Mortgage REITs Sector Outlook — September 2026

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FINANCIALS › FINANCIAL SERVICES › MORTGAGE REITS

Mortgage REITs: Priced as One Block, Not 20 Businesses

What the market pays for across this peer set on forward earnings, where the spread inside the band sits, and what the transaction record shows about how these balance sheets change hands.

September 2026 · Prepared by NeuraCap AI · Confidential

Market data as of 2026-09-28 · primary valuation basis P / E (CY2027E)

Mortgage REITs Coverage | September 2026 | Confidential | Not investment advice

Sources & methodology

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1. 01
   FINANCIALS › FINANCIAL SERVICES › MORTGAGE REITS

   Mortgage REITs: Priced as One Block, Not 20 Businesses

   Cover slide framing the sector as one pricing block rather than twenty separate businesses.

   We open with the core finding of this report: mortgage REITs trade as a single, diversified block of mortgage credit lenders rather than twenty distinct businesses. Everything that follows tests where the premium inside that block is actually won.

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   FINANCIALS › FINANCIAL SERVICES › MORTGAGE REITS Mortgage REITs: Priced as One Block, Not 20 Businesses What the market pays for across this peer set on forward earnings, where the spread inside the band sits, and what the transaction record shows about how these balance sheets change hands. September 2026 · Prepared by NeuraCap AI · Confidential Market data as of 2026-09-28 · primary valuation basis P / E (CY2027E) Mortgage REITs Coverage | September 2026 | Confidential | Not investment advice Sources & methodology 1

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   CONTENTS

   What This Report Covers

   Contents page listing the report's five sections plus the appendix.

   This report runs five sections plus an appendix, starting with the bottom line so a reader who stops there still gets the whole story. We built it this way because the punch line matters more than the order it's proven in.

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   CONTENTS What This Report Covers 01 The Bottom Line Mortgage REITs Trade as One Block of Diversified Mortgage Credit Lenders, and the Premium Is Argued Name by Name 02 The Landscape One Segment Label Covers 20 Balance Sheets Running Different Risks 03 Valuation & Situations The Top of the Range Holds Its Price Even on a Forward Lens 04 Precedent Transactions What Buyers Have Agreed to Pay for Whole Mortgage REITs 05 Strategic Implications The Spread Inside This Sector Is Contested on Funding, Credit and Coverage 06 Appendix Comparables Detail, Methodology, Sources and Assumptions Mortgage REITs Coverage | September 2026 | Confidential | Not investment advice Sources & methodology 2

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   01 · THE BOTTOM LINE

   Mortgage REITs Price as One Block of Diversified Mortgage Credit Lenders, with the Premium Won Name by Name

   Summarises the report's finding that all 20 rated names sit in one segment with a 5.8x median forward P/E, and the premium is won name by name.

   All 20 approved names sit inside one segment of diversified mortgage credit lenders, and among the 17 with a forward earnings estimate, the middle of the set prices at 5.8x CY2027E earnings. That's a tight band for a group this size, which tells us the market isn't separating these names by sub-segment. Where the real separation happens is inside individual balance sheets, on funding, coverage and book value durability, and that's what the rest of this report tests. For an owner or board, the takeaway is that the segment label won't carry your valuation story on its own.

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   01 · THE BOTTOM LINE Mortgage REITs Price as One Block of Diversified Mortgage Credit Lenders, with the Premium Won Name by Name The full story on one page · figures on P / E (CY2027E), market data as of 2026-09-28 Source: NeuraCap analytics platform; market data and consensus estimates as of 2026-09-28; company disclosures via SEC EDGAR where linked. Primary valuation basis: P / E on CY2027E consensus (17 of 20 companies eligible; multiples failing the platform's plausibility gates are excluded, never plotted). Qualitative characterisations are NeuraCap views. Mortgage REITs Coverage | September 2026 | Confidential | Not investment advice Sources & methodology 3 1 Forward Earnings Is the Currency, and the Band Around It Is Tight Across the 17 of 20 names with a forward earnings estimate, the middle of the set sits at 5.8x CY2027E earnings. A forward multiple already credits the earnings analysts expect, so a premium that survives it reads as a view on durability rather than on one good year. 2 Where a Name Sits in the Range Matters More than the Sector Average The five names at the top of the range price at 8.8x on forward earnings, against 5.0x for the five at the bottom. Lument Finance Trust (LFT) at 22.4x and Ares Commercial Real Estate Corporation (ACRE) at 10.3x sit well outside the band, so a name-specific premium plainly exists. 3 Faster Revenue Growth Comes with Only a Slim Pricing Edge Split at 11% forward revenue growth, the eight slower-growing names carry a median 5.6x and the nine faster-growing names sit barely above them. On this evidence the spread inside the band is not explained by the growth line, and the argument moves to funding mix, book value durability and dividend coverage. 4 Whole-Company Deals Here Are Mostly Sector-Internal and Struck in Stock Across the 9 transactions in the record, disclosed values run from $43M up to $5.9B, and most of the buyers are other mortgage REITs, sponsors and managers rather than outside strategics. Entity value is routinely benchmarked against what the loan books, securities and servicing would fetch piece by piece. 5.8x Sector median P/E CY2027E consensus · 17 rated of 20 companies 8.8x Premium end P/E vs 5.0x at the discount end top quartile (n=5) against bottom quartile (n=5) on P/E — the spread the report explains 9 Transactions with disclosed terms 29 recorded in this tier · 0 told as case studies, the full list in the appendix

