twoq12026earningscallpre

An MSR-Focused REIT First Quarter Earnings Call Presentation April 29, 2026

Safe Harbor Statement 2 FORWARD-LOOKING STATEMENTS This presentation of Two Harbors Investment Corp., or TWO, includes “forward-looking statements” within the meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act of 1995. Actual results may differ from expectations, estimates and projections and, consequently, readers should not rely on these forward-looking statements as predictions of future events. Words such as “expect,” “target,” “assume,” “estimate,” “project,” “budget,” “forecast,” “anticipate,” “intend,” “plan,” “may,” “will,” “could,” “should,” “believe,” “predicts,” “potential,” “continue,” and similar expressions are intended to identify such forward-looking statements. These forward-looking statements involve significant risks and uncertainties that could cause actual results to differ materially from expected results, including, among other things, those described in our Annual Report on Form 10-K for the year ended 2025, and any subsequent Quarterly Reports on Form 10-Q, under the caption “Risk Factors.” Factors that could cause actual results to differ include, but are not limited to: the state of credit markets and general economic conditions; changes in interest rates and the market value of our assets; changes in prepayment rates of mortgages underlying our target assets; the rates of default or decreased recovery on the mortgages underlying our target assets; declines in home prices; our ability to establish, adjust and maintain appropriate hedges for the risks in our portfolio; the availability and cost of our target assets; the availability and cost of financing; changes in the competitive landscape within our industry; our ability to effectively execute and to realize the benefits of strategic transactions and initiatives we have pursued or may in the future pursue; our entry into a merger agreement with CrossCountry Mortgage, LLC and the ability to complete the proposed transaction; our ability to manage various operational risks and costs associated with our business, including the risks associated with operating a mortgage loan servicer and originator; interruptions in or impairments to our communications and information technology systems; our ability to acquire mortgage servicing rights (MSR) and to maintain our MSR portfolio; our exposure to legal and regulatory claims; legislative and regulatory actions affecting our business; our ability to maintain our REIT qualification; and limitations imposed on our business due to our REIT status and our exempt status under the Investment Company Act of 1940. Readers are cautioned not to place undue reliance upon any forward-looking statements, which speak only as of the date made. TWO does not undertake or accept any obligation to release publicly any updates or revisions to any forward-looking statement to reflect any change in its expectations or any change in events, conditions or circumstances on which any such statement is based. Additional information concerning these and other risk factors is contained in TWO’s most recent filings with the Securities and Exchange Commission (SEC). All subsequent written and oral forward- looking statements concerning TWO or matters attributable to TWO or any person acting on its behalf are expressly qualified in their entirety by the cautionary statements above. This presentation may include industry and market data obtained through research, surveys, and studies conducted by third parties and industry publications. We have not independently verified any such market and industry data from third-party sources. This presentation is provided for discussion purposes only and may not be relied upon as legal or investment advice, nor is it intended to be inclusive of all the risks and uncertainties that should be considered. This presentation does not constitute an offer to purchase or sell any securities, nor shall it be construed to be indicative of the terms of an offer that the parties or their respective affiliates would accept. Readers are advised that the financial information in this presentation is based on company data available at the time of this presentation and, in certain circumstances, may not have been audited by the company’s independent auditors.

Common Stock Dividend $0.34 Comprehensive Loss per Share $(0.24) Investment Portfolio(2) $11.9 billion Quarter-End Economic Debt-to-Equity(3) 6.4x Note: Financial data throughout this presentation is as of or for the quarter ended March 31, 2026, unless otherwise noted. Per share metrics utilize basic common shares as the denominator. The End Notes are an integral part of this presentation. See slides 29 through 35 at the back of this presentation for information related to certain financial metrics and defined terms used herein. Quarterly Financials Overview 3 Book Value per Share $10.57 Economic Return on Book Value(1) (2.0)%

4 Market Overview MARKETS REPRICE AS GEOPOLITICAL RISK TAKES CENTER STAGE • The Federal Reserve left rates unchanged as forecasts for inflation and economic growth became more uncertain; market expectations for rate cuts have diminished • Treasury yield curve bear flattened as energy prices rekindled inflation fears ◦ 2-year U.S. Treasury yields rose by 32 basis points to 3.79% ◦ 10-year U.S. Treasury yields rose by 15 basis points to 4.32% I. FED FUND RATE EXPECTATIONS(1) II. QUARTERLY YIELD CURVE CHANGE(1) 2yr Tsy +32bps 10yr Tsy +15bps

$57 million UPB in Originations Pipeline(1) $199 billion Serviced UPB 846,416 Loans Serviced Hedges Portfolio Direct-to-consumer protects value of TWO’s MSR portfolio when interest rates decline and refinancing activity increases more than expected Cost Efficiencies Focused on additional operational efficiencies to deliver lower cost-to- service per loan Additional Income Subservicing, direct-to-consumer originations, and ancillary products offer new sources of income RoundPoint Operations Update 5 $92 million UPB Funded First and Second Liens Direct-to-Consumer Originations Highlights Servicing Platform Highlights TWO + RoundPoint Benefits $38 million UPB Brokered Second Lien Loans $159 billion Owned Servicing UPB $40 billion Subserviced UPB Technology Drives Efficiencies and Experience AI in the Contact Center Deploying speech recognition, transcription and analysis help increase operational efficiency Automated Interactions Expanding to leverage AI for automated interactions via virtual agents, improve quality assurance, and streamline risk reviews AI-Driven Agent Assistance and Knowledge Bases Reduced call time and improved experiences through first call resolution, more accurate responses

