Cherry Hill Mortgage Investment Corp

Previous wording

Pursuant to the Company’s Common Stock ATM Program, the Company may offer and sell through one or more sales agents, up to $150.0 million in shares of its common stock at prices prevailing at the time, subject to volume and other regulatory limitations. As of June 30, 2026, approximately $34.6 million was remaining pursuant to the Common Stock ATM Program. During the three and six-month periods ended June 30, 2026, the Company did not issue or sell any shares pursuant to the Common Stock ATM Program. During the year ended December 31, 2025, the Company issued and sold 4,909,053 shares of common stock under the Common Stock ATM Program. The shares were sold at a weighted average price of $3.00 per share for aggregate gross proceeds of approximately $14.7 million before fees of approximately $293,000.

Current wording

Pursuant to the Company’s Common Stock ATM Program, the Company may offer and sell through one or more sales agents, up to $150.0 million in shares of its common stock at prices prevailing at the time, subject to volume and other regulatory limitations. As of September 30, 2026, approximately $34.6 million was remaining pursuant to the Common Stock ATM Program. During the three and nine-month periods ended September 30, 2026, the Company did not issue or sell any shares pursuant to the Common Stock ATM Program. During the year ended December 31, 2025, the Company issued and sold 4,909,053 shares of common stock under the Common Stock ATM Program. The shares were sold at a weighted average price of $3.00 per share for aggregate gross proceeds of approximately $14.7 million before fees of approximately $293,000.

Previous wording

In September 2019, the Company initiated a share repurchase program that allows for the repurchase of up to an aggregate of $10.0 million of its common stock. As of June 30, 2026, approximately $4.7 million was remaining under the share repurchase program. Shares may be repurchased from time to time through privately negotiated transactions or open market transactions, pursuant to a trading plan in accordance with Rules 10b5-1 and 10b-18 under the Securities Exchange Act, or by any combination of such methods. The manner, price, number and timing of share repurchases are subject to a variety of factors, including market conditions and applicable SEC rules. The share repurchase program does not require the purchase of any minimum number of shares, and, subject to SEC rules, purchases may be commenced or suspended at any time without prior notice. During the three and six-month periods ended June 30, 2026 and the year ended December 31, 2025, the Company did not repurchase any common stock pursuant to the repurchase program.

Current wording

In September 2019, the Company initiated a share repurchase program that allows for the repurchase of up to an aggregate of $10.0 million of its common stock. As of September 30, 2026, approximately $4.7 million was remaining under the share repurchase program. Shares may be repurchased from time to time through privately negotiated transactions or open market transactions, pursuant to a trading plan in accordance with Rules 10b5-1 and 10b-18 under the Securities Exchange Act, or by any combination of such methods. The manner, price, number and timing of share repurchases are subject to a variety of factors, including market conditions and applicable SEC rules. The share repurchase program does not require the purchase of any minimum number of shares, and, subject to SEC rules, purchases may be commenced or suspended at any time without prior notice. During the three and nine-month periods ended September 30, 2026 and the year ended December 31, 2025, the Company did not repurchase any common stock pursuant to the repurchase program.

Previous wording

In December 2023, the Company initiated a preferred stock repurchase program that allows for the repurchase of up to an aggregate of $50.0 million of its shares of preferred stock. Shares of preferred stock may be repurchased from time to time through privately negotiated transactions or open market transactions, pursuant to a trading plan in accordance with Rules 10b5-1 under the Exchange Act. The manner, price, number and timing of share repurchases are subject to a variety of factors, including market conditions and applicable SEC rules. The preferred stock repurchase program does not require the purchase of any minimum number of shares of preferred stock, and, subject to SEC rules, purchases may be commenced or suspended at any time without prior notice. During the three and six-month periods ended June 30, 2026 and the year ended December 31, 2025, the Company did not repurchase any Preferred Stock pursuant to the repurchase program. Shares of preferred stock that are repurchased by the Company cease to be outstanding but remain authorized for future issuance.

Current wording

In December 2023, the Company initiated a preferred stock repurchase program that allows for the repurchase of up to an aggregate of $50.0 million of its shares of preferred stock. Shares of preferred stock may be repurchased from time to time through privately negotiated transactions or open market transactions, pursuant to a trading plan in accordance with Rules 10b5-1 under the Exchange Act. The manner, price, number and timing of share repurchases are subject to a variety of factors, including market conditions and applicable SEC rules. The preferred stock repurchase program does not require the purchase of any minimum number of shares of preferred stock, and, subject to SEC rules, purchases may be commenced or suspended at any time without prior notice. During the three and nine-month periods ended September 30, 2026 and the year ended December 31, 2025, the Company did not repurchase any Preferred Stock pursuant to the repurchase program. Shares of preferred stock that are repurchased by the Company cease to be outstanding but remain authorized for future issuance.