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   SECTION 02

   02

   Section divider introducing the market map and landscape analysis.

   One segment label covers twenty balance sheets running different risks, so we argue separation inside the portfolio rather than across segments. The next two pages set out where each name sits.

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   SECTION 02 02 THE LANDSCAPE One Segment Label Covers 20 Balance Sheets Running Different Risks With a single group on the page, separation is argued inside the portfolio rather than across segments. 02 of 06 Mortgage REITs Coverage | September 2026 | Confidential | Not investment advice Sources & methodology 4

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   02 · MARKET MAP

   The Whole Field Sits in One Group, so Positioning Is Argued Inside the Balance Sheet

   Groups the 20 approved companies by business segment and shows the median forward P/E for each group.

   We grouped all 20 approved companies by business segment and priced each group on its median forward earnings multiple. With the whole field sitting inside one group, positioning has to be argued inside the balance sheet rather than across segment lines. That's the frame we carry into the valuation section that follows.

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   02 · MARKET MAP The Whole Field Sits in One Group, so Positioning Is Argued Inside the Balance Sheet 20 approved companies grouped by business segment · median P / E (CY2027E) per group · as of 2026-09-28 Source: NeuraCap analytics platform; market data and consensus estimates as of 2026-09-28; company disclosures via SEC EDGAR where linked. Segment grouping follows the platform's classification; group medians on rated names only. "Why it matters" lines are NeuraCap views. Mortgage REITs Coverage | September 2026 | Confidential | Not investment advice Sources & methodology 5 DIVERSIFIED MORTGAGE CREDIT REITS 20 cos median 5.8x Dynex Capital (DX) ARMOUR (ARR) PennyMac (PMT) Orchid Island (ORC) TPG Mortgage (MITT) Chimera Investment (CIM) Invesco Mortgage (IVR) Franklin BSP (FBRT) NexPoint Real (NREF) KKR Real Estate (KREF) Angel Oak Mortgage (AOMR) ACRES Commercial (ACR) Ares Commercial (ACRE) Lument Finance (LFT) Claros Mortgage (CMTG) Granite Point (GPMT) Seven Hills (SEVN) Cherry Hill (CHMI) MFA Financial (MFA) Annaly Capital (NLY) The 20 approved names map to a single group, so 100% of the page sits in one label; the separation an owner can show comes from agency basis exposure against loan-book loss content, funding terms and coverage, not from a different segment.

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   02 · LANDSCAPE

   One Group, 20 Balance Sheets: The Differences Show up Inside the Portfolio

   Presents a segment-level view of the approved universe with what each group does and why it matters.

   This page walks the segment view of the approved universe, what each group does and why the difference matters to how it prices. The differences between these twenty balance sheets show up inside the portfolio, not across the segment label. Full company-level detail sits in the appendix for any name a client wants to trace.

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   02 · LANDSCAPE One Group, 20 Balance Sheets: The Differences Show up Inside the Portfolio Segment view of the approved universe · P / E (CY2027E) medians on rated names · as of 2026-09-28 Source: NeuraCap analytics platform; market data and consensus estimates as of 2026-09-28; company disclosures via SEC EDGAR where linked. "What they do / why it matters" is a NeuraCap view. Full company-level detail in the appendix and companion tables. Mortgage REITs Coverage | September 2026 | Confidential | Not investment advice Sources & methodology 6 Segment n Share of universe Median P/E Names to know What they do — and why it matters Diversified mortgage credit REITs 20 100% 5.8x Dynex Capital, Inc. (DX) · ARMOUR Residential REIT, Inc. (ARR) · +18 more One group, twenty balance sheets. These are marked portfolios of mortgage assets funded with borrowings, spanning agency pass-throughs where the guarantee removes credit risk and loan books where the loss content is real. All 20 approved names sit in this one group and 17 carry a forward earnings estimate, so comparison runs name against name on funding architecture, book value per share and dividend coverage.

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   SECTION 03

   03

   Section divider introducing the forward valuation analysis for the 17 rated companies.