$1,166.1 $32.3 $(44.2) $(12.8) $(36.0) $4.4 $1,109.8 December 31, 2025 Common Stockholders’ Equity GAAP Net Income Other Comprehensive Loss Preferred Stock Dividends Common Stock Dividends Other March 31, 2026 Common Stockholders’ Equity ($ in millions, except per share data) $11.13 per common share $10.57 per common share Represents Comprehensive Loss of $(24.7) million, or $(0.24) per common share Declared common stock dividend of $0.34 per share Increase Decrease Total Book Value Summary 6 (2.0)% quarterly economic return on book value(1)

$121.8 $(83.6) $3.4 $(49.4) $(4.1) $(12.8) $(24.7) $126.2 $(6.7) $0.8 $(51.3) $(5.6) $(13.0) $50.4 Q1 2026 Q4 2025 Net Interest and Servicing Income Mark-to-Market Gains and Losses Other Income Operating Expenses Tax Provision Preferred Stock Dividends Comprehensive (Loss) Income Comprehensive Income (Loss) Summary 7 ($ in millions, except per share data) Q1 Comprehensive Loss of $(0.24) per weighted average common share Lower loan level expenses, partially offset by higher compensation and benefits and merger- related costs Includes income related to originations Higher interest rates and spread widening in Q1 versus bull steepening in rates in Q4, partially offset by lower portfolio run-off on lower MSR balances and lower experienced prepayment speeds Lower float earnings rates and lower servicing fee collections on lower balances drove decrease in servicing income, partially offset by lower financing rates (1)

• $1.4 billion of outstanding borrowings under bilateral MSR asset financing facilities • $977 million of unused MSR asset financing capacity; $102 million committed and $875 million uncommitted • $69 million outstanding borrowings and $81 million of unused, committed capacity for servicing advance receivables BALANCE SHEET AS OF MARCH 31, 2026 • $6.7 billion of outstanding repurchase agreements with 16 counterparties • Weighted average days to maturity of 71 days Av er ag e R ep o R at e - S O FR (b ps ) 3-month 6-month Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 0 20 40(1 ) Agency RMBS $6.5 billion MSR $2.4 billion Cash & cash equivalents $0.5 billion All other assets $1.1 billion Agency RMBS repurchase agreements $6.7 billion MSR financing $1.5 billion All other liabilities $0.5 billion Preferred equity $0.6 billion Common equity $1.1 billion 2022 2023 2024 Financing Profile 8 AGENCY RMBS MORTGAGE SERVICING RIGHTS 2025 2026

At March 31, 2026, $11.9 billion portfolio Includes $8.9 billion settled positions M ar ke t Va lu e Eq ui va le nt s ($ b ill io ns ) Econom ic D ebt-To-Equity 8.4 6.5 6.6 6.5 3.0 4.4 4.2 3.0 3.0 2.6 2.4 2.4 7.0x 7.2x 7.0x 6.4x Agency Net TBA Position MSR Economic Debt-to-Equity 6/30/2025 9/30/2025 12/31/2025 3/31/2026 0 5 10 15 20 25 0.0x 2.0x 4.0x 6.0x 8.0x (3) (3 ) (2) 11.9 13.2 14.4 13.5 Note: Sensitivity data as of March 31, 2026. The above scenarios are provided for illustration purposes only and are not necessarily indicative of TWO’s financial condition and operating results, nor are they necessarily indicative of the financial condition or results of operations that may be expected for any future period or date. See Slide 17 the Appendix for more information on our risk positioning. C ha ng e in c om m on bo ok v al ue (1.1)% (0.9)% (1.1)% (1.3)% 12/31/2025 3/31/2026 Up 25 basis points Down 25 basis points (2.0)% (1.0)% —% C ha ng e in c om m on bo ok v al ue (4.0)% 3.7% (5.2)% 3.2% 12/31/2025 3/31/2026 Up 25 basis points Down 25 basis points (8.0)% —% 8.0% 9 Portfolio Composition and Risk Positioning I. PORTFOLIO COMPOSITION(1) II. INTEREST RATE EXPOSURE(4) III. MORTGAGE SPREAD EXPOSURE(5)

10 Agency RMBS Investment Landscape ADMINISTRATION’S SUPPORT FOR RMBS MITIGATED BY THE RISE IN VOLATILITY AND BROAD RISK-OFF SENTIMENT • Mortgage performance started strong - bolstered by the January 8 announcement that the GSEs will buy $200 billion of RMBS - with implied volatility falling to its lowest levels since October 2021, and current coupon spreads hitting quarterly tights on January 12 • Performance eroded over the balance of the quarter, driven predominantly by geopolitical events and the attendant increase in realized and implied volatility and the flattening of the yield curve • Nominal current coupon to swaps widened by 26 basis points, while OAS was 15 basis points wider • Compared to the prior quarters at similar levels of implied volatility, mortgage spreads were tighter owing to favorable supply/demand conditions • Nominal and option-adjusted spread curves steepened, with lower coupons roughly unchanged while 4.5s and higher widened I. RMBS SPREADS WIDENED, VOLATILITY INCREASED(1) II. SPREAD CURVES STEEPENED(2)

Coupon Ti ck s (3 2 nd s) TBAs TWO Specified Pools 4.0 4.5 5.0 5.5 6 6.5 -20 -10 0 10 20 TWO Specified Pools (Q1-2026)TBAs (Q1-2026)(5) TBAs (Q4-2025)(5) TWO Specified Pools (Q4-2025) Market Value(4) ($ billions) $— $0.35 $1.40 $1.57 $1.57 $0.50 11 Agency RMBS Portfolio I. RMBS QUARTERLY PERFORMANCE II. SPECIFIED POOL PREPAYMENT SPEEDS(1) (2) (3) QUARTERLY HIGHLIGHTS • For the coupons that TWO owned for the full duration of the quarter, specified pools mostly outperformed TBAs • Post spread tightening in mid-January, we lowered our spread exposure then managed it higher as spreads widened later in the quarter • Exposure was reduced to 4.5s mostly through sales of specified pools, while holdings increased in 5.5% specified pools with better carry and relative value • The pickup in realized volatility increased hedging costs for both securities and MSR • Weighted average specified pool portfolio prepayment speeds increased to 9.8%, compared to 8.6% in the fourth quarter(1), mostly from increases in higher coupons that responded to the quarterly low in mortgage rates

