflecting an 8.3% decline quarter to date [70][71] Question: Where do you see gross ROE sitting today? - Management suggested that ROE is very high, potentially around 20%, due to volatile market conditions [79] Question: How are you looking at dividend issuance and buybacks? - Management noted that buybacks were reactivated due to stock price declines, and future capital raising may be considered for liquidity purposes [81][82] Question: How does the Rocket Mortgage and Nationstar merger affect prepay speeds? - Management indicated that the merger could lead to faster prepayment speeds, impacting the convexity of the mortgage universe [104]

1 Safe Harbor Statement NOTE: This presentation contains certain statements that are not historical facts and that constitute "forward-looking statements" within the meaning of the Private Securities Litigation Reform Act of 1995. Statements in this presentation addressing expectations, assumptions, beliefs, projections, estimates, future plans, strategies, and events, developments that we expect or anticipate will occur in the future, and future operating results or financial condition are forward-looking ...

Financial Data and Key Metrics Changes - For Q4 2024, the company generated GAAP net income applicable to common stockholders of $9.1 million or $0.29 per diluted share, while earnings available for distribution (EAD) were $3.3 million or $0.10 per share, impacted by approximately two cents per share of special committee-related expenses [12][25][26] - Book value per common share decreased to $3.82 from $4.02 as of September 30, 2024, with NAV down approximately $5.5 million or 2.3% relative to the previous quarter [13][26] - Financial leverage remained consistent at 5.3 times, with $46 million of unrestricted cash on the balance sheet [14] Business Line Data and Key Metrics Changes - The MSR portfolio had a UPB of $17.3 billion and a market value of approximately $234 million, representing about 46% of equity capital [19] - The RMBS portfolio accounted for approximately 38% of equity capital, with a weighted average three-month CPR of approximately 5.7% compared to 5.4% in the previous quarter [22][23] - The RMBS net interest spread was 2.9% lower than the prior quarter due to improved repo costs being offset by a reduction in swap and dollar roll income [23] Market Data and Key Metrics Changes - Long-term yields rose to seven-month highs, with the ten-year yield ending at 4.57%, nearly eighty basis points higher quarter over quarter [7] - Mortgage spreads widened and volatility increased due to concerns about the US election and future debt levels, despite two rate cuts by the Fed [16] - Prepayment speeds for the MSR portfolio averaged approximately 4.7% for Q4, down modestly from the previous quarter, while RMBS prepayment speeds rose modestly as expected [20][22] Company Strategy and Development Direction - The company completed the internalization of management, which is expected to reduce operating expenses in 2025 by $1.1 million to $1.6 million [9][11] - The investment strategy will continue to focus on agency RMBS and select MSRs that present strong risk-adjusted return profiles while maintaining strong liquidity and prudent leverage [14][15] - The company remains cautious of the macroeconomic environment and geopolitical factors, expecting to maintain its current investment strategy [8] Management's Comments on Operating Environment and Future Outlook - Management expressed concerns over persistent inflation and uncertainty about economic growth, indicating that additional rate cuts in 2025 will be fewer than previously expected [8] - The company anticipates continued volatility in the near term, with rates expected to remain higher until inflation shows signs of moderating or economic growth falters [18] - Management highlighted the importance of aligning management and shareholder interests through internalization, improving transparency and decision-making processes [10] Other Important Information - Operating expenses for the quarter were $4.5 million, including special committee-related expenses [28] - The board declared a dividend of $0.15 per common share for Q4 2024, paid in cash on January 31, 2025 [28] Q&A Session Summary Question: Special committee expenses and internalization benefits - The special committee expenses were found in the SG&A line item, and benefits from internalization will be reflected in SG&A and compensation and benefits going forward [31][33] Question: Repo costs and portfolio growth - Elevated repo costs were attributed to year-end expenses, but benefits have been seen in the first quarter, with potential for growth through capital raising [35][36][42] Question: Capital allocation between investment bins - The increase in servicing equity composition was due to an increase in MSR value, with a focus on RMBS for better returns in the current environment [48][51] Question: Expectations for Fed rate cuts - Expectations for fewer rate cuts this year may impact investment strategies, with a focus on the MSR portfolio's returns if rates drop [56][57] Question: Refinance activity and spec pools - Current refinanceability stands at about 5-10%, with a need for mortgage rates to drop to around 5.7%-5.8% for significant refinancing activity [71][73]

Legal Disclaimer Investor Presentation Fourth Quarter 2024 FORWARD-LOOKING STATEMENTS. Certain statements in this presentation may constitute forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995, including without limitation, references to: potential or expected future cash flows; estimated or expected returns, sometimes referred to as initial IRR, updated IRR, expected IRR, or current-to-maturity IRR; potential discount rates; potential future investments; e ...