   The top of the range holds its price even on a forward lens that already credits expected earnings. We look next at where each of the 17 rated names sits against the middle of the set.

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   SECTION 03 03 VALUATION & SITUATIONS The Top of the Range Holds Its Price Even on a Forward Lens Where each of the 17 names with a forward earnings estimate sits against the middle of the set. 03 of 06 Mortgage REITs Coverage | September 2026 | Confidential | Not investment advice Sources & methodology 7

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   03 · PUBLIC MARKET VALUATION

   A Forward Multiple Already Credits Growth, and the Top of the Range Keeps a Premium Anyway

   Ranks all 17 rated companies by forward P/E against the sector median of 5.8x.

   We sorted all 17 rated companies by forward P/E, and the sector median lands at 5.8x. A forward multiple already credits the earnings analysts expect, so the names that keep a premium on top of that are being priced on durability, not just next year's number. That's the distinction we carry into the drivers analysis next.

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   03 · PUBLIC MARKET VALUATION A Forward Multiple Already Credits Growth, and the Top of the Range Keeps a Premium Anyway P / E (CY2027E) · all 17 rated companies, sorted descending · sector median 5.8x · as of 2026-09-28 Source: NeuraCap analytics platform; market data and consensus estimates as of 2026-09-28; company disclosures via SEC EDGAR where linked. Primary valuation basis: P / E on CY2027E consensus (17 of 20 companies eligible; multiples failing the platform's plausibility gates are excluded, never plotted). Tier zones are NeuraCap groupings cut at the rated set's quartiles; every multiple quoted on this page is a median on the same P / E (CY2027E) basis. Panel commentary is a NeuraCap view. Mortgage REITs Coverage | September 2026 | Confidential | Not investment advice Sources & methodology 8 PREMIUM · median 8.8x CORE · median 5.8x DISCOUNT · median 5.0x Sector median 5.8x WHAT SEPARATES THE TWO ENDS The top holds 8.8x. The five names at the premium end carry a median 8.8x on CY2027E earnings. Because the lens is forward, that price already credits the earnings analysts expect, so what is being paid for is an earnings base buyers think repeats through a rate and spread move. The bottom sits at 5.0x. The five names at the discount end sit at a median 5.0x on the same forward lens. In this sector a persistent discount is argued over asset marks, repo dependence and whether distributable earnings cover the dividend, and it is the ground boards and activist holders press hardest. Seven names hold the middle. Seven of the 17 names with a forward earnings estimate price between the two ends, which is where most of the set trades. Movement within that middle is associated with what an owner can evidence on funding terms and book value durability rather than with the sector average moving.

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   03 · VALUATION DRIVERS

   Growing Faster Comes with Only a Slim Pricing Edge in This Peer Set

   Splits the rated set into faster- and slower-growth cohorts and compares median forward P/E between them.

   Splitting the set at 11% forward revenue growth, the slower-growing cohort carries a 5.6x median and the faster-growing cohort sits only slightly above it. On this evidence, growth alone doesn't explain the spread inside the band. We read that as an association, not a cause, and it points the argument toward funding mix, book value and coverage instead.

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   03 · VALUATION DRIVERS Growing Faster Comes with Only a Slim Pricing Edge in This Peer Set Median P / E (CY2027E) by revenue-growth cohort and by EBITDA-margin cohort (each split at its covered median) · rated names with estimates · as of 2026-09-28 Source: NeuraCap analytics platform; market data and consensus estimates as of 2026-09-28; company disclosures via SEC EDGAR where linked. Cohort medians on rated names with the required estimates (faster n=9; slower n=8; higher-margin n=0; lower-margin n=0). Driver readings are NeuraCap views on the supplied data — association, not causation. Mortgage REITs Coverage | September 2026 | Confidential | Not investment advice Sources & methodology 9 P/E, median per cohort · growth split at 11% · EBITDA-margin split at n/a The Faster-Growing Half Prices Barely Above the Slower Half Split at 11% forward revenue growth, the nine faster-growing names carry a median 5.8x on CY2027E earnings against 5.6x for the eight slower ones. A gap that narrow suggests the growth line on its own moves very little of where a name prices in this set. Operating Records That Look Different Are Priced Similarly Forward revenue growth across the set runs from 28% at Dynex Capital, Inc. (DX) down to -21% at ACRES Commercial Realty Corp. (ACR), yet most of the 17 names with a forward earnings estimate price inside a narrow band. The market is separating these businesses on something other than the top line. The Sector's Own Metrics Are Where the Spread Gets Contested Practitioners here price book value per share, economic return and dividend coverage by distributable earnings, and this screen does not measure them. Those are the terms on which two similar-looking earnings streams are usually argued apart, alongside whether the liabilities are term and non-mark-to-market or repo-dependent.