12 MSR Investment Landscape MSR MARKET CONTINUES TO BE WELL SUPPORTED • MSR market well subscribed and pricing stable across channels • Servicing transfer volume remained robust at $93 billion UPB, ahead of the same quarter in 2025 but down from the prior two quarters • Most supply coming from non-bank originators with a broader array of buyers including other non-bank originators, banks, and REITs • With rates around 6.5%, about 1% of the UPB of TWO's MSR portfolio has 50 basis points or more of a rate incentive to refinance • Housing market remains slow; persistent inventory shortages in many markets expected to continue to put upward pressure on prices • Housing affordability is likely to reverse given rise in mortgage rates I. BULK MSR TRANSFER VOLUME(1) II. COMPOSITION OF TWO MSR VS. CURRENT RATES(2)

UPB(3) ($ billions) $61.6 $26.5 $16.8 $9.5 $8.0 $6.3 $4.0 $3.1 $3.4 $1.6 QUARTERLY HIGHLIGHTS • Higher mortgage rates and wider RMBS spreads generally lead to higher servicing multiples • Price multiple increased slightly quarter-over-quarter to 5.9x from 5.8x in the fourth quarter • Added $151.8 million UPB through flow acquisitions and recapture • Weighted average 3-month CPR decreased to 5.6% CPR from 6.4% in Q4, reflecting slower seasonal speeds • Actual prepayment speeds continue to run below model speeds, a tailwind for returns • 60+ day delinquencies remain low at 0.9% 3/31/2026 12/31/2025 Fair value ($ millions) $ 2,381 $ 2,422 Price multiple 5.9x 5.8x UPB ($ millions) $ 160,300 $ 163,773 Gross coupon rate 3.55 % 3.55 % Current loan size ($ thousands) $ 322 $ 325 Original FICO(2) 760 760 Original Loan-to-Value (LTV) 73 % 73 % 60+ day delinquencies 0.9 % 0.9 % Net servicing fee (bps) 25.3 25.3 Loan age (months) 67 64 3-month CPR 5.6 % 6.4 % TWO MSR (Q1-2026)TBAs (Q1-2026)(4) TBAs (Q4-2025)(4) TWO MSR (Q4-2025) 13 MSR Portfolio I. MSR PORTFOLIO CHARACTERISTICS(1) II. 30-YEAR MSR PREPAYMENT SPEEDS

14 Return Potential and Outlook ATTRACTIVE RETURN OPPORTUNITIES FOR UNIQUELY POSITIONED PORTFOLIO As of March 31, 2026 PORTFOLIO MARKET VALUE ($ millions) INVESTED CAPITAL ALLOCATED(1) STATIC RETURN ESTIMATE(2) SERVICING MSR 2,381 RMBS(3) 5,009 Total 7,390 65% 11% - 14% SECURITIES RMBS(3) 4,442 Other Securities 1,120 Total 5,562 35% 11% - 15% INVESTED CAPITAL ($ millions) TWO’s STATIC RETURN ESTIMATE(4) Total Portfolio Before Corporate and Tax Expenses 11.2% - 14.5% Corporate and Tax Expenses(5) (3.2)% - (3.2)% Total Return to Invested Capital 8.0% - 11.4% INVESTED CAPITAL Senior Notes 115 9.4% Preferred Equity(6) 622 8.9% Common Equity 1,110 7.3% - 12.9% Total Invested Capital 1,847 PROSPECTIVE QUARTERLY STATIC RETURN PER BASIC COMMON SHARE(7): $0.19 - $0.34 Note: This slide presents estimates for illustrative purposes only, using TWO’s base case assumptions (e.g., spreads, prepayment speeds, financing costs, leverage and expenses), and does not contemplate market- driven value changes, active portfolio management, or certain operating expenses. Actual results may differ materially.

Appendix

Coupon (%) TBA Market Price(1) TBA Notional ($m) Specified Pools Par Value ($m)(2) MSR/ Agency IO UPB ($m)(3) Combined ($m) ZV to SOFR Spreads for Specified Pools(4) 4.5% $ 97.68 $ (157) $ 359 $ — $ 202 106 5.0% $ 99.81 2,072 1,404 (1,961) 1,515 112 5.5% $ 101.44 2,025 1,552 (3,053) 524 135 6.0% $ 102.68 (440) 1,530 — 1,090 154 ≥ 6.5% $ 103.91 (481) 486 — 5 155 Total $ 3,019 $ 5,331 $ (5,014) $ 3,336 134 16 Effective Coupon Positioning Coupon U PB ( $ in b ill io ns ) Q1 2026 Q4 2025 4.5 5.0 5.5 6.0 ≥ 6.5 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0 II. QUARTER-OVER-QUARTER CHANGE IN POSITIONINGI. EFFECTIVE COUPON POSITIONING Combined TBA, Specified Pool and MSR positioning by coupon