Previous wording

Since September 2025, the Federal Reserve has reduced its federal funds rate target by a cumulative 75 basis points to a range of 3.50% to 3.75%. During the first half of 2026, the Federal Open Market Committee maintained a target range at 3.50% to 3.75%, citing continued moderation in inflation, a softer labor market, and uncertainty regarding the economic outlook.

Current wording

Between September 2025 and late 2025, the Federal Reserve reduced its federal funds rate target by a cumulative 75 basis points to a range of 3.50% to 3.75% and maintained this target range through much of 2026. In September 2026, however, the Federal Open Market Committee increased the target range by 25 basis points to 3.75% to 4.00% in support of the Federal Reserve’s dual mandate, citing continued economic uncertainty and inflation that remained above its long-term target.

Previous wording

Conversely, if the Federal Reserve tightens monetary policy in the future by increasing the federal funds rate and/or selling securities and reducing its balance sheet, these actions could result in higher interest rates, including for Agency RMBS, and reduce economic activity in the United States, as well as decrease spreads on interest rates, which can reduce our net interest income and increase our funding costs. They may also negatively impact our results as we have certain assets and liabilities that are sensitive to changes in interest rates. In addition, lower net interest income resulting from higher rates is partially offset by lower prepayments which extends the length of cash flows from the MSRs and slows the premium amortization on the RMBS portfolio.

Current wording

Future actions by the Federal Reserve could affect our business, financial condition, and results of operations. To the extent the Federal Reserve further tightens monetary policy by increasing the federal funds rate and/or selling securities and reducing its balance sheet, these actions could result in higher interest rates, including for Agency RMBS, and reduce economic activity in the United States, as well as decrease spreads on interest rates, which can reduce our net interest income and increase our funding costs. They may also negatively impact our results as we have certain assets and liabilities that are sensitive to changes in interest rates. In addition, lower net interest income resulting from higher rates is partially offset by lower prepayments which extends the length of cash flows from the MSRs and slows the premium amortization on the RMBS portfolio.

Previous wording

To the extent the Federal Reserve takes future action to ease monetary policy by reducing its federal funds rate and/or purchasing securities and increasing its balance sheet, it will generally lower interest rates across asset classes, including for Agency RMBS. Lower rates could reduce our funding costs and spur economic activity, increasing our net interest income. Higher prepayment could reduce the length of cash flows from the MSRs and accelerate the premium amortization on the RMBS portfolio.

Current wording

Conversely, if the Federal Reserve takes future action to ease monetary policy by reducing its federal funds rate and/or purchasing securities and increasing its balance sheet, it will generally lower interest rates across asset classes, including for Agency RMBS. Lower rates could reduce our funding costs and spur economic activity, increasing our net interest income. Higher prepayment could reduce the length of cash flows from the MSRs and accelerate the premium amortization on the RMBS portfolio.

Previous wording

Interest expense for the three-month period ended June 30, 2026 was $10.0 million as compared to $11.4 million for the three-month period ended March 31, 2026. The decrease of $1.4 million in interest expense was due to changes in the Company’s leverage.

Current wording

Interest expense for the three-month period ended September 30, 2026 was $9.7 million as compared to $10.0 million for the three-month period ended June 30, 2026. The decrease of $0.3 million in interest expense was due to changes in the Company’s leverage.

Previous wording

Interest expense for the six-month period ended June 30, 2026 was $21.4 million as compared to $24.8 million for the six-month period ended June 30, 2025. The decrease of $3.4 million in interest expense was due to a decrease in financing rates combined with a decrease in notes payable.

Current wording

Interest expense for the nine-month period ended September 30, 2026 was $31.1 million as compared to $37.2 million for the nine-month period ended September 30, 2025. The decrease of $6.1 million in interest expense was due to a decrease in financing rates combined with a decrease in notes payable.

Previous wording

Servicing fee income for the three-month period ended June 30, 2026 was $9.7 million as compared to $10.2 million for the three-month period ended March 31, 2026. The decrease of $0.5 million in servicing fee income was due to changes in the size of the portfolio.

Current wording

Servicing fee income for the nine-month period ended September 30, 2026 was $29.7 million as compared to $32.7 million for the nine-month period ended September 30, 2025. The decrease of $3.0 million in servicing fee income was due to changes in the size of the portfolio.

