Ellington Financial Inc. 10-Q

efc-20250930 Table of Contents UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 10-Q ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended September 30, 2025 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from to Commission file number 001-34569 Ellington Financial Inc. (Exact Name of Registrant as Specified in Its Charter) Delaware 26-0489289 (State or Other Jurisdiction of Incorporation or Organization) (I.R.S. Employer Identification No.) 53 Forest Avenue Old Greenwich , Connecticut , 06870 (Address of Principal Executive Offices) (Zip Code) ( 203 ) 698-1200 (Registrant's Telephone Number, Including Area Code) Securities registered pursuant to Section 12(b) of the Act: Title of Each Class Trading Symbol(s) Name of Each Exchange on Which Registered Common Stock, $0.001 par value per share EFC The New York Stock Exchange 6.750% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock EFC PR A The New York Stock Exchange 6.250% Series B Fixed-Rate Reset Cumulative Redeemable Preferred Stock EFC PR B The New York Stock Exchange 8.625% Series C Fixed-Rate Reset Cumulative Redeemable Preferred Stock EFC PR C The New York Stock Exchange 7.000% Series D Cumulative Perpetual Redeemable Preferred Stock EFC PRD The New York Stock Exchange Securities registered pursuant to Section 12(g) of the Act: None Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ No ☐ Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒ No ☐ Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company," and "emerging growth company" in Rule 12b-2 of the Exchange Act. Large Accelerated Filer ☒ Accelerated Filer ☐ Non-Accelerated Filer ☐ Smaller Reporting Company ☐ Emerging Growth Company ☐ If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨ Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No x Number of shares of the Registrant's common stock outstanding as of November 7, 2025: 107,316,429 Table of Contents ELLINGTON FINANCIAL INC. INDEX Part I. Financial Information Item 1. Condensed Consolidated Financial Statements (unaudited) 3 Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations 93 Item 3. Quantitative and Qualitative Disclosures about Market Risk 138 Item 4. Controls and Procedures 141 Part II. Other Information Item 1. Legal Proceedings 142 Item 1A. Risk Factors 142 Item 6. Exhibits 142 Signatures 143 Table of Contents PART I—FINANCIAL INFORMATION Item 1. Condensed Consolidated Financial Statements (Unaudited) ELLINGTON FINANCIAL INC. CONDENSED CONSOLIDATED BALANCE SHEETS (UNAUDITED) September 30, 2025 December 31, 2024 (In thousands, except share amounts) Expressed in U.S. Dollars Assets Cash and cash equivalents (1) $ 184,809 $ 192,387 Restricted cash (1) 20,769 16,561 Securities, at fair value (1)(2) 909,851 962,254 Loans, at fair value (1)(2) 15,531,299 13,999,572 Loan commitments, at fair value 8,827 6,692 Forward MSR-related investments, at fair value (1) 74,694 77,848 Mortgage servicing rights, at fair value 29,055 29,766 Investments in unconsolidated entities, at fair value (1) 287,686 220,078 Real estate owned (1)(2) 52,083 46,661 Financial derivatives—assets, at fair value 151,155 184,395 Reverse repurchase agreements 365,716 336,743 Due from brokers 40,714 22,186 Investment related receivables (1) 159,614 189,081 Other assets (1) 28,276 32,804 Total Assets $ 17,844,548 $ 16,317,028 Liabilities Securities sold short, at fair value $ 234,046 $ 293,574 Repurchase agreements (1) 2,800,964 2,584,040 Financial derivatives—liabilities, at fair value 60,763 71,024 Due to brokers 43,001 55,429 Investment related payables 41,321 22,714 Other secured borrowings (1) 189,203 253,300 Other secured borrowings, at fair value (1) 2,213,994 1,934,309 HMBS-related obligations, at fair value 10,117,649 9,150,883 Unsecured borrowings, at fair value 251,927 281,912 Base management fee payable to affiliate 6,173 5,888 Dividends payable 18,597 16,611 Interest payable (1) 20,612 17,956 Accrued expenses and other liabilities (1) 50,478 38,566 Total Liabilities 16,048,728 14,726,206 Commitments and contingencies (Note 24) Equity Preferred stock, par value $0.001 per share, 100,000,000 shares authorized; 13,800,089 and 13,800,089 shares issued and outstanding, and $345,002 and $345,002 aggregate liquidation preference, respectively 331,958 331,958 Common stock, par value $0.001 per share, 300,000,000 shares authorized; 106,066,429 and 90,678,492 shares issued and outstanding, respectively 106 91 Additional paid-in-capital 1,818,381 1,613,540 Retained earnings (accumulated deficit) ( 384,724 ) ( 375,113 ) Total Stockholders' Equity 1,765,721 1,570,476 Non-controlling interests (1) 30,099 20,346 Total Equity 1,795,820 1,590,822 Total Liabilities and Equity $ 17,844,548 $ 16,317,028 (1) Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. (2) Includes assets pledged as collateral to counterparties. See Note 14 for additional details on the Company's borrowings and related collateral. See Notes to Condensed Consolidated Financial Statements 3 Table of Contents ELLINGTON FINANCIAL INC. CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED) Three-Month Period Ended Nine-Month Period Ended September 30, 2025 September 30, 2024 September 30, 2025 September 30, 2024 (In thousands, except per share amounts) Net Interest Income Interest income $ 122,846 $ 107,281 $ 354,230 $ 309,272 Interest expense ( 73,126 ) ( 73,654 ) ( 217,910 ) ( 210,993 ) Total net interest income 49,720 33,627 136,320 98,279 Other Income (Loss) Realized gains (losses) on securities and loans, net 9,335 ( 12,243 ) 7,442 ( 52,419 ) Realized gains (losses) on financial derivatives, net ( 8,335 ) ( 41,564 ) 2,787 ( 31,774 ) Realized gains (losses) on real estate owned, net ( 3,402 ) ( 397 ) ( 5,692 ) ( 3,646 ) Realized gains (losses) on unsecured borrowings, at fair value, net — — ( 1,383 ) — Unrealized gains (losses) on securities and loans, net 24,416 126,908 130,334 172,752 Unrealized gains (losses) on financial derivatives, net ( 3,197 ) 356 ( 55,920 ) 38,623 Unrealized gains (losses) on real estate owned, net 736 ( 769 ) ( 3,971 ) ( 567 ) Unrealized gains (losses) on other secured borrowings, at fair value, net ( 21,144 ) ( 56,179 ) ( 78,352 ) ( 70,218 ) Unrealized gains (losses) on unsecured borrowings, at fair value, net ( 2,890 ) ( 9,059 ) ( 3,563 ) ( 5,363 ) Net change from HECM reverse mortgage loans, at fair value 205,973 158,554 551,780 510,757 Net change related to HMBS obligations, at fair value ( 171,019 ) ( 133,837 ) ( 460,701 ) ( 439,491 ) Other, net 2,563 1,581 39,125 16,742 Total other income (loss) 33,036 33,351 121,886 135,396 Expenses Base management fee to affiliate (Net of fee rebates of $532, $63, $649, and $227, respectively) (1) 6,173 6,031 18,535 17,572 Incentive fee to affiliate — — 4,533 — Investment related expenses: Servicing expense 7,198 6,334 21,437 17,805 Debt issuance costs related to Other secured borrowings, at fair value 1,397 1,991 3,677 5,103 Other 9,218 7,360 24,974 17,100 Professional fees 2,862 2,667 9,721 8,074 Compensation and benefits 21,716 18,987 59,990 49,983 Other expenses 8,448 7,554 23,194 21,927 Total expenses 57,012 50,924 166,061 137,564 Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities 25,744 16,054 92,145 96,111 Income tax expense (benefit) 1,060 12 2,439 214 Earnings (losses) from investments in unconsolidated entities 13,074 7,281 38,449 21,549 Net Income (Loss) 37,758 23,323 128,155 117,446 Net income (loss) attributable to non-controlling interests 1,180 315 2,934 1,697 Dividends on preferred stock 7,074 6,833 21,145 20,312 Net Income (Loss) Attributable to Common Stockholders $ 29,504 $ 16,175 $ 104,076 $ 95,437 Net Income (Loss) per Share of Common Stock: Basic and Diluted $ 0.29 $ 0.19 $ 1.08 $ 1.12 (1) See Note 16 for further details on management fee rebates. See Notes to Condensed Consolidated Financial Statements 4 Table of Contents ELLINGTON FINANCIAL INC. CONDENSED CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY (UNAUDITED) Common Stock Additional Paid-in Capital Retained Earnings/(Accumulated Deficit) Total Stockholders' Equity Non-controlling Interest Total Equity Preferred Stock Shares Par Value (In thousands, except share amounts) Expressed in U.S. Dollars BALANCE, December 31, 2024 $ 331,958 90,678,492 $ 91 $ 1,613,540 $ ( 375,113 ) $ 1,570,476 $ 20,346 $ 1,590,822 Net income (loss) 38,684 38,684 640 39,324 Net proceeds from the issuance of common stock (1) 3,750,388 3 50,822 50,825 50,825 Contributions from non-controlling interests 5,569 5,569 Common dividends ( 35,852 ) ( 35,852 ) ( 380 ) ( 36,232 ) Preferred dividends ( 7,035 ) ( 7,035 ) ( 7,035 ) Distributions to non-controlling interests ( 6,076 ) ( 6,076 ) Adjustment to non-controlling interests ( 3,249 ) ( 3,249 ) 3,249 — Share-based long term incentive plan unit awards — — 415 415 4 419 BALANCE, March 31, 2025 331,958 94,428,880 94 1,661,528 ( 379,316 ) 1,614,264 23,352 1,637,616 Net income (loss) 49,959 49,959 1,114 51,073 Net proceeds from the issuance of common stock (1) 3,428,400 4 44,516 44,520 44,520 Shares of common stock issued in connection with incentive fee payment 33,877 — 444 444 444 Contributions from non-controlling interests 6,638 6,638 Common dividends ( 37,655 ) ( 37,655 ) ( 441 ) ( 38,096 ) Preferred dividends ( 7,036 ) ( 7,036 ) ( 7,036 ) Distributions to non-controlling interests ( 6,688 ) ( 6,688 ) Adjustment to non-controlling interests 28 28 ( 28 ) — Share-based long term incentive plan unit awards — — 1,028 1,028 11 1,039 BALANCE, June 30, 2025 $ 331,958 97,891,157 $ 98 $ 1,707,544 $ ( 374,048 ) $ 1,665,552 $ 23,958 $ 1,689,510 Net income (loss) 36,578 36,578 1,180 37,758 Net proceeds from the issuance of common stock (1) 8,156,876 8 110,014 110,022 110,022 Restricted common shares issued under incentive plan 18,396 — — — — — Contributions from non-controlling interests 10,576 10,576 Common dividends ( 40,180 ) ( 40,180 ) ( 445 ) ( 40,625 ) Preferred dividends ( 7,074 ) ( 7,074 ) ( 7,074 ) Distributions to non-controlling interests ( 5,414 ) ( 5,414 ) Adjustment to non-controlling interests ( 232 ) ( 232 ) 232 — Share-based long term incentive plan unit awards — — 1,055 1,055 12 1,067 BALANCE, September 30, 2025 $ 331,958 106,066,429 $ 106 $ 1,818,381 $ ( 384,724 ) $ 1,765,721 $ 30,099 $ 1,795,820 See Notes to Condensed Consolidated Financial Statements 5 Table of Contents ELLINGTON FINANCIAL INC. CONDENSED CONSOLIDATED STATEMENT OF CHANGES IN EQUITY (CONTINUED) (UNAUDITED) Common Stock Additional Paid-in Capital Retained Earnings/(Accumulated Deficit) Total Stockholders' Equity Non-controlling Interest Total Equity Preferred Stock Shares Par Value (In thousands, except share amounts) Expressed in U.S. Dollars BALANCE, December 31, 2023 $ 355,551 83,000,488 $ 83 $ 