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    03 · SITUATION MAP

    Five Names Carry Both the Higher Price and the Faster Growth; Four Carry Neither

    Maps each name on P/E versus the sector median against revenue growth versus the covered median.

    We cut the rated set on P/E against the 5.8x sector median and on revenue growth against the covered median, and five names carry both the higher price and the faster growth while four carry neither. This is a map of situations, not a recommendation, and it shows where the premium and the growth story actually line up. That alignment, or its absence, is the starting point for the strategic questions on the next few pages.

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    03 · SITUATION MAP Five Names Carry Both the Higher Price and the Faster Growth; Four Carry Neither Cut on P / E vs the sector median (5.8x) (rows) and revenue growth vs the covered median (11%) (columns) · observations, not recommendations Source: NeuraCap analytics platform; market data and consensus estimates as of 2026-09-28; company disclosures via SEC EDGAR where linked. Situation boundaries are the cohort's own medians (Directional, NeuraCap view). This page characterises situations; it does not recommend buying or selling any security. Mortgage REITs Coverage | September 2026 | Confidential | Not investment advice Sources & methodology 10 Priced up and Growing Above-median multiple · above-median revenue growth 5 names Dynex Capital, Inc. (DX) · PennyMac Mortgage Investment Trust (PMT) · Lument Finance Trust, Inc. (LFT) · +2 more Five names sit above the middle of the set on both price and revenue growth, among them Dynex Capital, Inc. (DX), PennyMac Mortgage Investment Trust (PMT) and Annaly Capital Management, Inc. (NLY). Since the lens is forward, the price already credits the forecast, so the work here is holding the earnings base through a rate and spread move. Premium on Something Other than Growth Above-median multiple · below-median revenue growth 4 names Franklin BSP Realty Trust, Inc. (FBRT) · NexPoint Real Estate Finance, Inc. (NREF) · ACRES Commercial Realty Corp. (ACR) · +1 more Four names carry an above-middle multiple with below-middle revenue growth, including Franklin BSP Realty Trust, Inc. (FBRT) and NexPoint Real Estate Finance, Inc. (NREF). The premium is being argued on ground other than the growth line: funding terms, credit selection and dividend coverage by distributable earnings. Growing Without the Premium Below-median multiple · above-median revenue growth 4 names ARMOUR Residential REIT, Inc. (ARR) · TPG Mortgage Investment Trust Inc (MITT) · MFA Financial, Inc. (MFA) · +1 more Four names grow faster than the middle of the set and still price below it, among them ARMOUR Residential REIT, Inc. (ARR) and MFA Financial, Inc. (MFA). That combination is where a re-rating case is easiest to frame in the sector's own terms, because the growth is visible and the discount is contested on marks and funding. Below the Middle on Both Below-median multiple · below-median revenue growth 4 names Orchid Island Capital, Inc. (ORC) · Chimera Investment Corporation (CIM) · Invesco Mortgage Capital Inc. (IVR) · +1 more Four names sit below the middle on both measures, including Orchid Island Capital, Inc. (ORC) and Invesco Mortgage Capital Inc. (IVR). In this sector that position pulls the conversation toward book value durability, fee load and how long a discount to book persists before alternatives are raised.

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    03 · THE AGENDA

    Growth and Margin Separate the Two Ends of This Range

    Sets out the questions an owner or acquirer should resolve given how growth and margin separate the two ends of the range.

    Growth and margin separate the two ends of this range, and we frame that as a set of questions for an owner or acquirer to resolve rather than a verdict. These are observations grounded in the cohort data already shown, not recommendations. They set up the deal record and the strategic implications that follow.

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    03 · THE AGENDA Growth and Margin Separate the Two Ends of This Range NeuraCap view · framed as the questions an owner or acquirer should resolve · observations, not recommendations Source: NeuraCap analytics platform; market data and consensus estimates as of 2026-09-28; company disclosures via SEC EDGAR where linked. All content on this page is Directional — NeuraCap advisory judgment grounded in the cohort data shown earlier. It does not constitute investment advice. Mortgage REITs Coverage | September 2026 | Confidential | Not investment advice Sources & methodology 11 Move the Liability Mix Toward Term and Non-Mark-to-Market Funding Repo dependence and margin-call exposure are the first things a counterparty or a buyer tests. Term facilities, proven securitization access and diversified financing counterparties are the part of the story an owner controls when rates and spreads move against the book. What changes the answer: A financing renewal that changes haircuts, advance rates or counterparty concentration. Hold Dividend Coverage by Distributable Earnings Through the Cycle The equity here is owned largely by income-oriented holders, so coverage and the dividend track record are the practical currency. Earnings that repeat carry further than a single strong quarter, particularly on a forward lens that already credits the forecast. What changes the answer: Coverage slipping across consecutive quarters, or a reset in the distribution. Be Explicit About Whether This Is a Rates Book or a Credit Book Agency exposure leaves rate, prepayment and basis risk with the guarantee removing credit loss; loan books carry real loss content. Owners who can separate the two inside their own portfolio give buyers a cleaner thing to price than a blended balance sheet. What changes the answer: A move in the mortgage basis, or watchlist migration and rising non-accruals in the loan book. Settle the Fee Load and Management Structure Question on Your Own Timetable External management conflicts and fee bases that reward asset growth are a live governance debate in this sector. The transaction record shows sponsors approaching affiliated vehicles and subscale vehicles being absorbed, so the structure question tends to be raised by someone if it is left open. What changes the answer: A discount to book that persists long enough to attract activist attention.