Previous wording

Servicing costs for the six-month period ended June 30, 2026 were $4.6 million as compared to $4.5 million for the six-month period ended June 30, 2025. The change was nominal.

Current wording

Servicing costs for the three-month period ended September 30, 2026 were $2.2 million as compared to $2.3 million for the three-month period ended June 30, 2026 and September 30,2025 were $6.8 million. The change was nominal.

Previous wording

Servicing costs for each of the three-month periods ended June 30, 2026 and March 31, 2026 was $2.3 million. The change was nominal.

Current wording

Servicing costs for each of the nine-month periods ended September 30, 2026 and September 30, 2025 were $6.8 million. The change was nominal.

Previous wording

Realized loss on RMBS for the three-month period ended June 30, 2026 was approximately $1.0 million as compared to $0 for the three-month period ended March 31, 2026. The increase of $1.0 million in realized loss on RMBS was due to the timing and volume of RMBS sales.

Current wording

Realized loss on RMBS for the three-month period ended September 30, 2026 was $0 as compared to $1.0 million for the three-month period ended June 30, 2026. The decrease of $1.0 million in realized loss on RMBS was due to the timing and volume of RMBS sales.

Previous wording

Realized loss on RMBS for the six-month period ended June 30, 2026 was approximately $1.0 million as compared to $6.0 million for the six-month period ended June 30, 2025. The decrease of $5.0 million in realized loss on RMBS was due to the timing and volume of RMBS sales.

Current wording

Realized loss on RMBS for the nine-month period ended September 30, 2026 was approximately $1.0 million as compared to $6.0 million for the nine-month period ended September 30, 2025. The decrease of $5.0 million in realized loss on RMBS was due to the timing and volume of RMBS sales.

Previous wording

Realized gain on derivatives for the three-month period ended June 30, 2026 was approximately $12.1 million as compared to a $70 thousand realized loss on derivatives for the three-month period ended March 31, 2026. The increase of $12.2 million in realized gain on derivatives was substantially comprised of an increase of $8.1 million in gains on TBAs, an increase of $2.6 million in gain on U.S. Treasury futures, and an increase of $1.6 million in gain on Eris SOFR swap futures offset by a decrease of $69 thousand in interest rate swaps periodic interest income due to changes in interest rates as well as composition of derivatives.

Current wording

Realized gain on derivatives for the three-month period ended September 30, 2026 was approximately $10.6 million as compared to a $12.1 million for the three-month period ended June 30, 2026. The decrease of $1.5 million in realized gain on derivatives was substantially comprised of an increase of $2.8 million in gains on U.S. Treasury futures offset by a decrease of $0.7 million in gain on Eris SOFR swap futures and a decrease of $0.6 million in gain on TBAs due to changes in interest rates as well as composition of derivatives.

Previous wording

Realized gain on derivatives for the six-month period ended June 30, 2026 was approximately $12.1 million as compared to $19.5 million for the six-month period ended June 30, 2025. The decrease of $7.4 million in realized gain on derivatives was substantially comprised of a decrease of $5.3 million in gains on TBAs, a decrease of $1.2 million in gains on U.S. Treasury futures, and a decrease of $3.5 million in interest rate swaps periodic interest income due to changes in interest rates as well as composition of derivatives offset by an increase of $1.2 million in gains on interest rate swaps and an increase of $1.4 million in gains on Eris SOFR swap futures.

Current wording

Realized gain on derivatives for the nine-month period ended September 30, 2026 was approximately $22.7 million as compared to $9.0 million for the nine-month period ended September 30, 2025. The increase of $13.7 million in realized gain on derivatives was substantially comprised of an increase of $14.0 million in gains on TBAs, a decrease of $1.2 million in losses on interest rate swaps and an increase of $3.7 million in gains on Eris SOFR swap futures offset by a decrease of $0.6 million in gains on U.S. Treasury futures and a decrease of $4.6 million in interest rate swaps periodic interest income due to changes in interest rates as well as composition of derivatives

Previous wording

Unrealized loss on RMBS measured at fair value through earnings for the three-month period ended June 30, 2026 was $0.9 million as compared to $12.4 million for the three-month period ended March 31, 2026. The decrease of $11.5 million in unrealized loss on RMBS measured at fair value through earnings was a result of changes in interest rates combined with spread tightening.