1,514,797 $ ( 353,360 ) $ 1,517,071 $ 18,541 $ 1,535,612 Net income (loss) 33,569 33,569 482 34,051 Net proceeds from the issuance of common stock (1) 2,103,725 2 26,854 26,856 26,856 Contributions from non-controlling interests 2,084 2,084 Common dividends ( 36,589 ) ( 36,589 ) ( 347 ) ( 36,936 ) Preferred dividends ( 6,654 ) ( 6,654 ) ( 6,654 ) Distributions to non-controlling interests ( 1,589 ) ( 1,589 ) Adjustment to non-controlling interests ( 524 ) ( 524 ) 524 — Repurchase of shares of common stock ( 47,565 ) — ( 524 ) ( 524 ) ( 524 ) Share-based long term incentive plan unit awards 254 254 2 256 BALANCE, March 31, 2024 355,551 85,056,648 85 1,540,857 ( 363,034 ) 1,533,459 19,697 1,553,156 Net income (loss) 59,172 59,172 900 60,072 Contributions from non-controlling interests 7,133 7,133 Common dividends ( 33,166 ) ( 33,166 ) ( 326 ) ( 33,492 ) Preferred dividends ( 6,825 ) ( 6,825 ) ( 6,825 ) Distributions to non-controlling interests ( 6,334 ) ( 6,334 ) Adjustment to non-controlling interests ( 1 ) ( 1 ) 1 — Repurchase of shares of common stock ( 14,735 ) — ( 161 ) ( 161 ) ( 161 ) Share-based long term incentive plan unit awards 307 307 3 310 BALANCE, June 30, 2024 $ 355,551 85,041,913 $ 85 $ 1,541,002 $ ( 343,853 ) $ 1,552,785 $ 21,074 $ 1,573,859 Net income (loss) 23,008 23,008 315 23,323 Net proceeds from the issuance of common stock (1) 5,612,166 6 72,728 72,734 72,734 Contributions from non-controlling interests 770 770 Common dividends ( 34,468 ) ( 34,468 ) ( 328 ) ( 34,796 ) Preferred dividends ( 6,833 ) ( 6,833 ) ( 6,833 ) Cancellation of employee stock options (2) — — ( 1,799 ) ( 1,799 ) Purchase of non-controlling interests (2) — — ( 729 ) ( 729 ) Distributions to non-controlling interests ( 1,192 ) ( 1,192 ) Conversion of non-controlling interest units to shares of common stock 7,657 — 106 106 ( 106 ) — Adjustment to non-controlling interests ( 405 ) ( 405 ) 405 — Share-based long term incentive plan unit awards 309 309 3 312 BALANCE, September 30, 2024 $ 355,551 90,661,736 $ 91 $ 1,613,740 $ ( 362,146 ) $ 1,607,236 $ 18,413 $ 1,625,649 (1) Net of discounts and commissions and offering costs. (2) See Note 18— Non-Controlling Interests in Longbridge for additional details. See Notes to Condensed Consolidated Financial Statements 6 Table of Contents ELLINGTON FINANCIAL INC. CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED) Nine-Month Period Ended September 30, 2025 September 30, 2024 (In thousands) (Expressed in U.S. Dollars) Cash Flows from Operating Activities: Net cash provided by (used in) operating activities $ ( 627,347 ) $ ( 289,745 ) Cash Flows from Investing Activities: Purchase of securities ( 791,699 ) ( 644,770 ) Purchase and origination of loans ( 4,700,919 ) ( 3,065,592 ) Receipt of distributions on Forward MSR-related investments 21,194 23,211 Proceeds from disposition of securities 867,160 1,153,508 Proceeds from disposition of loans 480,129 194,088 Contributions to investments in unconsolidated entities ( 227,492 ) ( 89,653 ) Distributions from investments in unconsolidated entities 358,713 193,604 Proceeds from disposition of real estate owned 56,225 36,393 Proceeds from FHA insurance claims and other receivables on HECM loans 88,719 45,151 Proceeds from principal payments of securities 127,866 116,124 Proceeds from principal payments of loans 1,723,296 1,904,823 Proceeds from securities sold short 838,175 335,500 Repurchase of securities sold short ( 906,721 ) ( 188,563 ) Payments on financial derivatives ( 300,069 ) ( 215,825 ) Proceeds from financial derivatives 288,524 202,759 Increase in cash resulting from consolidation of securitization trust, net — 6,790 Payments made on reverse repurchase agreements ( 47,360,579 ) ( 24,988,708 ) Proceeds from reverse repurchase agreements 47,333,180 24,830,540 Due from brokers, net ( 20,018 ) 34,714 Due to brokers, net ( 27,909 ) 9,006 Net cash provided by (used in) investing activities ( 2,152,225 ) ( 106,900 ) Cash Flows from Financing Activities: Net proceeds from the issuance of common stock (1) 205,681 100,202 Offering costs paid ( 76 ) ( 688 ) Repurchase of common stock — ( 685 ) Dividends paid ( 134,112 ) ( 121,172 ) Contributions from non-controlling interests 22,491 9,567 Distributions to non-controlling interests ( 18,178 ) ( 9,115 ) Purchase of non-controlling interests — ( 729 ) Proceeds from issuance of Other secured borrowings 1,752,463 1,332,320 Principal payments on Other secured borrowings ( 1,739,250 ) ( 1,293,250 ) Borrowings under repurchase agreements 40,304,114 48,256,900 Repayments of repurchase agreements ( 38,156,823 ) ( 48,121,677 ) Proceeds from issuance of Other secured borrowings, at fair value, net 62,472 66,476 Repayment of unsecured borrowings, at fair value ( 34,931 ) — Proceeds from issuance of HMBS 1,141,888 1,003,362 Principal payments on HMBS-related obligations, at fair value ( 627,899 ) ( 814,011 ) Due from brokers, net ( 1,419 ) 1,469 Due to brokers, net ( 219 ) ( 14,566 ) Net cash provided by (used in) financing activities $ 2,776,202 $ 394,403 See Notes to Condensed Consolidated Financial Statements 7 Table of Contents ELLINGTON FINANCIAL INC. CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (CONCLUDED) (UNAUDITED) Nine-Month Period Ended September 30, 2025 September 30, 2024 (In thousands) Expressed in U.S. Dollars Net Increase (Decrease) in Cash, Cash Equivalents, and Restricted Cash ( 3,370 ) ( 2,242 ) Cash, Cash Equivalents, and Restricted Cash, Beginning of Period 208,948 230,545 Cash, Cash Equivalents, and Restricted Cash, End of Period $ 205,578 $ 228,303 Reconciliation of cash, cash equivalents, and restricted cash Cash and cash equivalents, beginning of period $ 192,387 $ 228,927 Restricted cash, beginning of period 16,561 1,618 Cash and cash equivalents and restricted cash, beginning of period 208,948 230,545 Cash and cash equivalents, end of period 184,809 217,725 Restricted cash, end of period 20,769 10,578 Cash and cash equivalents and restricted cash, end of period 205,578 228,303 Supplemental disclosure of cash flow information: Interest paid $ 215,255 $ 212,880 Income tax paid (refunded) 884 294 Dividends payable 18,597 15,892 Shares issued in connection with incentive fee payment (non-cash) 444 — Transfers from mortgage loans to real estate owned (non-cash) 71,311 48,396 Transfers from mortgage loans to other sales and claims receivable (non-cash) 88,242 46,486 Transfers from mortgage loans to investments in unconsolidated entities (non-cash) 42,701 143,936 Transfers from investments in unconsolidated entities to mortgage loans (non-cash) 21,890 — Transfers of HMBS obligations to third-party related to termination of HECM CT Agreement (2) , at fair value — ( 305,381 ) Transfers of reverse mortgage loans to third-party related to termination of HECM CT Agreement (2) , at fair value — 305,196 Transfers from securities to corporate loans (non-cash) — 500 Transfers from securities to residential mortgage loans (non-cash) — 60 Transfers of HMBS obligations, at fair value (non-cash) ( 7,923 ) — Contributions to investments in unconsolidated entities (non-cash) ( 139,569 ) ( 10,527 ) Purchase of investments (non-cash) ( 116,497 ) ( 16,488 ) Purchase of loans (non-cash) ( 1,829,930 ) — Loans acquired in consolidation of securitization trust, net (non-cash) — ( 52,368 ) Proceeds from the disposition of loans (non-cash) 3,815,766 189,921 Proceeds from principal payments of investments (non-cash) 143,766 106,417 Proceeds from borrowings under repurchase agreements (non-cash) 77,310 — Principal payments on Other secured borrowings (non-cash) ( 77,310 ) — Principal payments on Other secured borrowings, at fair value (non-cash) ( 144,167 ) ( 115,638 ) Proceeds received from Other secured borrowings, at fair value (non-cash) 280,981 303,195 Other secured borrowings, at fair value assumed in consolidation of securitization trust (non-cash) — 58,195 Repayments of repurchase agreements (non-cash) ( 2,007,677 ) ( 460,608 ) Debt issuance costs related to Other secured borrowings, at fair value (non-cash) ( 3,677 ) ( 5,103 ) (1) Net of discounts and commissions. (2) See Note 13. Securitization Transactions— Issuance of HMBS for details. See Notes to Condensed Consolidated Financial Statements 8 Table of Contents ELLINGTON FINANCIAL INC. NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS September 30, 2025 (UNAUDITED) 1. Organization and Investment Objective Ellington Financial Inc. commenced operations on August 17, 2007 and is a Delaware corporation. Ellington Financial Operating Partnership LLC (the "Operating Partnership"), a 99.1 % owned consolidated subsidiary of Ellington Financial Inc., was formed as a Delaware limited liability company on December 14, 2012 and commenced operations on January 1, 2013. All of Ellington Financial Inc.'s operations and business activities are conducted through the Operating Partnership. Ellington Financial Inc., the Operating Partnership, and their consolidated subsidiaries are hereafter collectively referred to as the "Company." All intercompany accounts are eliminated in consolidation. The Company conducts its operations to qualify and be taxed as a real estate investment trust (a "REIT") under the Internal Revenue Code of 1986, as amended (the "Code"). Ellington Financial Management LLC (the "Manager") is an SEC-registered investment adviser that serves as the manager to the Company pursuant to the terms of its Ninth Amended and Restated Management Agreement (the "Management Agreement"); see Note 16 for additional details. The Manager is an affiliate of Ellington Management Group, L.L.C. ("Ellington"), an investment management firm that is registered as both an investment adviser and a commodity pool operator. In accordance with the terms of the Management Agreement, the Manager implements the investment strategy and manages the business and operations on a day-to-day basis for the Company and performs certain services for the Company, subject to oversight by Ellington Financial Inc.'s Board of Directors (the "Board of Directors"). On December 14, 2023, Arlington Asset Investment Corp., a Virginia corporation ("Arlington"), merged with and into EF Merger Sub Inc., a direct wholly-owned subsidiary of the Company, pursuant to the agreement and plan of merger (the “Arlington Merger Agreement”) which was entered into on May 29, 2023 (the "Arlington Merger"). The Company has two reportable segments, the Investment Portfolio Segment and the Longbridge Segment. The Investment Portfolio Segment is focused on investing in a diverse array of financial assets, including residential and commercial mortgage loans; residential mortgage-backed securities ("RMBS"); commercial mortgage-backed securities ("CMBS"); investments referencing a portfolio of mortgage