Note: Sensitivity data as of March 31, 2026. The above scenarios are provided for illustration purposes only and are not necessarily indicative of TWO’s financial condition and operating results, nor are they necessarily indicative of the financial condition or results of operations that may be expected for any future period or date. Book Value Exposure to Changes in Rates % Change in Common Book Value 2-Year Rate (basis points) 10-Year Rate (basis points) Agency P&I RMBS/TBA MSR/Agency IO RMBS(1) Other(2) Combined -25 0 Bull Steepener(3) 2.8 % 0.5 % (3.7) % (0.4) % 0 -25 Bull Flattener(4) 5.0 % (4.9) % (1.0) % (0.9) % -50 -50 Parallel Shift(5) 14.4 % (9.4) % (9.4) % (4.4) % -25 -25 Parallel Shift(5) 7.7 % (4.4) % (4.6) % (1.3) % 0 0 Base — % — % — % — % +25 +25 Parallel Shift(5) (8.7) % 3.2 % 4.4 % (1.1) % +50 +50 Parallel Shift(5) (18.2) % 6.1 % 8.8 % (3.3) % +25 0 Bear Flattener(3) (2.7) % (0.9) % 3.4 % (0.2) % 0 +25 Bear Steepener(4) (6.0) % 4.1 % 1.1 % (0.8) % Book Value Exposure to Current Coupon Spread(6) % Change in Common Book Value Parallel Shift in Spreads (basis points) Agency P&I RMBS/TBA MSR/Agency IO RMBS(1) Combined -25 7.4 % (4.2) % 3.2 % 0 — % — % — % +25 (8.4) % 3.2 % (5.2) % 17 Risk Positioning

18 Markets Overview I. QUARTERLY MORTGAGE PERFORMANCE(1) II. DAILY VOLATILITY OF 10-YEAR SWAP RATE(2) III. MORTGAGE SPREAD VOLATILITY(3) IV. TWO MSR SPEEDS AND EXISTING HOME SALES(4)

$64.9 $(221.8) $(80.2) $50.4 $(24.7) Comprehensive Income ($ in millions) Q1-2025 Q2-2025 Q3-2025 Q4-2025 Q1-2026 $-300 $-150 $0 $150 $14.66 $12.14 $11.04 $11.13 $10.57 $0.45 $0.39 $0.34 $0.34 $0.34 Book Value ($) Dividend Declared ($) Q1-2025 Q2-2025 Q3-2025 Q4-2025 Q1-2026 $5.00 $10.00 $15.00 $20.00 4.4% (14.5)% (6.3)% 3.9% (2.0)% Quarterly Return on Book Value Q1-2025 Q2-2025 Q3-2025 Q4-2025 Q1-2026 -20% -10% 0% 10% 13.5% 14.5% 13.8% 13.0% 11.9% Dividend Yield Q1-2025 Q2-2025 Q3-2025 Q4-2025 Q1-2026 5% 10% 15% 20% 19 Financial Performance I. COMPREHENSIVE INCOME (LOSS) II. QUARTERLY ECONOMIC RETURN ON BOOK VALUE(1) III. DIVIDEND YIELD(2) IV. BOOK VALUE AND DIVIDEND PER COMMON SHARE(2)

$(6.5) $128.3 $(55.2) $15.6 $(44.0) $(15.5) $141.7 $37.3 $21.2 $(65.2) Q1 2026 Q4 2025 Net Interest Expense Net Servicing Income Investment Securities (Loss) Gain and Change in OCI Net Derivatives Gain Servicing Asset Loss Net Interest and Servicing Income Net Interest, Servicing and Mark-to-Market Detail 20 ($ in millions, except per share data) Mark-to-Market Decrease in net interest expense driven by lower financing costs due to lower average balances and lower rates Slight favorable change in valuation inputs and assumptions used in the fair valuation of MSR versus an unfavorable change in Q4, as well as lower portfolio run-off on lower MSR balances as a result of sales and lower experienced prepayment speeds Decrease in servicing income driven by lower float earnings rates and lower servicing fee collections on lower balances Unfavorable market movement on Agency RMBS driven by higher interest rates and spread widening in Q1, versus bull steepening in rates in Q4 Unfavorable market movement on TBAs driven by higher interest rates and spread widening towards the end of Q1, versus bull steepening in rates in Q4, partially offset by net gains on other interest rate hedges vs. net losses in Q4

($ thousands) Portfolio Asset Type Measure Average Amortized Cost Income(1) Average Yield Available-for-sale securities GAAP $ 6,445,955 $ 80,687 5.01% Mortgage loans held-for-sale GAAP 11,280 169 5.99% Adjustments to include other portfolio items: Mortgage servicing rights(2)(3) Non-GAAP 1,446,435 40,894 11.31% Agency derivatives(2)(4) Non-GAAP 74,179 2,032 10.96 % TBAs(2)(5) Non-GAAP 3,874,364 51,890 5.36 % Total portfolio Non-GAAP $ 11,852,213 $ 175,672 5.93% Financing Collateral Type Measure Average Outstanding Balance Expense(6) Average Cost Borrowings collateralized by available-for-sale securities GAAP $ 6,338,724 $ 63,028 3.98% Borrowings collateralized by mortgage loans held-for-sale GAAP 11,129 172 6.18 % Adjustments to include other financing items: Borrowings collateralized by mortgage servicing rights and advances GAAP 1,529,593 27,253 7.13 % Borrowings collateralized by Agency derivatives(4) GAAP 50,340 533 4.24 % Senior notes(7) GAAP 111,162 2,841 10.22 % Convertible senior notes(8) GAAP 40,737 710 6.97 % Interest rate swaps(2)(9) Non-GAAP (1,712) (0.06) % U.S. Treasury futures(2)(10) Non-GAAP (3,370) (0.11) % TBAs(2)(5) Non-GAAP 3,874,364 36,016 3.72 % Total financing Non-GAAP $ 11,956,049 $ 125,471 4.20 % Net Spread Measure Average Yield, less Cost Net spread on AFS securities and mortgage loans held-for-sale GAAP 1.03% Net spread on total portfolio Non-GAAP 1.73% 21 Q1-2026 Portfolio Yields and Financing Costs