Current wording

Unrealized loss on RMBS measured at fair value through earnings for the three-month period ended September 30, 2026 was $51.8 million as compared to $0.9 million for the three-month period ended June 30, 2026. The increase of $50.9 million in unrealized loss on RMBS measured at fair value through earnings was a result of changes in interest rates combined with spread widening.

Previous wording

Unrealized loss on RMBS measured at fair value through earnings for the six-month period ended June 30, 2026 was $13.3 million, compared to an unrealized gain of $18.3 million for the six-month period ended June 30, 2025. The $31.6 million unfavorable change was primarily due to an increase in interest rates and nominal spread widening during the period.

Current wording

Unrealized loss on RMBS measured at fair value through earnings for the nine-month period ended September 30, 2026 was $65.1 million, compared to an unrealized gain of $29.0 million for the nine-month period ended September 30, 2025. The $94.1 million change was primarily due to an increase in interest rates and spread widening during the period.

Previous wording

Unrealized loss on derivatives for the three-month period ended June 30, 2026 was approximately $9.3 million as compared to an unrealized gain of $6.1 million for the three-month period ended March 31, 2026. The $15.4 unfavorable change was primarily due to changes in interest rates and the composition of our derivatives relative to the prior period.

Current wording

Unrealized gain on derivatives for the three-month period ended September 30, 2026 was approximately $32.1 million as compared to an unrealized loss on derivatives of $9.3 million for the three-month period ended June 30, 2026. The $41.4 million favorable change was primarily due to changes in interest rates and the composition of our derivatives relative to the prior period.

Previous wording

Unrealized loss on derivatives for the six-month period ended June 30, 2026 was approximately $3.2 million as compared to $41.9 million for the six-month period ended June 30, 2025. The decrease of $38.7 million in unrealized loss on derivatives was primarily due to changes in interest rates and the composition of our derivatives relative to the prior period.

Current wording

Unrealized gain on derivatives for the nine-month period ended September 30, 2026 was approximately $28.9 million as compared to an unrealized loss on derivatives of $39.4 million for the nine-month period ended September 30, 2025. The increase of $68.3 million in unrealized gain on derivatives was primarily due to changes in interest rates and the composition of our derivatives relative to the prior period.

Previous wording

Unrealized loss on our investments in Servicing Related Assets for the three-month period ended June 30, 2026 was approximately $2.4 million as compared to $1.4 million for the three-month period ended March 31, 2026. The decrease of $1.0 million in unrealized loss on our investments in Servicing Related Assets was primarily due to changes in valuation inputs or assumptions and paydown of underlying loans.

Current wording

Unrealized gain on our investments in Servicing Related Assets for the three-month period ended September 30, 2026 was approximately $4.1 million as compared to an unrealized loss of $2.4 million for the three-month period ended June 30, 2026. The increase of $6.5 million in unrealized gain on our investments in Servicing Related Assets was primarily due to changes in valuation inputs or assumptions and paydown of underlying loans.

Previous wording

Unrealized loss on our investments in Servicing Related Assets for the six-month period ended June 30, 2026 was approximately $3.7 million as compared to $9.1 million for the six-month period ended June 30, 2025. The decrease of $5.4 million in unrealized loss on our investments in Servicing Related Assets was primarily due to changes in valuation inputs or assumptions and paydown of underlying loans.

Current wording

Unrealized gain on our investments in Servicing Related Assets for the nine-month period ended September 30, 2026 was approximately $0.4 million as compared to an unrealized loss of $15.0 million for the nine-month period ended September 30, 2025. The increase of $15.4 million in unrealized gain on our investments in Servicing Related Assets was primarily due to changes in valuation inputs or assumptions and paydown of underlying loans.

Previous wording

Credit loss and impairment on other assets was approximately $2.8 million for the three-month and six-month periods ended June 30, 2026. The increase of $2.8 million was due to the recognition of credit loss and impairment charges taken in the second quarter of 2026 on certain strategic investments and related receivables following management’s assessment of their estimated recoverable values.

Current wording

Credit loss and impairment on other assets for the nine-month period ended September 30, 2026 was approximately $3.3 million as compared to $0 for the nine-month period ended September 30, 2025. The increase of $3.3 million was due to the recognition of credit loss and impairment charges on certain other assets following management’s assessment of their estimated recoverable values.

Previous wording

General and administrative expense was $2.1 million for the three-month period ended June 30, 2026 as compared to $1.7 million for the three-month period ended March 31, 2026. The increase of $0.4 million in general and administrative expense was due to an increase in professional fees. Merger related costs were $0.2 million for the three months ended June 30, 2026. These costs were incurred in connection with the proposed merger with MITT and primarily consisted of legal fees.