servicing rights on forward mortgage loans ("Forward MSR-related investments"); consumer loans and asset-backed securities ("ABS") including ABS backed by consumer loans; collateralized loan obligations ("CLOs"); non-mortgage- and mortgage-related derivatives; debt and equity investments in loan origination companies; and other strategic investments. The Longbridge Segment is primarily focused on the origination and servicing of, and investment in, reverse mortgage loans, including associated financial assets, financing, hedging, and allocated expenses. Longbridge Financial, LLC ("Longbridge"), a wholly owned subsidiary of the Company, acquires reverse mortgage loans both through its origination activities and through secondary market purchases. Historically, the majority of loans acquired by Longbridge have been home equity conversion mortgage loans ("HECMs") which are insured by the Federal Housing Administration ("FHA"). Such loans are generally eligible for securitization into HECM-backed MBS ("HMBS") which are guaranteed by the Government National Mortgage Association ("GNMA"). Longbridge is an approved issuer of HMBS, and it transfers HECM loans into HMBS, which it then sells in the secondary market while retaining the servicing rights on the underlying HECM loans. Longbridge also originates and purchases non-FHA-insured reverse mortgage loans originated under guidelines established by private lenders, which the Company refers to as "Proprietary reverse mortgage loans." Proprietary reverse mortgage loans typically carry loan balances or credit lines that exceed FHA limits or have other characteristics that make them ineligible for FHA insurance. 9 Table of Contents 2. Significant Accounting Policies (A) Basis of Presentation : The Company's unaudited condensed consolidated financial statements have been prepared in conformity with generally accepted accounting principles in the United States of America ("U.S. GAAP") and Regulation S-X. The condensed consolidated financial statements include the accounts of the Company, the Operating Partnership, its subsidiaries, and variable interest entities ("VIEs") for which the Company is deemed to be the primary beneficiary. All intercompany balances and transactions have been eliminated. The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be material. In management's opinion, all material adjustments considered necessary for a fair statement of the Company's consolidated financial statements have been included and are only of a normal recurring nature. Interim results are not necessarily indicative of the results that may be expected for the entire fiscal year. The information included in the condensed consolidated financial statements and notes thereto should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, 2024. (B) Valuation : The Company applies ASC 820-10, Fair Value Measurement ("ASC 820") to its holdings of financial instruments. ASC 820 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows: • Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets. Currently, the types of financial instruments the Company generally includes in this category are listed equities and exchange-traded derivatives; • Level 2—inputs to the valuation methodology other than quoted prices included in Level 1 are observable for the asset or liability, either directly or indirectly. Currently, the types of financial instruments that the Company generally includes in this category are RMBS, for which the principal and interest payments are guaranteed by a U.S. government agency or a U.S. government-sponsored entity ("Agency RMBS"), U.S. Treasury securities and sovereign debt, certain non-Agency RMBS, CMBS, CLOs, corporate debt, and actively traded derivatives such as interest rate swaps, foreign currency forwards, and other over-the-counter derivatives; and • Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. The types of financial instruments that the Company generally includes in this category are certain RMBS, CMBS, CLOs, ABS, credit default swaps ("CDS") on individual ABS, and total return swaps on distressed corporate debt, in each case where there is less price transparency. Also included in this category are residential and commercial mortgage loans, consumer loans, reverse mortgage loans, private corporate debt and equity investments, loan commitments, loan purchase commitments, mortgage servicing rights ("MSRs"), Forward MSR-related investments, other secured borrowings, at fair value, HMBS-related obligations, at fair value, and Unsecured borrowings, at fair value. For certain financial instruments, the various inputs that management uses to measure fair value may fall into different levels of the fair value hierarchy. For each such financial instrument, the determination of which category within the fair value hierarchy is appropriate is based on the lowest level of input that is significant to the fair value measurement. ASC 820 prioritizes the various inputs that management uses to measure fair value, with the highest priority given to inputs that are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets (Level 1), and the lowest priority given to inputs that are unobservable and significant to the fair value measurement (Level 3). The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument. The Company may use valuation techniques consistent with the market and income approaches to measure the fair value of its financial instruments. The market approach uses third-party valuations and information obtained from market transactions involving identical or similar financial instruments. The income approach uses projections of the future economic benefit of an instrument to determine its fair value, such as in the discounted cash flow methodology. The inputs or methodology used for valuing financial instruments are not necessarily an indication of the risk associated with investing in these financial instruments. The leveling of each financial instrument is reassessed at the end of each period. Transfers between levels of the fair value hierarchy are assumed to occur at the end of the reporting period. Summary Valuation Techniques For financial instruments that are traded in an "active market," the best measure of fair value is the quoted market price. However, many of the Company's financial instruments are not traded in an active market. Therefore, management generally uses third-party valuations when available. If third-party valuations are not available, management uses other valuation techniques, such as the discounted cash flow methodology. The following are summary descriptions, for various categories of financial instruments, of the valuation methodologies management uses in determining fair value of the Company's financial instruments in such categories. Management utilizes such methodologies to assign a fair value (the estimated price that, in an 10 Table of Contents orderly transaction at the valuation date, would be received to sell an asset, or paid to transfer a liability, as the case may be) to each such financial instrument. For mortgage-backed securities ("MBS"), forward settling to-be-announced mortgage-backed-securities ("TBAs"), CLOs, and corporate debt and equity, management seeks to obtain at least one third-party valuation, and often obtains multiple valuations when available. Management has been able to obtain third-party valuations on the vast majority of these instruments and expects to continue to solicit third-party valuations in the future. Management generally values each financial instrument at the average of third-party valuations received and not rejected as described below. Third-party valuations are not binding, management may adjust the valuations it receives (e.g., downward adjustments for odd lots), and management may challenge or reject a valuation when, based on its validation criteria, management determines that such valuation is unreasonable or erroneous. Furthermore, based on its validation criteria, management may determine that the average of the third-party valuations received for a given financial instrument does not result in what management believes to be the fair value of such instrument, and in such circumstances management may override this average with its own good faith valuation. The validation criteria may take into account output from management's own models, recent trading activity in the same or similar instruments, and valuations received from third parties. The use of proprietary models requires the use of a significant amount of judgment and the application of various assumptions including, but not limited to, assumptions concerning future prepayment rates and default rates. Given their relatively high level of price transparency, Agency RMBS pass-throughs are typically classified as Level 2. Non-Agency RMBS, CMBS, Agency interest only and inverse interest only RMBS, CLOs, and corporate bonds are generally classified as either Level 2 or Level 3 based on analysis of available market data and/or third-party valuations. The Company's investments in distressed corporate debt can be in the form of loans as well as total return swaps on loans. These investments, as well as related non-listed equity investments, are generally designated as Level 3 assets. Valuations for total return swaps are typically based on prices of the underlying loans received from third-party pricing services. Private equity investments are generally classified as Level 3. Furthermore, the methodology used by the third-party valuation providers is reviewed at least annually by management, so as to ascertain whether such providers are utilizing observable market data to determine the valuations that they provide. For residential mortgage loans, reverse mortgage loans, commercial mortgage loans, and consumer loans, management determines fair value by taking into account both external pricing data, which includes third-party valuations, and internal pricing models. Management has obtained third-party valuations on the majority of these loans and expects to continue to solicit third-party valuations in the future. In determining fair value for non-performing mortgage loans, management evaluates third-party valuations, if applicable, as well as management's estimates of the value of the underlying real estate, using information including general economic data, broker price opinions ("BPOs"), recent sales, property appraisals, and bids. In determining fair value for performing mortgage loans and consumer loans, management evaluates third-party valuations, if applicable, as well as discounted cash flows of the loans based on market assumptions. Cash flow assumptions typically include projected default and prepayment rates and loss severities, and may