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    SECTION 04

    04

    Section divider introducing the precedent transaction record.

    Nine transactions in the record show what buyers have agreed to pay for whole mortgage REITs, and most of them are sector-internal. We walk two of them as case studies next, with the complete list in the appendix.

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    SECTION 04 04 PRECEDENT TRANSACTIONS What Buyers Have Agreed to Pay for Whole Mortgage REITs Nine transactions in the record, most of them sector-internal and struck between lenders, sponsors and managers. 04 of 06 Mortgage REITs Coverage | September 2026 | Confidential | Not investment advice Sources & methodology 12

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    04 · DEAL CASE STUDIES

    Nine Transactions Show What Buyers Agreed to Pay for Whole Mortgage REITs

    Walks two of the nine disclosed precedent transactions as case studies on LTM multiples at announcement.

    We picked two of the nine transactions with disclosed terms and walked them as case studies on LTM financials at announcement. These deals are struck mostly between other mortgage REITs, sponsors and managers, and entity value is routinely tested against what the loan books, securities and servicing would fetch piece by piece. Deal multiples sit on an LTM basis, not the CY2027E public basis used elsewhere in this report, so no spread between the two is claimed. The full nine-transaction list sits in the appendix.

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    04 · DEAL CASE STUDIES Nine Transactions Show What Buyers Agreed to Pay for Whole Mortgage REITs 2 of 9 transactions with disclosed terms, told as case studies · multiples on LTM financials at announcement where disclosed · the complete list is in the appendix · as of 2026-09-28 Source: NeuraCap analytics platform; market data and consensus estimates as of 2026-09-28; company disclosures via SEC EDGAR where linked. 59 precedent record(s) carry data-quality flags (deal value unit unresolved; duplicate precedent id; financial target ev not meaningful); figures are shown as recorded in the filing. 20 recorded transactions with neither a disclosed value nor a multiple are omitted from the precedent list and the case studies (kept in the companion workbook). Deal multiples are LTM at announcement (Definitive, from filings); they are not directly comparable to the CY2027E public basis and no spread is claimed. "Why the deal happened" is a NeuraCap read of the recorded evidence. Mortgage REITs Coverage | September 2026 | Confidential | Not investment advice Sources & methodology 13 Mar-2020 n/a Pine River Capital Mgmt. acquires Granite Point Mortgage Trust EV / LTM revenue 2.9x EV / LTM EBITDA n/a WHY THE DEAL HAPPENED Pine River Capital Mgmt. moved for Granite Point Mortgage Trust in Mar-2020; the record shows it as announced. HOW THE TARGET WAS VALUED Terms were not fully disclosed; the transaction anchors the reference set rather than the price. Mar-2016 n/a ARMOUR Residential REIT acquires JAVELIN Mortgage Investment Corp. EV / LTM revenue 0.9x EV / LTM EBITDA n/a WHY THE DEAL HAPPENED ARMOUR Residential REIT moved for JAVELIN Mortgage Investment Corp. in Mar-2016; the record shows it as announced. HOW THE TARGET WAS VALUED Terms were not fully disclosed; the transaction anchors the reference set rather than the price.

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    SECTION 05

    05

    Section divider introducing the strategic implications for owners, boards and capital providers.

    The spread inside this sector is contested on funding, credit and coverage, and that's what matters for the people who run these balance sheets. The next page sets out three jobs the pricing band puts in front of them.

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    SECTION 05 05 STRATEGIC IMPLICATIONS The Spread Inside This Sector Is Contested on Funding, Credit and Coverage What the evidence means for the people who run these balance sheets. 05 of 06 Mortgage REITs Coverage | September 2026 | Confidential | Not investment advice Sources & methodology 14

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    05 · STRATEGIC IMPLICATIONS

    One Pricing Band, Three Jobs: Grow Revenue, Protect Margin, Allocate Capital

    Sets out the funding, coverage and capital-allocation questions this pricing band puts in front of management over the next twelve months.