Current wording

General and administrative expense was $4.6 million for the three-month period ended September 30, 2026 as compared to $2.1 million for the three-month period ended June 30, 2026. The increase of $2.5 million in general and administrative expense was primarily due to transaction related expenses incurred in connection with the Mergers.

Previous wording

General and administrative expense was $3.8 million for six-month period ended June 30, 2026 as compared to $4.0 million for the six-month period ended June 30, 2025. The decrease of $0.2 million in general and administrative expense was due to a decrease in professional fees. Merger related costs were $0.2 million for the six months ended June 30, 2026. These costs were incurred in connection with the proposed merger with MITT and primarily consisted of legal fees.

Current wording

General and administrative expense was $8.5 million for nine-month period ended September 30, 2026 as compared to $6.2 million for the nine-month period ended September 30, 2025. The increase of $2.3 million in general and administrative expense was primarily due to transaction related expenses incurred in connection with the Mergers.

Previous wording

Compensation and benefits expense for the six-month period ended June 30, 2026 was $3.5 million as compared to $3.1 million for the six-month period ended June 30, 2025. The increase of $0.4 million in compensation and benefits was due to the implementation of the 2026 Executive Plan.

Current wording

Compensation and benefits expense for the three-month period ended September 30, 2026 was $1.8 million as compared to $1.9 million for the three-month period ended June 30, 2026. The change was nominal.

Previous wording

Compensation and benefits expense for the three-month period ended June 30, 2026 was $1.9 million as compared to $1.6 million for the three-month period ended March 31, 2026. The increase of $0.3 million in compensation and benefits was due to the implementation of the 2026 Executive Plan.

Current wording

Compensation and benefits expense for the nine-month period ended September 30, 2026 was $5.3 million as compared to $4.7 million for the nine-month period ended September 30, 2025. The increase of $0.6 million in compensation and benefits was due to the adoption of the 2026 Executive Plan.

Previous wording

Net Income (Loss) Allocated to Noncontrolling Interests in Operating Partnership

Current wording

Net Income (Loss) Allocated to Non-controlling Interests in Operating Partnership

Previous wording

Net income (loss) allocated to noncontrolling interests in the Operating Partnership, which are LTIP-OP Units owned by directors, officers and employees of the Company and by certain individuals who provided services to us through the Manager prior to the Internalization, represented approximately 1.5% and 1.4% of net income for the three-month periods ended June 30, 2026 and March 31, 2026, respectively and 1.4% and 1.8% of net income (loss) for the six month periods ended June 30, 2026 and June 30, 2025 respectively.

Current wording

Net income (loss) allocated to non-controlling interests in the Operating Partnership, which are LTIP-OP Units owned by directors, officers and employees of the Company and by certain individuals who provided services to us through the Manager prior to the Internalization, represented approximately 1.4% and 1.5% of net income for the three-month periods ended September 30, 2026 and June 30, 2026, respectively and 1.5% and 1.8% of net income (loss) for the nine month periods ended September 30, 2026 and September 30, 2025 respectively.

Previous wording

Our GAAP equity changes as the values of our RMBS are marked to market each quarter, among other factors. The primary causes of mark to market changes are changes in interest rates and nominal spreads. During the three-month period ended June 30, 2026, a small unrealized gain on our available-for-sale RMBS was a result of changes in interest rates combined with the sale of securities. During the three-month period ended March 31, 2026 and the six-month period ended June 30, 2026, a rise in interest rates combined with marginal widening of nominal spreads caused a net unrealized loss on our available-for-sale RMBS. During the six-month period ended June 30, 2025, a drop in interest rates caused a net unrealized gain on our available-for-sale RMBS. Unrealized gain (loss) on available-for-sale RMBS is recorded in accumulated other comprehensive income (loss).

Current wording

Our GAAP equity changes as the values of our RMBS are marked to market each quarter, among other factors. The primary causes of mark to market changes are changes in interest rates and nominal spreads. During the three and nine-month periods ended September 30, 2026, a rise in interest rates combined with widening of nominal spreads caused a net unrealized loss on our available-for-sale RMBS. During the three-month period ended June 30, 2026, a small unrealized gain on our available-for-sale RMBS was a result of changes in interest rates combined with the sale of securities. During the nine-month period ended September 30, 2025, a drop in interest rates caused a net unrealized gain on our available-for-sale RMBS. Unrealized gain (loss) on available-for-sale RMBS is recorded in accumulated other comprehensive income (loss).