Par Value ($ millions) Market Value ($ millions) Weighted Average CPR(1) % Prepay Protected(2) Amortized Cost Basis ($ millions) Gross Weighted Average Coupon Weighted Average Age (Months) 30-Year Fixed 4.5% $ 359 $ 349 7.7 % 100.0 % $ 354 5.2 % 43 5.0% 1,404 1,399 9.7 % 99.2 % 1,425 5.8 % 45 5.5% 1,552 1,569 11.5 % 80.3 % 1,577 6.4 % 25 6.0% 1,530 1,568 25.6 % 78.3 % 1,569 6.9 % 10 ≥ 6.5% 486 507 27.8 % 90.6 % 506 7.3 % 12 5,331 5,392 16.7 % 86.9 % 5,431 6.4 % 26 Other P&I(3) 1,099 1,096 5.1 % — % 1,101 5.3 % 13 IOs and IIOs(4) 1,457 80 24.6 % — % 91 6.7 % 52 Total Agency RMBS $ 7,887 $ 6,568 71.3 % $ 6,623 ($ millions) Notional Amount Bond Equivalent Value(5) Through-the-Box Speeds(6) TBA Positions 4.5% $ (157) $ (152) 2.0 % 5.0% 2,072 2,041 3.3 % 5.5% 2,025 2,033 18.7 % 6.0% (440) (448) 38.7 % ≥ 6.5% (481) (497) 44.8 % Net TBA Position $ 3,019 $ 2,977 22 Agency RMBS Portfolio

Number of Loans Unpaid Principal Balance ($ millions) Gross Coupon Rate Current Loan Size ($ thousands) Loan Age (months) Original FICO(2) Original LTV 60+ Day Delinquencies 3-Month CPR Net Servicing Fee (bps) 30-Year Fixed < 3.25% 246,100 $ 72,064 2.8% $ 347 62 768 72% 0.4% 3.3% 25.0 3.25% - 3.75% 114,280 27,453 3.4% 308 76 753 74% 0.8% 4.3% 25.1 3.75% - 4.25% 76,326 14,109 3.9 % 245 104 752 75 % 1.0 % 5.1 % 25.3 4.25% - 4.75% 45,475 7,602 4.4 % 241 101 739 77 % 1.8 % 5.5 % 25.2 4.75% - 5.25% 32,377 7,325 5.0 % 345 65 748 79 % 1.7 % 5.6 % 25.2 > 5.25% 55,260 16,804 6.2 % 406 35 750 80 % 1.8 % 16.1 % 26.9 569,818 145,357 3.6 % 331 68 759 74 % 0.9 % 5.5 % 25.3 15-Year Fixed < 2.25% 17,305 3,629 2.0 % 252 59 776 60 % 0.2 % 3.5 % 25.0 2.25% - 2.75% 30,060 5,106 2.4 % 213 63 772 60 % 0.2 % 4.5 % 25.0 2.75% - 3.25% 24,064 2,395 2.9 % 151 86 765 62 % 0.3 % 7.2 % 25.2 3.25% - 3.75% 12,602 853 3.4 % 109 104 755 64 % 0.5 % 9.1 % 25.2 3.75% - 4.25% 5,654 344 3.9 % 109 100 739 66 % 0.5 % 10.6 % 25.4 > 4.25% 4,983 697 5.3 % 282 40 750 64 % 1.4 % 20.9 % 27.4 94,668 13,024 2.6 % 206 68 769 61 % 0.3 % 6.2 % 25.2 Total ARMs 1,456 490 5.1 % 443 46 765 72 % 0.6 % 27.6 % 25.1 Total Portfolio 665,942 $ 158,871 3.5 % $ 321 68 760 73 % 0.8 % 5.6 % 25.3 23 Mortgage Servicing Rights Portfolio(1)

$ millions Q1-2026 Q4-2025 Q3-2025 Q2-2025 Q1-2025 UPB at beginning of period $ 162,450 $ 175,821 $ 198,823 $ 196,773 $ 200,317 Bulk purchases of mortgage servicing rights — — — 6,385 — Flow purchases of mortgage servicing rights 95 330 664 170 155 Originations/recapture of mortgage servicing rights 57 69 34 34 20 Sales of mortgage servicing rights — (9,552) (19,112) — — Scheduled payments (1,393) (1,423) (1,647) (1,637) (1,624) Prepaid (2,327) (2,739) (2,964) (2,914) (2,110) Other changes (11) (56) 23 12 15 UPB at end of period $ 158,871 $ 162,450 $ 175,821 $ 198,823 $ 196,773 24 Mortgage Servicing Rights UPB Roll-forward

3/31/2026 12/31/2025 Number of Loans Unpaid Principal Balance ($ millions) Number of Loans Unpaid Principal Balance ($ millions) Mortgage servicing rights 665,942 $ 158,871 675,215 $ 162,450 Subservicing(1) 179,899 40,052 178,356 40,492 Servicing administrator(2) 505 266 514 273 Mortgage loans held-for-sale(3) 70 18 38 14 Total serviced mortgage assets 846,416 $ 199,207 854,123 $ 203,229 25 Serviced Mortgage Assets