    One pricing band puts three jobs on the table: grow revenue, protect margin, and allocate capital with discipline. These are views drawn from the analysis already shown, framed as observations rather than recommendations. For owners, boards and capital providers, this is the checklist the data points to for the next twelve months.

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    05 · STRATEGIC IMPLICATIONS One Pricing Band, Three Jobs: Grow Revenue, Protect Margin, Allocate Capital NeuraCap view · the questions this data puts on the table for the next twelve months Source: NeuraCap analytics platform; market data and consensus estimates as of 2026-09-28; company disclosures via SEC EDGAR where linked. This page is Directional — NeuraCap views drawn from the analysis in this report. Observations, not recommendations. Mortgage REITs Coverage | September 2026 | Confidential | Not investment advice Sources & methodology 15 FOR OWNERS Your Position Is Argued Name by Name, Not by Segment With all 20 approved names in a single group, there is no segment label doing the work for you. The comparison runs against the 17 names with a forward earnings estimate on funding architecture, book value durability and coverage, which is where the evidence an owner builds actually lands. FOR BOARDS A Persistent Discount Brings Alternatives with It Where a discount to book sticks, the internalization and fee-load debate arrives directly at the board. The record shows subscale vehicles absorbed by larger ones and sponsors approaching affiliated vehicles, so the structural options are visible in this sector rather than theoretical. FOR CAPITAL PROVIDERS The Band Gives Little Separation, so the Evidence Does Most of the 17 names with a forward earnings estimate price inside a narrow range, and revenue growth is associated with only a slim pricing edge. Separation between similar-looking earnings streams is being contested on marks, financing terms and dividend coverage.

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    SECTION 06

    06

    Section divider introducing the appendix: full comparables, methodology and sources.

    The full universe, the methodology and the sources sit behind every figure in this report. We open the appendix with the comparables detail, then the transaction record, then the basis for every reading.

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    SECTION 06 06 APPENDIX The Full Universe, Methodology and Sources Comparables detail behind every figure in the body, the valuation basis, and where each underlying disclosure lives. 06 of 06 Mortgage REITs Coverage | September 2026 | Confidential | Not investment advice Sources & methodology 16

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    06 · PUBLIC COMPARABLES (1 OF 2)

    Public Comparables on P / E (CY2027E), Grouped by Valuation Tier

    Lists the public comparables on forward P/E, grouped by valuation tier, with 17 rated and 3 not-rated names.

    This page lists the public comparables on forward P/E, shaded by whether each sits above or below the 5.8x sector median. Seventeen names carry a rated multiple and three do not, because no eligible P/E could be built for them. Every ticker links back to its underlying source, so any figure in this report can be traced to its filing.

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    06 · PUBLIC COMPARABLES (1 OF 2) Public Comparables on P / E (CY2027E), Grouped by Valuation Tier Teal shading marks a P/E above the sector median (5.8x); amber marks below · 17 rated companies; 3 not rated (no eligible P/E) · tickers link to the underlying source · as of 2026-09-28 Source: NeuraCap analytics platform; market data and consensus estimates as of 2026-09-28; company disclosures via SEC EDGAR where linked. All 17 rated rows are in this appendix and in the companion workbook, which carries the complete field set. Names without an eligible multiple are listed in the companion workbook. Mortgage REITs Coverage | September 2026 | Confidential | Not investment advice Sources & methodology 17 Company Ticker Segment EV P/E (CY2027E) Rev growth EBITDA margin Rule of 40 PREMIUM — ≥6.5x · median 8.8x · 5 companies Lument Finance Trust, Inc. LFT Diversified mortgage credit REITs $1.0B 22.4x 17% 34% 51 Ares Commercial Real Estate Corporation ACRE Diversified mortgage credit REITs $1.4B 10.3x 11% n/a n/a NexPoint Real Estate Finance, Inc. NREF Diversified mortgage credit REITs $4.6B 8.8x 6% n/a n/a Dynex Capital, Inc. DX Diversified mortgage credit REITs $22.7B 7.1x 28% n/a n/a Annaly Capital Management, Inc. NLY Diversified mortgage credit REITs n/a 6.5x 13% n/a n/a CORE — 5.0x–6.5x · median 5.8x · 7 companies Seven Hills Realty Trust SEVN Diversified mortgage credit REITs $572M 6.4x 15% n/a n/a ACRES Commercial Realty Corp. ACR Diversified mortgage credit REITs $2.1B 6.2x -21% n/a n/a PennyMac Mortgage Investment Trust PMT Diversified mortgage credit REITs $14.8B 5.8x 11% n/a n/a Franklin BSP Realty Trust, Inc. FBRT Diversified mortgage credit REITs $4.9B 5.8x 7% n/a n/a MFA Financial, Inc. MFA Diversified mortgage credit REITs n/a 5.7x 12% n/a n/a Orchid Island Capital, Inc. ORC Diversified mortgage credit REITs $11.5B 5.5x -3% n/a n/a Angel Oak Mortgage, Inc. AOMR Diversified mortgage credit REITs $2.3B 5.2x 1% n/a n/a DISCOUNT — <5.0x · median 5.0x · 5 companies TPG Mortgage Investment Trust Inc MITT Diversified mortgage credit REITs $7.8B 5.0x 16% n/a n/a Cherry Hill Mortgage Investment Corporation CHMI Diversified mortgage credit REITs n/a 5.0x 15% n/a n/a