include adjustments based on appraisals and BPOs, and in the case of HECM reverse mortgage loans, projected future tail draws. Many adjustable-rate reverse mortgage loans provide the borrower with a line of credit that can be drawn over time, and a "tail draw" is a principal addition that results when a borrower takes such a draw, which may be securitized. Mortgage and consumer loans are classified as Level 3. The Company has elected the fair value option ("FVO"), for its HMBS-related obligations. It determines fair value by taking into account both external pricing data, which includes third-party valuations, and internal pricing models. The estimated fair value of HMBS-related obligations also includes the consideration that would be required by a market participant to transfer the HECM loan net of the related servicing, including exposure resulting from shortfalls in FHA insurance proceeds. HMBS-related obligations, at fair value are classified as Level 3. The Company has elected the FVO for its MSRs and Forward MSR-related investments. It determines fair value by taking into account both external pricing data, which includes third-party valuations, and internal pricing models. MSRs and Forward MSR-related investments are classified as Level 3. The Company has securitized certain mortgage loans, including residential mortgage loans that are not deemed "qualified mortgage" loans under the rules of the Consumer Financial Protection Bureau ("non-QM loans"), and proprietary reverse mortgage loans. The Company's securitized loans, which include non-QM loans, certain European residential mortgage loans, and reverse mortgage loans, are held as part of a collateralized financing entity ("CFE"). A CFE is a VIE that holds financial assets, issues beneficial interests in those assets, and has no more than nominal equity, and for which the issued beneficial interests have contractual recourse only to the related assets of the CFE. ASC 810, Consolidation ("ASC 810") allows the Company to elect to measure both the financial assets and financial liabilities of the CFE using the more observable of the fair value of the financial assets and the fair value of the financial liabilities of the CFE. The Company has elected the FVO for initial and subsequent recognition of the debt issued by its consolidated securitization trusts and has determined that each consolidated securitization trust meets the definition of a CFE; see Note 13 " Securitization Transactions, — Consolidated Residential Mortgage Loan Securitizations, — Residential Mortgage Loan Securitizations — European Residential Mortgage Loans, and — Proprietary Reverse Mortgage Loan Securitizations " for further discussion on the Company's consolidated 11 Table of Contents securitization trusts. The Company has determined the inputs to the fair value measurement of the financial liabilities of each of its CFEs to be more observable than those of the financial assets and, as a result, has used the fair value of the financial liabilities of each of the CFEs to measure the fair value of the financial assets of each of the CFEs. The fair value of the debt issued by each CFE is typically valued using both external pricing data, which includes third-party valuations, and internal pricing models. The securitized loans, which are assets of the consolidated CFEs, are included in Loans, at fair value, on the Company's Condensed Consolidated Balance Sheet. The debt issued by the consolidated CFEs is included in Other secured borrowings, at fair value, on the Company's Condensed Consolidated Balance Sheet. Unrealized gains (losses) from changes in fair value of Other secured borrowings, at fair value, are included in Unrealized gains (losses) on other secured borrowings, at fair value, net, on the Company's Condensed Consolidated Statement of Operations. The securitized loans and the debt issued by the Company's CFEs are both classified as Level 3. The Company has elected the FVO for its loan commitments related to reverse mortgage loans, and uses market pricing for instruments with similar characteristics in determining fair value. The valuation process incorporates various inputs, such as an estimate of the fair value of the servicing rights expected to be recorded upon sale of a loan to a third party, estimated cost to originate the loan, and the expected pull-through rate. The Company's loan commitments are classified as Level 3. The Company has elected the FVO for loan purchase commitments related to certain residential mortgage loans, and uses the agreed-upon loan purchase price with adjustments made for interest rate and credit spread movements in determining fair value. The Company's loan purchase commitments are classified as Level 3. For financial derivatives with greater price transparency, such as CDS on asset-backed indices, CDS on corporate indices, certain options on the foregoing, and total return swaps on publicly traded equities or indices, market-standard pricing sources are used to obtain valuations; these financial derivatives are generally classified as Level 2. Interest rate swaps, swaptions, and foreign currency forwards are typically valued based on internal models that use observable market data, including applicable interest rates and foreign currency rates in effect as of the measurement date; the model-generated valuations are then typically compared to counterparty valuations for reasonableness. These financial derivatives are also generally classified as Level 2. Financial derivatives with less price transparency, such as CDS on individual ABS, are generally valued based on internal models, and are classified as Level 3. In the case of CDS on individual ABS, the valuation process typically starts with an estimation of the value of the underlying ABS. In valuing its financial derivatives, the Company also considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each financial derivative agreement. Investments in private operating entities, such as loan originators, are valued based on available metrics, such as relevant market multiples and comparable company valuations, company specific-financial data including actual and projected results, and independent third party valuation estimates. These investments are classified as Level 3. The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value. Repurchase and reverse repurchase agreements are classified as Level 2, based on the adequacy of the collateral and their short term nature. The Company's valuation process, including the application of validation criteria, is directed by the Manager's Valuation Committee (the "Valuation Committee"), and overseen by the Company's audit committee. The Valuation Committee includes senior level executives from various departments within the Manager, and each quarter, the Valuation Committee reviews and approves the valuations of the Company's financial instruments. The valuation process also includes a monthly review by the Company's third-party administrator. The goal of this review is to replicate various aspects of the Company's valuation process based on the Company's documented procedures. Because of the inherent uncertainty of valuation, the estimated fair value of the Company's financial instruments may differ significantly from the values that would have been used had a ready market for the financial instruments existed, and the differences could be material to the Company's consolidated financial statements. (C) Accounting for Securities : Purchases and sales of investments in securities are generally recorded on trade date, and realized and unrealized gains and losses are calculated based on identified cost. Investments in securities are recorded in accordance with ASC 320, Investments—Debt and Equity Securities ("ASC 320") or ASC 325-40, Beneficial Interests in Securitized Financial Assets ("ASC 325-40"). The Company generally classifies its securities as available-for-sale. The Company has chosen to elect the FVO pursuant to ASC 825, Financial Instruments ("ASC 825") for its investments in securities. Electing the FVO allows the Company to record changes in fair value in the Condensed Consolidated Statement of Operations, as a component of Unrealized gains (losses) on securities and loans, net, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all investment activities will be recorded in a similar manner. 12 Table of Contents Many of the Company's investments in securities, such as MBS and CLOs, are issued by entities that are deemed to be VIEs. For the majority of such investments, the Company has determined it is not the primary beneficiary of such VIEs and therefore has not consolidated such VIEs. The Company's maximum risk of loss in these unconsolidated VIEs is generally limited to the fair value of the Company's investment in the VIE. The Company evaluates its investments in interest only securities to determine whether they meet the requirements for classification as financial derivatives under ASC 815, Derivatives and Hedging ("ASC 815"). For interest only securities, where the holder is entitled only to a portion of the interest payments made on the mortgages underlying certain MBS, and inverse interest only securities, which are interest only securities whose coupon has an inverse relationship to its benchmark rate, such as SOFR, the Company has determined that such investments do not meet the requirements for treatment as financial derivatives and are classified as securities. The Company applies the principles of ASU 2016-13, Financial Instruments—Credit Losses ("ASU 2016-13") and evaluates the cost basis of its investments in securities on at least a quarterly basis, under ASC 326-30, Financial Instruments—Credit Losses: Available-for-Sale Debt Securities ("ASC 326-30"). When the fair value of a security is less than its amortized cost basis as of the balance sheet date, the security's cost basis is considered impaired. The Company must evaluate the decline in the fair value of the impaired security and determine whether such decline resulted from a credit loss or non-credit related factors. In its assessment of whether a credit loss exists, the Company compares the present value of estimated future cash flows of the impaired security with the amortized cost basis of such security. The estimated future cash flows reflect those that a "market participant" would use and typically include assumptions related to fluctuations in interest rates, prepayment speeds, default rates, collateral performance, and the timing and amount of projected credit losses, as well incorporating observations of current market developments and events. Cash flows are discounted at an interest rate equal to the current yield used to accrete interest income. If the present