$ millions Outstanding Borrowings and Maturities(1) Repurchase Agreements Revolving Credit Facilities Warehouse Lines of Credit Senior Notes Total Borrowings Percent (%) Within 30 days $ 2,197.0 $ — $ — $ — $ 2,197.0 26.5 % 30 to 59 days 1,510.3 — — — 1,510.3 18.2 % 60 to 89 days 831.3 69.0 12.7 — 913.0 11.0 % 90 to 119 days 722.0 — — — 722.0 8.7 % 120 to 364 days 1,984.7 — — — 1,984.7 24.0 % One to three years — 847.9 — — 847.9 10.2 % Three to five years — — — 111.2 111.2 1.4 % $ 7,245.3 $ 916.9 $ 12.7 $ 111.2 $ 8,286.1 100.0 % Collateral Pledged for Borrowings Repurchase Agreements(2) Revolving Credit Facilities(2) Warehouse Lines of Credit Senior Notes Total Collateral Pledged Percent (%) Available-for-sale securities, at fair value $ 6,498.8 $ — $ — n/a $ 6,498.8 68.9 % Mortgage servicing rights, at fair value 941.6 1,437.8 — n/a 2,379.4 25.2 % Mortgage loans held-for-sale, at fair value 5.4 — 12.8 n/a 18.2 0.2 % Restricted cash 140.5 — 0.4 n/a 140.9 1.5 % Due from counterparties 255.4 — — n/a 255.4 2.7 % Derivative assets, at fair value 62.1 — — n/a 62.1 0.7 % Other assets (includes servicing advances) — 80.0 — n/a 80.0 0.8 % $ 7,903.8 $ 1,517.8 $ 13.2 n/a $ 9,434.8 100.0 % 26 Financing

Type & Maturity Notional Amount ($M) Carrying Value ($M)(1) Weighted Average Months to Expiration U.S. Treasury futures 2 year $ (2,312.8) $ — 3.0 5 year (1,701.2) — 3.0 10 year (501.1) — 2.6 20 year 190.8 — 2.6 Eris SOFR swap futures 5 year (1,200.0) — 62.6 10 year (830.0) — 122.7 Total futures $ (6,354.3) $ — 27.5 27 Futures

Maturities Notional Amount ($M) Average Fixed Pay Rate Average Receive Rate Average Maturity (Years) Payers > 1 and ≤ 3 years $ 2,956.6 3.412 % 3.680 % 1.7 > 3 and ≤ 5 years 1,761.4 3.589 % 3.680 % 3.7 > 5 and ≤ 7 years 903.9 3.563 % 3.680 % 5.8 > 7 and ≤ 10 years 622.5 3.887 % 3.680 % 9.1 > 10 years 670.4 3.855 % 3.680 % 14.0 $ 6,914.8 3.562 % 3.680 % 4.6 Maturities Notional Amount ($M) Average Pay Rate Average Fixed Receive Rate Average Maturity (Years) Receivers > 3 and ≤ 5 years $ 2,401.4 3.680 % 3.450 % 4.5 > 5 and ≤ 7 years 280.8 3.680 % 3.427 % 6.9 > 7 and ≤ 10 years 842.0 3.680 % 3.781 % 8.9 > 10 years 996.8 3.680 % 3.750 % 19.5 $ 4,521.0 3.680 % 3.576 % 8.8 28 Interest Rate Swaps

PAGE 3 - Quarterly Financials Overview 1. Economic return on book value is defined as the increase (decrease) in common book value from the beginning to the end of the given period, plus dividends declared to common stockholders in the period, divided by common book value as of the beginning of the period. 2. Includes $8.9 billion in settled positions and $3.0 billion net TBA position, which represents the bond equivalent value of the company’s TBA position. Bond equivalent value is defined as notional amount multiplied by market price. TBA contracts accounted for as derivative instruments in accordance with GAAP. For additional detail on the portfolio, see slides 11 and 13, and Appendix slides 22 and 23. 3. Economic debt-to-equity is defined as total borrowings to fund Agency and non-Agency investment securities, MSR and related servicing advances and mortgage loans held-for-sale, plus the implied debt on net TBA cost basis and net payable (receivable) for unsettled RMBS, divided by total equity. PAGE 4 - Markets Overview 1. Source: Bloomberg, as of the dates noted. PAGE 5 - RoundPoint Operations Update 1. Number represents approximate pull-through adjusted UPB in originations pipeline as of March 31, 2026. PAGE 6 - Book Value Summary 1. Economic return on book value is defined as the increase (decrease) in common book value from the beginning to the end of the given period, plus dividends declared to common stockholders in the period, divided by common book value as of the beginning of the period. PAGE 7 - Comprehensive Income (Loss) Summary 1. Mark-to-Market Gains and Losses represents the sum of investment securities gain (loss) and change in accumulated other comprehensive income (OCI), net swap and other derivative gains (losses), and servicing asset gains (losses). See Appendix slide 20 for more detail. PAGE 8 - Financing Profile 1. Source: Bloomberg. Represents the average spread between repurchase rates and the Secured Overnight Financing Rate (SOFR) over trailing three-month and six-month periods between Q1 2022 and Q1 2026 (as of March 31, 2026). PAGE 9 - Portfolio Composition and Risk Positioning 1. For additional detail on the portfolio, see slides 11 and 13, and Appendix slides 22 and 23. 2. Net TBA position represents the bond equivalent value of the company’s TBA position. Bond equivalent value is defined as notional amount multiplied by market price. TBA contracts are accounted for as derivative instruments in accordance with GAAP. 3. Economic debt-to-equity is defined as total borrowings to fund Agency and non-Agency investment securities, MSR and related servicing advances and mortgage loans held-for-sale, plus the implied debt on net TBA cost basis and net payable (receivable) for unsettled RMBS, divided by total equity. 4. Interest rate exposure represents estimated change in common book value for theoretical parallel shift in interest rates. 5. Spread exposure represents estimated change in common book value for theoretical parallel shifts in spreads. 29 End Notes