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    06 · PUBLIC COMPARABLES (2 OF 2)

    Public Comparables on P / E (CY2027E), Grouped by Valuation Tier

    Continues the public comparables table on forward P/E, grouped by valuation tier.

    This is the second page of the same comparables table, still shaded against the 5.8x sector median. Together the two pages carry all 17 rated rows plus the three names without an eligible multiple. The companion workbook carries the complete field set behind this view.

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    06 · PUBLIC COMPARABLES (2 OF 2) Public Comparables on P / E (CY2027E), Grouped by Valuation Tier Teal shading marks a P/E above the sector median (5.8x); amber marks below · 17 rated companies; 3 not rated (no eligible P/E) · tickers link to the underlying source · as of 2026-09-28 Source: NeuraCap analytics platform; market data and consensus estimates as of 2026-09-28; company disclosures via SEC EDGAR where linked. All 17 rated rows are in this appendix and in the companion workbook, which carries the complete field set. Names without an eligible multiple are listed in the companion workbook. Mortgage REITs Coverage | September 2026 | Confidential | Not investment advice Sources & methodology 18 Company Ticker Segment EV P/E (CY2027E) Rev growth EBITDA margin Rule of 40 DISCOUNT — CONTINUED — <5.0x · median 5.0x · 5 companies Chimera Investment Corporation CIM Diversified mortgage credit REITs $6.1B 5.0x -2% n/a n/a ARMOUR Residential REIT, Inc. ARR Diversified mortgage credit REITs $20.1B 4.8x 19% n/a n/a Invesco Mortgage Capital Inc. IVR Diversified mortgage credit REITs $6.0B 3.6x 8% n/a n/a

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    06 · PRECEDENT TRANSACTIONS (1 OF 1)

    All Precedent Transactions with Disclosed Terms, Newest First

    Lists all nine precedent transactions with disclosed terms, ordered newest first.

    This page lists all nine transactions with disclosed terms, newest first, out of 29 recorded in this tier. Deal multiples sit on LTM financials at announcement, and every deal value links to its underlying filing. Twenty recorded transactions with neither a disclosed value nor a multiple are held in the companion workbook rather than shown here.