value of estimated future cash flows is less than the amortized cost basis of the security, an expected credit loss exists and is included in Unrealized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. If it is determined as of the financial reporting date that all or a portion of a security's cost basis is not collectible, then the Company will recognize a realized loss to the extent of the adjustment to the security's cost basis. This adjustment to the amortized cost basis of the security is reflected in Net realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. (D) Accounting for Loans : The Company's loan portfolio primarily consists of residential mortgage, commercial mortgage, consumer, and reverse mortgage loans. The Company's loans are accounted for under ASC 310-10, Receivables , and are classified as held-for-investment when the Company has the intent and ability to hold such loans for the foreseeable future or to maturity/payoff. When the Company has the intent to sell loans, such loans will be classified as held-for-sale. Mortgage loans held-for-sale are accounted for under ASC 948-310, Financial services—mortgage banking. Transfers between held-for-investment and held-for-sale occur once the Company's intent to sell the loans changes. The Company may aggregate its loans into pools based on common risk characteristics at purchase. The Company has chosen to elect the FVO pursuant to ASC 825 for its loan portfolios. Loans are recorded at fair value on the Condensed Consolidated Balance Sheet and changes in fair value are recorded in earnings on the Condensed Consolidated Statement of Operations. Changes in fair value on residential mortgage, commercial mortgage, consumer, corporate loans, and proprietary reverse mortgage loans are included as a component of Unrealized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. Changes in fair value on HECM reverse mortgage loans held-for-investment is included as a component of Net change from HECM reverse mortgage loans, at fair value, on the Condensed Consolidated Statement of Operations. The Company generates income from fees on certain loans, generally reverse mortgage and commercial mortgage loans, that it originates and holds for investment, including origination, servicing, and exit fees. Such fee income is recorded when earned and included in Other, net on the Condensed Consolidated Statement of Operations. For residential and commercial mortgage loans, the Company generally accrues interest payments. Such loans are typically moved to non-accrual status if the loan becomes 90 days or more delinquent. Although reverse mortgage loans do not require monthly principal and interest payments, the terms of such loans require the borrower to occupy the property and to stay current on payment of property taxes and homeowners insurance. In the event that the borrower no longer occupies the property due to death or other circumstances or becomes delinquent on their tax or insurance payments, the loan will be classified as inactive. The Company does not accrue interest payments on its consumer loans; interest payments are recorded upon receipt. Once consumer loans are more than 120 days past due, the Company will generally charge off such loans. The Company evaluates its charged-off loans and determines collectibility, if any, on such loans. The Company evaluates the collectibility of both interest and principal on each of its loan investments and whether the cost basis of the loan is impaired. A loan's cost basis is impaired when, based on current information and market developments, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan's cost basis is impaired, the Company does not record an allowance for loan loss as it elected the FVO on all of its loan investments. 13 Table of Contents Consistent with the Company's application of the principles of ASU 2016-13, in its assessment of whether a credit loss exists, the Company compares the present value of the amount expected to be collected on the impaired loan with the amortized cost basis of such loan. If the present value of the amount expected to be collected on the impaired loan is less than the amortized cost basis of such loan, an expected credit loss exists and is included in Unrealized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. If it is determined as of the financial reporting date that all or a portion of a loan's cost basis is not collectible, then the Company will recognize a realized loss to the extent of the adjustment to the loan's cost basis. This adjustment to the amortized cost basis of the loan is reflected in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. (E) Interest Income : The Company generally amortizes premiums and accretes discounts on its debt securities. Coupon interest income on fixed-income investments is generally accrued based on the outstanding principal balance or notional value and the current coupon rate. For debt securities that are deemed to be of high credit quality at the time of purchase (generally Agency RMBS, exclusive of interest only securities), premiums and discounts are amortized/accreted into interest income over the life of such securities using the effective interest method. For such securities whose cash flows vary depending on prepayments, an effective yield retroactive to the time of purchase is periodically recomputed based on actual prepayments and changes in projected prepayment activity, and a catch-up adjustment ("Catch-up Amortization Adjustment") is made to amortization to reflect the cumulative impact of the change in effective yield. For debt securities (generally non-Agency RMBS, CMBS, ABS, CLOs, and interest only securities) that are deemed not to be of high credit quality at the time of purchase, interest income is recognized based on the effective interest method. For purposes of estimating future expected cash flows, management uses assumptions including, but not limited to, assumptions for future prepayment rates, default rates, and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing prices, GDP growth rates, and unemployment rates). These assumptions are re-evaluated not less than quarterly. Changes in projected cash flows may result in prospective changes in the yield/interest income recognized on such securities based on the updated expected future cash flows. For each loan (including residential, commercial, and proprietary reverse mortgage loans and consumer loans) purchased with the expectation that both interest and principal will be paid in full, the Company generally amortizes or accretes any premium or discount over the life of the loan utilizing the effective interest method. However, based on current information and market developments, the Company re-assesses the collectibility of interest and principal, and generally designates a loan as in non-accrual status either when any payments have become 90 or more days past due, or when, in the opinion of management, it is probable that the Company will be unable to collect either interest or principal in full. Once a loan is designated as in non-accrual status, as long as principal is still expected to be collectible in full, interest payments are recorded as interest income only when received (i.e., under the cash basis method); accruals of interest income are only resumed when the loan becomes contractually current and performance is demonstrated to be resumed. However, if principal is not expected to be collectible in full, the cost recovery method is used (i.e., no interest income is recognized, and all payments received—whether contractually interest or principal—are applied to cost). Interest income on HECM reverse mortgage loans held-for-investment is recognized based on the stated rate of the loan. Such interest income is included on the Condensed Consolidated Statement of Operations as a component of Net change from HECM reverse mortgage loans, at fair value. For Forward MSR-related investments, the Company recognizes interest income based on the effective interest method. For purposes of estimating future expected cash flows, management uses various assumptions about the mortgage loans underlying the MSRs, including but not limited to the timing and amount of prepayments. These assumptions are re-evaluated at least quarterly. Changes in projected cash flows may result in prospective changes in the yield/interest income recognized on such investments based on the updated expected future cash flows. Interest income on Forward MSR-related investments is included on the Condensed Consolidated Statement of Operations as a component of Interest income. Certain of the Company's debt securities and loans, at the date of acquisition, have experienced or are expected to experience more-than-insignificant deterioration in credit quality since origination. Consistent with the Company's application of the principles of ASU 2016-13, if at the date of acquisition for a particular asset the Company projects a significant difference between contractual cash flows and expected cash flows, it establishes an initial estimate for credit losses as an upward adjustment to the acquisition cost of the asset for the purpose of calculating interest income using the effective yield method. In estimating future cash flows on the Company's debt securities, there are a number of assumptions that are subject to significant uncertainties and contingencies, including, in the case of MBS, assumptions relating to prepayment rates, default rates, loan loss severities, and loan repurchases. These estimates require the use of a significant amount of judgment. 