PAGE 10 - Agency RMBS Investment Landscape 1. Source: J.P. Morgan DataQuery. Data is model-based and represents universal mortgage-backed securities (UMBS) generic TBA spreads as of the dates noted. In 2023, J.P. Morgan updated their model affecting only 2023 data. 2. Spreads produced using prepayment speeds generated with The Yield Book® Software using internally calibrated prepayment dials. Data as of March 31, 2026. ZV Spread stands for zero volatility spread. PAGE 11 - Agency RMBS Portfolio 1. Specified pools include securities with implicit or explicit prepayment protection, including lower loan balances (securities collateralized by loans less than or equal to $300K of initial principal balance), higher LTVs (securities collateralized by loans with greater than or equal to 80% LTV), certain geographic concentrations, loans secured by investor-owned properties, and lower FICO scores, as well as securities without such protection, including large bank-serviced and others. 2. Represents UMBS generic TBA performance during the quarter. 3. Specified pool performance excludes (1) certain coupons in which we were not invested for the full duration of the quarter and (2) certain coupons with de minimis balances. 4. Specified pool market value by coupon as of March 31, 2026. 5. Three-month prepayment speeds of delivered TBA contracts; average of J.P. Morgan, Bank of America, and Citi data. PAGE 12 - MSR Investment Landscape 1. Source: RiskSpan and TWO’s internal estimates as of March 31, 2026. 2. TWO MSR 30-year fixed-rate UPB as of March 31, 2026 factor date; Freddie Mac’s Primary Mortgage Market Survey (PMMS) as of March 31, 2026. MSR portfolio based on the prior month-end's principal balance of the loans underlying the company's MSR, increased for current month purchases and excluding unsettled MSR on loans for which the company is the named servicer as well as MSR on loans recently settled for which transfer to the company is not yet complete. PAGE 13 - MSR Portfolio 1. MSR portfolio based on the prior month-end's principal balance of the loans underlying the company's MSR, increased for current month purchases. Portfolio metrics, other than fair value and UPB, represent averages weighted by UPB. 2. FICO represents a mortgage industry accepted credit score of a borrower. 3. MSR portfolio based on the prior month-end's principal balance of the loans underlying the company's MSR, increased for current month purchases and excluding unsettled MSR on loans for which the company is the named servicer as well as MSR on loans recently settled for which transfer to the company is not yet complete. 4. Three-month prepayment speeds of delivered TBA contracts; average of J.P. Morgan, Bank of America, and Citi data. PAGE 14 - Return Potential and Outlook 1. Capital allocated represents management’s internal allocation. Certain financing balances and associated interest expenses are allocated between investments based on management’s assessment of leverage ratios and required capital or liquidity to support the investment. 2. Market return estimates reflect static assumptions using quarter-end spreads and market data. 3. Includes Agency pools and TBA positions. TBA contracts accounted for as derivative instruments in accordance with GAAP. 4. Estimated return on invested capital reflects static return assumptions using quarter-end portfolio valuations. 5. Total expenses includes operating expenses and tax expenses within the company’s taxable REIT subsidiaries. 6. Preferred equity coupon represents the 5-year yield along the forward curve to account for floating rate resets. 7. Prospective quarterly static return estimate per basic common share reflects portfolio performance expectations given current market conditions and represents the comprehensive income attributable to common stockholders (net of dividends on preferred stock). 30 End Notes (continued)

PAGE 16 - Effective Coupon Positioning 1. Represents UMBS TBA market prices as of March 31, 2026. 2. Specified pools include securities with implicit or explicit prepayment protection, including lower loan balances (securities collateralized by loans less than or equal to $300K of initial principal balance), higher LTVs (securities collateralized by loans with greater than or equal to 80% LTV), certain geographic concentrations, loans secured by investor-owned properties, and lower FICO scores, as well as securities without such protection, including large bank-serviced and others. 3. MSR/Agency IO represents an internally calculated exposure of a synthetic TBA position and the current coupon equivalents of our MSR, including the effect of unsettled MSR, and Agency IO RMBS. 4. Spreads generated with The Yield Book® Software using internally calibrated dials. PAGE 17 - Risk Positioning 1. MSR/Agency IO RMBS includes the effect of unsettled MSR. 2. Other includes all other derivative assets and liabilities and borrowings. Other excludes TBAs, which are included in the Agency P&I RMBS/TBA category. 3. Bull Steepener/Bear Flattener is a shift in short-term rates that represents estimated change in common book value for theoretical non-parallel shifts in the yield curve. Analysis uses a +/- 25 basis point shift in 2- year rates while holding long-term rates constant. 4. Bull Flattener/Bear Steepener is a shift in long-term rates that represents estimated change in common book value for theoretical non-parallel shifts in the yield curve. Analysis uses a +/- 25 basis point shift in 10-year rates while holding short-term rates constant. 5. Parallel shift represents estimated change in common book value for theoretical parallel shift in interest rates. 6. Book value exposure to current coupon spread represents estimated change in common book value for theoretical parallel shifts in spreads. PAGE 18 - Markets Overview 1. Source: Bloomberg, US MBS Index Monthly Treasury Excess Return data as of dates noted. 2. Source: Bloomberg, as of dates noted. 3. Source: J.P. Morgan DataQuery. 4. Monthly prepay speeds from National Association of Realtors via Bloomberg and RiskSpan as of March 31, 2026. MSR portfolio based on the prior month-end's principal balance of the loans underlying the company's MSR, increased for current month purchases and excluding unsettled MSR on loans for which the company is the named servicer as well as MSR on loans recently settled for which transfer to the company is not yet complete. PAGE 19 - Financial Performance 1. Economic return on book value is defined as the increase (decrease) in common book value from the beginning to the end of the given period, plus dividends declared to common stockholders in the period, divided by the common book value as of the beginning of the period. 2. Historical dividends may not be indicative of future dividend distributions. The company ultimately distributes dividends based on its taxable income per common share, not GAAP earnings. The annualized dividend yield on the company’s common stock is calculated based on the closing price of the last trading day of the relevant quarter. 31 End Notes (continued)