    Everything on this page

    06 · PRECEDENT TRANSACTIONS (1 OF 1) All Precedent Transactions with Disclosed Terms, Newest First 9 transactions with disclosed terms in this tier (29 recorded) · multiples on LTM financials at announcement where disclosed · deal values link to the underlying filing · as of 2026-09-28 Source: NeuraCap analytics platform; market data and consensus estimates as of 2026-09-28; company disclosures via SEC EDGAR where linked. 59 precedent record(s) carry data-quality flags (deal value unit unresolved; duplicate precedent id; financial target ev not meaningful); figures are shown as recorded in the filing. 20 recorded transactions with neither a disclosed value nor a multiple are omitted from the precedent list and the case studies (kept in the companion workbook). Deal multiples are LTM at announcement (Definitive, from filings); they are not directly comparable to the CY2027E public basis and no spread is claimed. Mortgage REITs Coverage | September 2026 | Confidential | Not investment advice Sources & methodology 19 Date Transaction EV EV/LTM Rev EV/LTM EBITDA Why it matters Nov-2023 Public Finance Authority → Greystone Housing Impact Investors LP $1.4B n/a n/a Public Finance Authority completed its acquisition of Greystone Housing Impact Investors LP, with $1.4B recorded in the filing. A public-finance buyer taking an affordable-housing lender reads as demand for the collateral and the tax structure rather than for a listed… Jul-2023 Western Asset Mortgage Capital Corporation → Terra Property Trust, Inc. $692M n/a n/a Western Asset Mortgage Capital Corporation announced a combination with Terra Property Trust, Inc., with $692M recorded in the filing. Sector-internal combinations of this size are customarily struck in stock off book value per share, with each side scrubbing the… Aug-2022 iStar Inc. → Safehold Inc. $5.9B n/a n/a iStar Inc. announced its combination with Safehold Inc., with $5.9B recorded in the filing. At that size the logic reads as spreading fixed costs and a fee base across a larger balance sheet, with a broader income and index shareholder base attached. Jun-2022 Fortress → Rithm Capital (fka New Residential Investment) n/a 4.0x 6.4x Fortress and Rithm Capital (fka New Residential Investment) is recorded at 4.0x revenue, with no entity value disclosed. An alternative manager approaching a listed mortgage REIT reads as a bid for permanent capital and the management relationship that comes with it. Apr-2021 RMR Mortgage Trust → Tremont Mortgage Trust $43M n/a n/a RMR Mortgage Trust completed its acquisition of Tremont Mortgage Trust, with $43M recorded in the filing. At that size the transaction reads as spreading fixed costs and a fee base over a balance sheet too small to carry them alone. Aug-2020 NexPoint RE Merger, Inc. → Jernigan Capital, Inc. $653M n/a n/a NexPoint RE Merger, Inc. completed its acquisition of Jernigan Capital, Inc., with $653M recorded in the filing. Where a discount to book persists, taking the vehicle private is a genuine alternative outcome, and this one reached completion. Mar-2020 CrossCountry Intermediate Holdco, LLC → Two Harbors Investment Corp. $1.3B n/a n/a CrossCountry Intermediate Holdco, LLC announced an approach to Two Harbors Investment Corp., with $1.3B recorded in the filing. An originator pairing with a listed mortgage REIT points to servicing rights and loan flow as the assets in question. Mar-2020 Pine River Capital Mgmt. → Granite Point Mortgage Trust n/a 2.9x n/a Pine River Capital Mgmt. and Granite Point Mortgage Trust is recorded at 2.9x revenue, with no entity value disclosed. Sponsor approaches to an affiliated listed vehicle are a recurring shape in this record, and they put the management agreement itself into the… Mar-2016 ARMOUR Residential REIT → JAVELIN Mortgage Investment Corp. n/a 0.9x n/a ARMOUR Residential REIT announced the acquisition of JAVELIN Mortgage Investment Corp., recorded at 0.9x revenue. Set against the 4.0x and 2.9x elsewhere in the record, it marks the low end of what has been agreed for whole companies in this sector.

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    06 · METHODOLOGY

    Sources, Assumptions and Data Quality

    Explains the report's sources, valuation basis, exclusions and data-quality flags.

    This page sets out how the report was built: the sources behind every figure, the valuation basis, and what was excluded and why. Every figure links to the record it came from, and where a figure has no link, we name the source and the basis directly. That traceability is what lets a client push on any number in this deck.

    Everything on this page

    06 · METHODOLOGY Sources, Assumptions and Data Quality How this report was built, what was excluded, and where every underlying disclosure lives · as of 2026-09-28 Every figure in this report links to the record it was taken from. Where a figure has no link, the appendix names its source and the basis on which it was read. Mortgage REITs Coverage | September 2026 | Confidential | Not investment advice 20 VALUATION BASIS Primary valuation basis: P / E on CY2027E consensus (17 of 20 companies eligible; multiples failing the platform's plausibility gates are excluded, never plotted). P / E on CY2027E is the lead convention: it is the sector-appropriate prior for Mortgage REITs and it clears the coverage gate with 17 of 20 companies (85%). EV / EBITDA, EV / Revenue are carried as a cross-check. DATA QUALITY & EXCLUSIONS 16 records were excluded or quarantined by the platform's validation gates (unit errors, implausible ratios, ineligible securities and classification failures); the full ledger ships in the companion tables and never feeds a statistic in this report. DEFINITIVE VS DIRECTIONAL Definitive content is disclosed or consensus data passed through stated arithmetic. Directional content — tier boundaries, situation cuts, "why it matters" commentary, the agenda pages — is NeuraCap analyst judgment and is labeled as such where it appears. WHAT THIS REPORT IS NOT This report characterises a sector. It does not recommend buying, selling or holding any security, and no statement in it should be read as investment advice or a price target. WHERE THE DATA LIVES 492 registered source documents stand behind the figures in this report. Metric hyperlinks throughout the deck open the specific filing or data record; by publisher: sec.gov (491) · home.treasury.gov (1). The companion workbook beside this deck carries the complete source index.

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    Twenty Balance Sheets, One Pricing Band; Separation Is Argued on Funding and Coverage.

    Closing slide restating that twenty balance sheets share one pricing band, with separation argued on funding and coverage.

    Twenty balance sheets, one pricing band; separation is argued on funding and coverage. The companion tables carry the full universe and the complete source index for any figure a client wants to trace.

    Everything on this page

    Twenty Balance Sheets, One Pricing Band; Separation Is Argued on Funding and Coverage. NeuraCap AI — Mortgage REITs Coverage September 2026 · Prepared by NeuraCap AI · Confidential Mortgage REITs Coverage | September 2026 | Confidential | Not investment advice Sources & methodology 21

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