Previous wording

Earnings available for distribution (“EAD”) is a non-GAAP financial measure that we define as GAAP net income (loss), excluding realized gain (loss) on RMBS, unrealized gain (loss) on RMBS measured at fair value through earnings, realized and unrealized gain (loss) on derivatives, realized gain (loss) on acquired assets, realized and unrealized gain (loss) on investments in MSRs (net of any estimated MSR amortization), credit loss and impairment on other assets, transaction related expense and any tax expense (benefit) on realized and unrealized gain (loss) on MSRs and other non-EAD income (loss) items. MSR amortization refers to the portion of the change in fair value of the MSR that is primarily due to the realization of cashflows, runoff resulting from prepayments and an adjustment for any gain or loss on the capital used to purchase the MSR. EAD also includes interest rate swap periodic interest income (expense) and drop income on TBA dollar roll transactions, which are included in “Realized gain (loss) on derivatives, net” on the consolidated statements of income (loss). EAD attributable to common stockholders is adjusted to exclude outstanding LTIP-OP Units in our Operating Partnership and dividends paid on our preferred stock.

Current wording

Earnings available for distribution (“EAD”) is a non-GAAP financial measure that we define as GAAP net income (loss), excluding realized gain (loss) on RMBS, unrealized gain (loss) on RMBS measured at fair value through earnings, realized and unrealized gain (loss) on derivatives, realized gain (loss) on acquired assets, realized and unrealized gain (loss) on investments in MSRs (net of any estimated MSR amortization), credit loss and impairment on other assets, transaction related expenses and any tax expense (benefit) on realized and unrealized gain (loss) on MSRs and other non-EAD income (loss) items. MSR amortization refers to the portion of the change in fair value of the MSR that is primarily due to the realization of cashflows, runoff resulting from prepayments and an adjustment for any gain or loss on the capital used to purchase the MSR. EAD also includes interest rate swap periodic interest income (expense) and drop income on TBA dollar roll transactions, which are included in “Realized gain (loss) on derivatives, net” on the consolidated statements of income (loss). EAD attributable to common stockholders is adjusted to exclude outstanding LTIP-OP Units in our Operating Partnership and dividends paid on our preferred stock.

Previous wording

EAD for the three-month period ended June 30, 2026 as compared to the three-month period ended March 31, 2026 increased by approximately $0.3 million, or $0.01 per average common share primarily due to an increase in drop income on TBA dollar rolls offset by an increase in general and administrative expenses.

Current wording

EAD for the three-month period ended September 30, 2026 as compared to the three-month period ended June 30, 2026 decreased by approximately $0.3 million, or $0.01 per average common share primarily due to a decrease in price premium amortization.

Previous wording

EAD for the six-month period ended June 30, 2026 as compared to the six-month period ended June 30, 2025 increased by approximately $2.2 million, or $0.02 per average common share primarily due to a decrease in borrowing costs offset by a decrease in interest rate swap periodic interest income.

Current wording

EAD for the nine-month period ended September 30, 2026 as compared to the nine-month period ended September 30, 2025 increased by approximately $4.1 million, or $0.09 per average common share primarily due to a decrease in borrowing costs and an increase in drop income on TBA dollar rolls offset by a decrease in interest rate swap periodic interest income.

Previous wording

Aurora’s portfolio of Fannie Mae and Freddie Mac MSRs have an aggregate UPB of approximately $15.2 billion as of June 30, 2026.

Current wording

Aurora’s portfolio of Fannie Mae and Freddie Mac MSRs have an aggregate UPB of approximately $14.9 billion as of September 30, 2026.

Previous wording

As of June 30, 2026, we had repurchase agreements with multiple counterparties and approximately $1,008.7 million of outstanding repurchase agreement borrowings from 18 of those counterparties, which were used to finance RMBS. As of June 30, 2026, our exposure (defined as the amount of cash and securities pledged as collateral, less the borrowing under the repurchase agreement) to any of the counterparties under the repurchase agreements did not exceed five percent of the Company’s equity. Under these agreements, which are uncommitted facilities, we sell a security to a counterparty and concurrently agree to repurchase the same security at a later date at the same price that we initially sold the security plus the interest charged. The sale price represents financing proceeds and the difference between the sale and repurchase prices represents interest on the financing. The price at which the security is sold generally represents the market value of the security less a discount or “haircut.” The weighted average haircut on our repurchase debt at June 30, 2026 was approximately 4.5%. During the term of the repurchase transaction, which can be as short as a few days, the counterparty holds the security and posts margin as collateral. The counterparty monitors and calculates what it estimates to be the value of the collateral during the term of the transaction. If this value declines by more than a de minimis threshold, the counterparty requires us to post additional collateral (or “margin”) in order to maintain the initial haircut on the collateral. This margin is typically required to be posted in the form of cash and cash equivalents. Furthermore, we are, from time to time, a party to derivative agreements or financing arrangements that may be subject to margin calls based on the value of such instruments.