PAGE 21 - Q1 2026 Portfolio Yields and Financing Costs 1. Includes interest income, net of premium amortization/discount accretion, on Agency and non-Agency investment securities, servicing income, net of estimated amortization and servicing expenses, on MSR, and the implied asset yield portion of dollar roll income on TBAs. Amortization on MSR refers to the portion of change in fair value of MSR primarily attributed to the realization of expected cash flows (runoff) of the portfolio, which is deemed a non-GAAP measure due to the company’s decision to account for MSR at fair value. TBA dollar roll income is the non-GAAP economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements. 2. As reported elsewhere in the company’s filings with the Securities and Exchange Commission, MSR, Agency derivatives, TBA, interest rate swap agreements and U.S. Treasury futures are reported at fair value in the company’s consolidated financial statements in accordance with GAAP, and the GAAP presentation and disclosure requirements for these items do not define or include the concepts of yield or cost of financing, amortized cost, or outstanding borrowings. 3. Amortized cost on MSR for a given period equals the net present value of the remaining future cash flows (obtained by applying original prepayment assumptions to the actual unpaid principal balance at the start of the period) using a discount rate equal to the original pricing yield. Original pricing yield is the discount rate which makes the net present value of the cash flows projected at purchase equal to the purchase price. MSR amortized cost is deemed a non-GAAP measure due to the company’s decision to account for MSR at fair value. 4. Represents inverse interest-only Agency RMBS which are accounted for as derivative instruments in accordance with GAAP. 5. Both the implied asset yield and implied financing benefit/cost of dollar roll income on TBAs are calculated using the average cost basis of TBAs as the denominator. TBA dollar roll income is the non-GAAP economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements. TBAs are accounted for as derivative instruments in accordance with GAAP. 6. Includes interest expense and amortization of deferred debt issuance costs on borrowings under repurchase agreements (excluding those collateralized by U.S. Treasuries), revolving credit facilities, senior notes and convertible senior notes, interest spread income/expense and amortization of upfront payments made or received upon entering into interest rate swap agreements, and the implied financing benefit/cost portion of dollar roll income on TBAs. TBA dollar roll income is the non-GAAP economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements. 7. Unsecured senior notes. 8. Unsecured convertible senior notes. 9. The cost of financing on interest rate swaps held to mitigate interest rate risk associated with the company’s outstanding borrowings is calculated using average borrowings balance as the denominator. 10. The cost of financing on U.S. Treasury futures held to mitigate interest rate risk associated with the company’s outstanding borrowings is calculated using average borrowings balance as the denominator. U.S. Treasury futures income is the economic equivalent to holding and financing a relevant cheapest-to-deliver U.S. Treasury note or bond using short-term repurchase agreements. PAGE 22 - Agency RMBS Portfolio 1. Weighted average actual one-month CPR released at the beginning of the following month based on RMBS held as of the preceding month-end. 2. Determination of the percentage of prepay protected 30-year fixed Agency RMBS includes securities with implicit or explicit prepayment protection, including lower loan balances (securities collateralized by loans less than or equal to $300K of initial principal balance), higher LTVs (securities collateralized by loans with greater than or equal to 80% LTV), certain geographic concentrations, loans secured by investor-owned properties, and lower FICO scores. 3. Other P&I includes 15-year fixed, Hybrid ARMs, CMO and DUS pools. 4. IOs and IIOs represent market value of $64.0 million of Agency derivatives and $16.0 million of interest-only Agency RMBS. Agency derivatives are inverse interest-only Agency RMBS, which are accounted for as derivative instruments in accordance with GAAP. 5. Bond equivalent value is defined as the notional amount multiplied by market price. TBA contracts accounted for as derivative instruments in accordance with GAAP. 6. Three-month prepayment speeds of delivered TBA contracts; average of J.P. Morgan, Bank of America, and Citi data. PAGE 23 - Mortgage Servicing Rights Portfolio 1. MSR portfolio excludes residential mortgage loans for which the company is the named servicing administrator. Portfolio metrics, other than fair value and UPB, represent averages weighted by UPB. 2. FICO represents a mortgage industry-accepted credit score of a borrower. 32 End Notes (continued)

PAGE 25 - Serviced Mortgage Assets 1. Off-balance sheet mortgage loans owned by third parties and subserviced by the Company. 2. Off-balance sheet mortgage loans owned by third parties for which the Company acts as servicing administrator (subserviced by appropriately licensed third-party subservicers). 3. Originated or purchased mortgage loans held-for-sale at period-end. PAGE 26 - Financing 1. As of March 31, 2026, outstanding borrowings had a weighted average of 5.1 months to maturity. 2. Repurchase agreements and revolving credit facilities secured by MSR and/or other assets may be over-collateralized due to operational considerations. PAGE 27 - Futures 1. Exchange-traded derivative instruments (futures and options on futures) require the posting of an “initial margin” amount determined by the clearing exchange, which is generally intended to be set at a level sufficient to protect the exchange from the derivative instrument’s maximum estimated single-day price movement. The company also exchanges “variation margin” based upon daily changes in fair value, as measured by the exchange. The exchange of variation margin is considered a settlement of the derivative instrument, as opposed to pledged collateral. Accordingly, the receipt or payment of variation margin is accounted for as a direct reduction to the carrying value of the exchange-traded derivative asset or liability. 33 End Notes (continued)