14 Table of Contents (F) Mortgage Servicing Rights : MSRs represent contractual rights to perform specific administrative functions for the underlying loans including specified mortgage servicing activities, which include collecting loan payments, remitting principal and interest payments, managing escrow accounts for mortgage-related expenses such as taxes and insurance, and various other administrative tasks required to adequately service the mortgage loan portfolio. MSRs are created when the Company sells originated or purchased reverse mortgage loans but retains the servicing rights; MSRs can also be acquired in the secondary market. The Company has elected the FVO for its MSRs in accordance with ASC 860-50, Transfers and Servicing—Servicing assets and liabilities ("ASC 860-50"). Under this methodology, the Company fair values its MSRs on a recurring basis with changes in fair value recorded through earnings on the Condensed Consolidated Statement of Operations in Other, net. The Company accrues a base servicing fee for each serviced loan, typically based on the remaining outstanding principal balance of the loan and a fixed annual percentage fee, which is included in Other, net on the Condensed Consolidated Statement of Operations. Costs of servicing and ancillary fees are recognized as incurred or earned, and are included in Servicing expense on the Condensed Consolidated Statement of Operations. (G) Loan Commitments : The Company's loan commitments relate to certain reverse mortgage loans extended to borrowers. The Company has elected the FVO for its loan commitments which are included in Loan commitments, at fair value on the Condensed Consolidated Balance Sheet. Changes in the fair value of the Company's loan commitments are included in Other, net on the Condensed Consolidated Statement of Operations. (H) Loan Purchase Commitments : The Company's loan purchase commitments relate to commitments to purchase certain residential mortgage loans originated by third parties. The Company has elected the FVO for certain of its loan purchase commitments which are included in Other Assets or Accrued expenses and other liabilities on the Condensed Consolidated Balance Sheet. Changes in the fair value of such loan purchase commitments are included in Other, net on the Condensed Consolidated Statement of Operations. (I) Investments in unconsolidated entities : The Company has made and may in the future make non-controlling equity investments in various entities, such as loan originators. Such investments are generally in the form of preferred and/or common equity, or membership interests. In certain cases, the Company can exercise significant influence over the entity (e.g. by having representation on the entity's board of directors) but the requirements for consolidation under ASC 810 are not met; in such cases the Company is required to account for such equity investments under ASC 323-10, Investments—Equity Method and Joint Ventures ("ASC 323-10"). The Company has chosen to elect the FVO pursuant to ASC 825 for its investments in unconsolidated entities, which, in management's view, more appropriately reflects the results of operations for a particular reporting period, as all investment activities will be recorded in a similar manner. The period change in fair value of the Company's investments in unconsolidated entities is recorded on the Condensed Consolidated Statement of Operations in Earnings (losses) from investments in unconsolidated entities. (J) Real Estate Owned "REO" : When the Company obtains possession of real property in connection with a foreclosure or similar action, the Company de-recognizes the associated mortgage loan according to ASU 2014-04, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure ("ASU 2014-04"). Under the provisions of ASU 2014-04, the Company is deemed to have received physical possession of real estate property collateralizing a mortgage loan when it obtains legal title to the property upon completion of a foreclosure or when the borrower conveys all interest in the property to it through a deed in lieu of foreclosure or similar legal agreement. The Company's initial cost basis in REO is equal to the fair value of the real estate associated with the foreclosed mortgage loan, less expected costs to sell. REO valuations are reflected at the lower of cost or fair value. The fair value of such REO is typically based on management's estimates which generally use information including general economic data, BPOs, recent sales, property appraisals, and bids, and takes into account the expected costs to sell the property. REO recorded at fair value on a non-recurring basis are classified as Level 3. (K) Securities Sold Short : The Company may purchase or engage in short sales of U.S. Treasury securities and sovereign debt to mitigate the potential impact of changes in interest rates and/or foreign exchange rates on the performance of its portfolio. When the Company sells securities short, it typically satisfies its security delivery settlement obligation by borrowing or purchasing the security sold short from the same or a different counterparty. When borrowing a security sold short from a counterparty, the Company generally is required to deliver cash or securities to such counterparty as collateral for the Company's obligation to return the borrowed security. The Company has chosen to elect the FVO pursuant to ASC 825 for its securities sold short. Electing the FVO allows the Company to record changes in fair value in the Condensed Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. As such, securities sold short are recorded at fair value on the Condensed Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on the Condensed Consolidated Statement of Operations as a component of Unrealized gains (losses) on securities and loans, net. A realized gain or loss will be recognized upon the termination of a short sale if the market price is less or greater than the original sale price. Such realized gain or loss is recorded on the Company's Condensed Consolidated Statement of Operations in Realized gains (losses) on securities and loans, net. 15 Table of Contents (L) Financial Derivatives : The Company enters into various types of financial derivatives subject to its investment guidelines, which include restrictions associated with maintaining qualification as a REIT. The Company's financial derivatives are predominantly subject to bilateral master trade agreements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (the "Dodd-Frank Act"). The Company may be required to deliver or receive cash or securities as collateral upon entering into derivative transactions. In addition, changes in the value of derivative transactions may require the Company or the counterparty to post or receive additional collateral. In the case of cleared derivatives, the clearinghouse becomes the Company's counterparty and a futures commission merchant acts as an intermediary between the Company and the clearinghouse with respect to all facets of the related transaction, including the posting and receipt of required collateral. Cash collateral received by the Company is included in Due to brokers, on the Condensed Consolidated Balance Sheet. Conversely, cash collateral posted by the Company is included in Due from brokers, on the Condensed Consolidated Balance Sheet. The types of derivatives primarily utilized by the Company are swaps, TBAs, futures, options, and forwards. Swaps : The Company may enter into various types of swaps, including interest rate swaps, credit default swaps, and total return swaps. The primary risk associated with the Company's interest rate swap activity is interest rate risk. The primary risk associated with the Company's credit default swaps and total return swaps is credit risk. The Company is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Primarily to help mitigate interest rate risk, the Company enters into interest rate swaps. Interest rate swaps are contractual agreements whereby one party pays a floating interest rate on a notional principal amount and receives a fixed-rate payment on the same notional principal, or vice versa, for a fixed period of time. Interest rate swaps change in value with movements in interest rates. The Company also enters into interest rate swaps whereby the Company pays one floating rate and receives a different floating rate ("basis swaps"). The Company enters into credit default swaps. A credit default swap is a contract under which one party agrees to compensate another party for the financial loss associated with the occurrence of a "credit event" in relation to a "reference amount" or notional value of a "reference asset" (usually a bond or an index or basket of bonds). The definition of a credit event may vary from contract to contract. A credit event may occur (i) when the reference asset (or underlying asset, in the case of a reference asset that is an index or basket) fails to make scheduled principal or interest payments to its holders, (ii) with respect to credit default swaps referencing mortgage/asset-backed securities and indices, when the reference asset (or underlying asset, in the case of a reference asset that is an index or basket) is downgraded below a certain rating level, or (iii) with respect to credit default swaps referencing corporate entities and indices, upon the bankruptcy of the obligor of the reference asset (or underlying obligor, in the case of a reference asset that is an index). The Company typically writes (sells) protection to take a "long" position with respect to the underlying reference assets, or purchases (buys) protection to take a "short" position with respect to the underlying reference assets or to hedge exposure to other investment holdings. The Company enters into total return swaps in order to take a "long" or "short" position with respect to an underlying reference asset. The Company is subject to market price volatility of the underlying reference asset. A total return swap involves commitments to pay interest in exchange for a market-linked return based on a notional value. To the extent that the total return of the corporate debt, security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Company will receive a payment from or make a payment to the counterparty. Swaps change in value with movements in interest rates, credit quality, or total return of the reference securities. During the term of swap contracts, changes in value are recognized as unrealized gains or losses on the Condensed Consolidated Statement of Operations. When a contract is terminated, the Company realizes a gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company's basis in the contract, if any. Periodic payments or receipts required by swap agreements are recorded as unrealized gains or losses when accrued and realized gains or losses when received or paid. Upfront payments paid and/or received by the Company to open swap contracts are recorded as an asset and/or liability on the Condensed Consolidated Balance Sheet and are recorded as a realized gain or loss on the termination date. TBA Securities : The Company transacts in the forward settling TBA market. A TBA position is a forward contract for the purchase ("long position") or sale ("short position") of Agency RMBS at a predetermined price, face amount, issuer, coupon, and maturity on an agreed-upon future delivery date. For each TBA contract and delivery month, a uniform settlement date for all market participants is determined by the Securities Industry and Financial Markets Association. The specific Agency RMBS to be delivered into the contract at the settlement date are not known at the time of the transaction. The Company usually does not take delivery of TBAs, but rather enters into offsetting transactions and settles the associated receivable and payable balances with its counterparties. The Company uses TBAs to mitigate interest rate risk, usually by taking short positions. The Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for speculative purposes, including holding long positions. 