Current wording

As of September 30, 2026, we had repurchase agreements with multiple counterparties and approximately $964.9 million of outstanding repurchase agreement borrowings from 18 of those counterparties, which were used to finance RMBS. As of September 30, 2026, our exposure (defined as the amount of cash and securities pledged as collateral, less the borrowing under the repurchase agreement) to any of the counterparties under the repurchase agreements did not exceed five percent of the Company’s equity. Under these agreements, which are uncommitted facilities, we sell a security to a counterparty and concurrently agree to repurchase the same security at a later date at the same price that we initially sold the security plus the interest charged. The sale price represents financing proceeds and the difference between the sale and repurchase prices represents interest on the financing. The price at which the security is sold generally represents the market value of the security less a discount or “haircut.” The weighted average haircut on our repurchase debt at September 30, 2026 was approximately 4.4%. During the term of the repurchase transaction, which can be as short as a few days, the counterparty holds the security and posts margin as collateral. The counterparty monitors and calculates what it estimates to be the value of the collateral during the term of the transaction. If this value declines by more than a de minimis threshold, the counterparty requires us to post additional collateral (or “margin”) in order to maintain the initial haircut on the collateral. This margin is typically required to be posted in the form of cash and cash equivalents. Furthermore, we are, from time to time, a party to derivative agreements or financing arrangements that may be subject to margin calls based on the value of such instruments.

Previous wording

These short-term borrowings were used to finance certain of our investments in RMBS. The RMBS repurchase agreements are guaranteed by the Company. The weighted average difference between the market value of the assets and the face amount of available financing for the RMBS repurchase agreements, or the haircut, was 4.5% as of June 30, 2026 and 4.4% as of December 31, 2025. The following tables provide additional information regarding borrowings under our repurchase agreements (dollars in thousands):

Current wording

These short-term borrowings were used to finance certain of our investments in RMBS. The RMBS repurchase agreements are guaranteed by the Company. The weighted average difference between the market value of the assets and the face amount of available financing for the RMBS repurchase agreements, or the haircut, was 4.4% as of September 30, 2026 and 4.4% as of December 31, 2025. The following tables provide additional information regarding borrowings under our repurchase agreements (dollars in thousands):

Previous wording

The amount of collateral as of June 30, 2026 and December 31, 2025, including cash, was $1,056.3 million and $1,192.6 million, respectively.

Current wording

The amount of collateral as of September 30, 2026 and December 31, 2025, including cash, was $1,000.6 million and $1,192.6 million, respectively.

Previous wording

The weighted average term to maturity of our borrowings under repurchase agreements as of June 30, 2026 and December 31, 2025 was 20 days and 16 days, respectively.

Current wording

The weighted average term to maturity of our borrowings under repurchase agreements as of September 30, 2026 and December 31, 2025 was 22 days and 16 days, respectively.

Previous wording

Freddie Mac MSR Revolver. In July 2018, the Company, Aurora and QRS V (collectively with Aurora and the Company, the “Borrowers”) entered into a $25.0 million revolving credit facility (the “Freddie Mac MSR Revolver”) pursuant to which Aurora pledged all of its existing and future MSRs on loans owned or securitized by Freddie Mac. On April 2, 2019, Aurora and QRS V entered into an amendment that increased the maximum amount of the Freddie Mac MSR Revolver to $100.0 million. In May 2026, the Borrowers entered into an amendment that extended the revolving period for an additional 364 days with the Borrowers’ option for two renewals for similar terms followed by a one-year term out feature with a 24-month amortization schedule. Amounts borrowed bear interest at a weighted average borrowing rate of 6.5%. At June 30, 2026 and December 31, 2025, approximately $54.0 million and $55.5 million, respectively, was outstanding under the Freddie Mac MSR Revolver.

Current wording

Freddie Mac MSR Revolver. In July 2018, the Company, Aurora and QRS V (collectively with Aurora and the Company, the “Borrowers”) entered into a $25.0 million revolving credit facility (the “Freddie Mac MSR Revolver”) pursuant to which Aurora pledged all of its existing and future MSRs on loans owned or securitized by Freddie Mac. On April 2, 2019, Aurora and QRS V entered into an amendment that increased the maximum amount of the Freddie Mac MSR Revolver to $100.0 million. In May 2026, the Borrowers entered into an amendment that extended the revolving period for an additional 364 days with the Borrowers’ option for one renewal for similar terms followed by a one-year term out feature with a 24-month amortization schedule. Amounts borrowed bear interest at a weighted average borrowing rate of 6.5%. At September 30, 2026 and December 31, 2025, approximately $52.5 million and $55.5 million, respectively, was outstanding under the Freddie Mac MSR Revolver.

Previous wording

Fannie Mae MSR Revolving Facility. In October 2021, Aurora and QRS III entered into the Fannie Mae MSR Revolving Facility, pursuant to which Aurora and QRS III pledged their respective rights in all existing and future MSRs for loans owned or securitized by Fannie Mae to secure borrowings outstanding from time to time. The original maximum credit amount outstanding at any one time under the Fannie Mae MSR Revolving Facility was $150.0 million. The revolving period is 24 months which may be extended by agreement with the lender. In October 2023, Aurora and QRS III entered into an amendment to the Fannie Mae MSR Revolving Facility that extended the revolving period for an additional 24 months. In October 2025, Aurora and QRS III entered into an amendment to the Fannie Mae MSR which (i) extended the revolving period by an additional 24 months, and (ii) reduced the credit amount to $100 million, with the option for Aurora and QRS III to increase the maximum credit to $150 million at any time during the extended 24-month revolving period. The revolving period may be further extended by a period of 1-year by agreement with the lender. Amounts borrowed bear interest at a weighted average borrowing rate of 6.4%. At the end of the revolving period, the outstanding amount will be converted to a three-year term loan that will bear interest at a rate calculated at a spread over the rate for one-year interest rate swaps. The Company has guaranteed repayment of all indebtedness under the Fannie Mae MSR Revolving Facility. At June 30, 2026 and December 31, 2025, approximately $87.5 million and $90.8 million, respectively, was outstanding under the Fannie Mae MSR Revolving Facility.

Current wording

Fannie Mae MSR Revolving Facility. In October 2021, Aurora and QRS III entered into the Fannie Mae MSR Revolving Facility, pursuant to which Aurora and QRS III pledged their respective rights in all existing and future MSRs for loans owned or securitized by Fannie Mae to secure borrowings outstanding from time to time. The original maximum credit amount outstanding at any one time under the Fannie Mae MSR Revolving Facility was $150.0 million. The revolving period is 24 months which may be extended by agreement with the lender. In October 2023, Aurora and QRS III entered into an amendment to the Fannie Mae MSR Revolving Facility that extended the revolving period for an additional 24 months. In October 2025, Aurora and QRS III entered into an amendment to the Fannie Mae MSR which (i) extended the revolving period by an additional 24 months, and (ii) reduced the credit amount to $100 million, with the option for Aurora and QRS III to increase the maximum credit to $150 million at any time during the extended 24-month revolving period. The revolving period may be further extended by a period of 1-year by agreement with the lender. Amounts borrowed bear interest at a weighted average borrowing rate of 6.4%. At the end of the revolving period, the outstanding amount will be converted to a three-year term loan that will bear interest at a rate calculated at a spread over the rate for one-year interest rate swaps. The Company has guaranteed repayment of all indebtedness under the Fannie Mae MSR Revolving Facility. At September 30, 2026 and December 31, 2025, approximately $87.0 million and $90.8 million, respectively, was outstanding under the Fannie Mae MSR Revolving Facility.

Previous wording

Our operating activities provided cash of approximately $4.6 million and $12.6 million for the three-month periods ended June 30, 2026 and March 31, 2026, respectively. Our investing activities provided cash of approximately $114.4 million and $28.5 million for the three-month periods ended June 30, 2026 and March 31, 2026, respectively. The cash provided by our investing activities primarily resulted from principal paydowns of RMBS and proceeds from the sale of RMBS offset by RMBS purchases and payments for settlements of derivatives.

Current wording

Our operating activities provided cash of approximately $17.0 million and $4.6 million for the three-month periods ended September 30, 2026 and June 30, 2026, respectively. Our investing activities provided cash of approximately $30.7 million and $114.4 million for the three-month periods ended September 30, 2026 and June 30, 2026, respectively. The cash provided by our investing activities primarily resulted from principal paydowns of RMBS and proceeds from the sale of RMBS offset by RMBS purchases and payments for settlements of derivatives.