16 Table of Contents TBAs are accounted for by the Company as financial derivatives. The difference between the forward contract price and the market value of the TBA position as of the reporting date is included in Unrealized gains (losses) on financial derivatives, net, on the Condensed Consolidated Statement of Operations. Futures Contracts : A futures contract is an exchange-traded agreement to buy or sell an asset for a set price on a future date. The Company enters into Eurodollar and/or U.S. Treasury security futures contracts to hedge its interest rate risk. The Company may also enter into various other futures contracts, including equity index futures and foreign currency futures. Initial margin deposits are made upon entering into futures contracts and can generally be either in the form of cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by marking-to-market to reflect the current market value of the contract. Variation margin payments are made or received periodically, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. Options : The Company may purchase or write put or call options contracts or enter into swaptions. The Company enters into options contracts typically to help mitigate overall market, credit, or interest rate risk depending on the type of options contract. However, the Company also enters into options contracts from time to time for speculative purposes. When the Company purchases an options contract, the option asset is initially recorded at an amount equal to the premium paid, if any, and is subsequently marked-to-market. Premiums paid for purchasing options contracts that expire unexercised are recognized on the expiration date as realized losses. If an options contract is exercised, the premium paid is subtracted from the proceeds of the sale or added to the cost of the purchase to determine whether the Company has realized a gain or loss on the related transaction. When the Company writes an options contract, the option liability is initially recorded at an amount equal to the premium received, if any, and is subsequently marked-to-market. Premiums received for writing options contracts that expire unexercised are recognized on the expiration date as realized gains. If an options contract is exercised, the premium received is subtracted from the cost of the purchase or added to the proceeds of the sale to determine whether the Company has realized a gain or loss on the related investment transaction. When the Company enters into a closing transaction, the Company will realize a gain or loss depending upon whether the amount from the closing transaction is greater or less than the premiums paid or received. The Company may also enter into options contracts that contain forward-settling premiums. In this case, no money is exchanged upfront. Instead, the agreed-upon premium is paid by the buyer upon expiration of the option, regardless of whether or not the option is exercised. Forward Currency Contracts : A forward currency contract is an agreement between two parties to purchase or sell a specific quantity of currency with the delivery and settlement at a specific future date and exchange rate. During the period the forward currency contract is open, changes in the value of the contract are recognized as unrealized gains or losses. When the contract is settled, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. Financial derivative assets are included in Financial derivatives—assets, at fair value, on the Condensed Consolidated Balance Sheet. Financial derivative liabilities are included in Financial derivatives—liabilities, at fair value, on the Condensed Consolidated Balance Sheet. The Company has chosen to elect the FVO pursuant to ASC 825 for its financial derivatives. Electing the FVO allows the Company to record changes in fair value in the Condensed Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. Changes in unrealized gains and losses on financial derivatives are included in Unrealized gains (losses) on financial derivatives, net, on the Condensed Consolidated Statement of Operations. Realized gains and losses on financial derivatives are included in Realized gains (losses) on financial derivatives, net, on the Condensed Consolidated Statement of Operations. (M) Intangible Assets : The Company has acquired intangible assets including internally developed software, trademarks, and customer relationships. Intangible assets are amortized over their expected useful lives on a straight-line basis. See Note 11 for additional details on the Company's intangible assets. (N) Cash and Cash Equivalents : Cash and cash equivalents include cash and short term investments with original maturities of three months or less at the date of acquisition. Cash and cash equivalents typically include amounts held in interest bearing overnight accounts and amounts held in money market funds, and these balances generally exceed insured limits. The Company holds its cash at institutions that it believes to be highly creditworthy. Restricted cash represents cash that the Company can use only for specific purposes. (O) Repurchase Agreements : The Company enters into repurchase agreements with third-party broker-dealers whereby it sells securities under agreements to be repurchased at an agreed-upon price and date. The Company accounts for repurchase agreements as collateralized borrowings, with the initial sale price representing the amount borrowed, and with the future repurchase price consisting of the amount borrowed plus interest, at the implied interest rate of the repurchase agreement, on the 17 Table of Contents amount borrowed over the term of the repurchase agreement. The interest rate on a repurchase agreement is based on competitive rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. When the Company enters into a repurchase agreement, the lender establishes and maintains an account containing cash and/or securities having a value not less than the repurchase price, including accrued interest, of the repurchase agreement. Repurchase agreements are carried at their contractual amounts, which approximate fair value as the debt is short-term in nature. (P) Reverse Repurchase Agreements : The Company enters into reverse repurchase agreement transactions whereby it purchases securities under agreements to resell at an agreed-upon price and date. In general, securities received pursuant to reverse repurchase agreements are delivered to counterparties of short sale transactions. The interest rate on a reverse repurchase agreement is based on competitive rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. Assets held pursuant to reverse repurchase agreements are reflected as assets on the Condensed Consolidated Balance Sheet. Reverse repurchase agreements are carried at their contractual amounts, which approximates fair value due to their short-term nature. Repurchase and reverse repurchase agreements that are conducted with the same counterparty may be reported on a net basis if they meet the requirements of ASC 210-20, Balance Sheet Offsetting . There are no repurchase and reverse repurchase agreements reported on a net basis in the Company's consolidated financial statements. (Q) Transfers of Financial Assets : The Company enters into transactions whereby it transfers financial assets to third parties. Upon such a transfer of financial assets, the Company will sometimes retain or acquire interests in the related assets. The Company evaluates transferred assets pursuant to ASC 860-10, Transfers of Financial Assets ("ASC 860-10") which requires that a determination be made as to whether a transferor has surrendered control over transferred financial assets. That determination must consider the transferor's continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. When a transfer of financial assets does not qualify as a sale, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral. ASC 860-10 is a standard that requires the Company to exercise significant judgment in determining whether a transaction should be recorded as a "sale" or a "financing." (R) Variable Interest Entities : VIEs are entities in which: (i) the equity investors do not have the characteristics of a controlling financial interest, or (ii) there is insufficient equity to permit the entity to finance its activities without additional subordinated financial support from other parties. Consolidation of a VIE is required by the entity that is deemed to be the primary beneficiary of the VIE. The Company evaluates all of its interests in VIEs for consolidation under ASC 810. The primary beneficiary is generally the party with both (i) the power to direct the activities of the VIE that most significantly impact its economic performance, and (ii) the obligation to absorb losses and the right to receive benefits from the VIE which could be potentially significant to the VIE. When the Company has an interest in an entity that has been determined to be a VIE, the Company assesses whether it is deemed to be the primary beneficiary of the VIE. The Company will only consolidate a VIE for which it has concluded it is the primary beneficiary. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE's economic performance, the Company considers all facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes (i) identifying the activities that most significantly impact the VIE's economic performance; and (ii) identifying which party, if any, has power over those activities. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, it considers all of its economic interests, including debt and/or equity investments, as well as other arrangements deemed to be variable interests in the VIE. These assessments to determine whether the Company is the primary beneficiary require significant judgment. In instances where the Company and its related parties have interests in a VIE, the Company considers whether there is a single party in the related party group that meets the criteria to be deemed the primary beneficiary. If one party within the related party group meets such criteria, that reporting entity would be deemed to be the primary beneficiary of the VIE and no further analysis is needed. If no party within the related party group on its own meets the criteria to be deemed the primary beneficiary, but the related party group as a whole meets such criteria, the determination of the primary beneficiary within the related party group requires significant judgment. The Company performs analysis, which is based upon qualitative as well as quantitative factors, such as the relationship of the VIE to each of the members of the related party group, as well as the significance of the VIE's activities to those members, with the objective of determining which party is most closely associated with the VIE. The Company performs ongoing reassessments of (i) whether any entities previously evaluated have become VIEs, based on certain events, and therefore subject to assessment to determine whether consolidation is appropriate, and (ii) whether changes in the facts and circumstances regarding the Company's involvement with a VIE causes its consolidation conclusion regarding the VIE to change. See Note 12, Note 13, and Note 16 for further information on the Company's investments in VIEs. 18 Table of Contents The Company's maximum amount at risk is generally limited to the Company's investment in the VIE. The Company is generally not contractually required to provide and has not provided any form of financial support to the VIEs. The Company holds beneficial interests in certain securitization trusts that are considered VIEs. The beneficial interests in these securitization trusts are represented by certificates issued by the trusts. The securitization trusts have been structured as pass-through entities that receive principal and interest payments on the underlying collateral and distribute those payments to the certificate holders, which include both third-party investors and the Company. The certificates held by the Company typically include some or all of the most subordinated tranches. The assets held by the trusts are restricted in that they can only be used to fulfill the obligations of the related trust. In certain cases, the design and structure of the securitization trust is such that the Company effectively retains control of the assets as well as the activities that most significantly impact the economic performance of the trust. In such cases, the Company is determined to be the primary beneficiary, and the Company consolidates the trust and all intercompany transactions are eliminated in consolidation. In cases where the Company does not effectively retain control of the assets of, or have the power to direct the activities that most significantly impact the economic performance of, the related trust, it does not consolidate the trust. See Note 13 for further discussion of the Company's securitization trusts. (S) Offering Costs/Underwriters' Discount : Offering costs and underwriters' discount are generally charged against stockholders' equity upon the completion of a capital raise. Offering costs typically include legal, accounting, and other fees associated with the cost of raising capital. (T) Debt Issuance Costs : Debt issuance costs associated with debt for which the Company has elected the FVO are expensed at the issuance of the debt, and are included in Investment related expenses—Other on the Condensed Consolidated Statement of Operations. Costs associated with the issuance of debt for which the Company has not elected the FVO are deferred and amortized over the life of the debt, which approximates the effective interest rate method, and are included in Interest expense on the Condensed Consolidated Statement of Operations. Deferred debt issuance costs are presented on the Condensed Consolidated Balance Sheet as a direct deduction from the related debt liability, unless such deferred debt issuance costs are associated with borrowing facilities that are expected to have a future benefit, such as giving the Company the ability to access additional borrowings over the contractual term of the debt, in which case such deferred debt issuance costs are included in Other assets on the Condensed Consolidated Balance Sheet. Debt issuance costs include legal and accounting fees, purchasers' or underwriters' discount, as well as other fees associated with the cost of the issuance of the related debt. (U) Expenses : Expenses are recognized as incurred on the Condensed Consolidated Statement of Operations. (V) Leases : The Company accounts for its leases under ASU 842, Leases ("ASC 842") using a right-of-use ("ROU") model, which recognizes that, at the date of commencement, a lessee has a financial obligation to make lease payments to the lessor for the right to use the underlying asset during the lease term. For each lease with a term greater than one year the Company recognizes a ROU asset as well as a lease liability, which is included in Other assets and Accrued expenses and other liabilities, respectively, on the Condensed Consolidated Balance Sheet. Operating lease liabilities and their corresponding ROU assets are recorded based on the present value of lease payments over the expected remaining lease term. The interest rate implicit in lease contracts is typically not readily determinable, and as a result, the Company utilizes an incremental borrowing rate, which reflects the fixed rate at which the Company could borrow on a collateralized basis the amount of the lease payments for a similar term. Lease expense for lease payments is recognized on a straight-line basis over the lease term. (W) Investment Related Expenses : Investment related expenses consist of expenses directly related to specific financial instruments. Such expenses generally include dividend expense on common stock sold short, servicing fees and corporate and escrow advances on mortgage and consumer loans, loan origination fees, and various other expenses and fees related directly to the Company's financial instruments. The Company has elected the FVO for its investments, and as a result all investment related expenses are expensed as incurred and included in Investment related expenses on the Condensed Consolidated Statement of Operations. (X) Investment Related Receivables : Investment related receivables on the Company's Condensed Consolidated Balance Sheet includes receivables for securities sold and interest and principal receivable on securities and loans. (Y) Share Based Compensation : The Company applies the provisions of ASC 718, Compensation—Stock Compensation ("ASC 718"), with regard to its equity incentive plans. ASC 718 covers a wide range of share-based compensation arrangements including share options, restricted share plans, performance-based awards, share appreciation rights, and employee share purchase plans. ASC 718 requires that compensation cost relating to share-based payment transactions be recognized in the financial statements. The cost is measured based on the fair value, at the grant date, of the equity or liability instruments issued and is amortized over the vesting period. 19 Table of Contents Long term incentive plan units of the Operating Partnership ("OP LTIP Units") have been issued to certain Ellington and Longbridge personnel dedicated or partially dedicated to the Company, certain of the Company's directors, as well as the Manager. Additionally, the Company has issued restricted shares of common stock in exchange for unvested OP LTIP Units. Costs associated with OP LTIP Units and restricted shares of common stock ("Restricted Shares") issued to dedicated or partially dedicated personnel, or to the Company's directors, are measured as of the grant date based on the Company's closing stock price on the New York Stock Exchange and are amortized over the vesting period in accordance with ASC 718-10, Compensation—Stock Compensation . The vesting periods for OP LTIP Units and Restricted Shares are typically one year from issuance for non-executive directors, and are typically one year to two years from issuance for dedicated or partially dedicated personnel. Forfeited shares decrease the total number of shares issued and outstanding and are immediately retired upon settlement. (Z) Non-controlling interests : Non-controlling interests include interests in the Operating Partnership represented by units convertible into shares of the Company's common stock ("Convertible Non-controlling Interests"). Convertible Non-controlling Interests include both the OP LTIP Units and those common units ("OP Units") of the Operating Partnership not held by the Company (collectively, the "Convertible Non-controlling Interest Units"). Non-controlling interests also include the interests of joint venture partners in certain of the Company's consolidated subsidiaries. The joint venture partners' interests are not convertible into shares of the Company's common stock. The Company adjusts the Convertible Non-controlling Interests to align their carrying value with their share of total outstanding Operating Partnership units, including both the OP Units held by the Company and the Convertible Non-controlling Interests. Any such adjustments are reflected in Adjustment to non-controlling interests, on the Condensed Consolidated Statement of Changes in Equity. See Note 18 for further discussion of non-controlling interests. (AA) Dividends : Dividends payable on shares of common stock and Convertible Non-controlling Interest Units are recorded on the declaration date. Dividends on shares of preferred stock are accrued daily based on contractual rates. (AB) Shares Repurchased : Shares of common stock that are repurchased by the Company subsequent to issuance are immediately retired upon settlement and decrease the total number of shares of common stock issued and outstanding. The cost of such repurchases is charged against Additional paid-in-capital on the Company's Condensed Consolidated Balance Sheet. (AC) Earnings Per Share ("EPS") : Basic EPS is computed using the two class method by dividing net income (loss) after adjusting for the impact of Convertible Non-controlling Interests which are participating securities, by the weighted average number of shares of common stock outstanding calculated including Convertible Non-controlling Interests. Because the Company's Convertible Non-controlling Interests are participating securities, they are included in the calculation of both basic and diluted EPS. (AD) Foreign Currency : The functional currency of the Company is U.S. dollars. Assets and liabilities denominated in foreign currencies are remeasured into U.S. dollars at current exchange rates at the following dates: (i) assets, liabilities, and unrealized gains/losses—at the valuation date; and (ii) income, expenses, and realized gains/losses—at the accrual/transaction date. The Company isolates the portion of realized and change in unrealized gain (loss) resulting from changes in foreign currency exchange rates on investments and financial derivatives from the fluctuations arising from changes in fair value of investments and financial derivatives held. Changes in realized and change in unrealized gain (loss) due to foreign currency are included in Other, net, on the Condensed Consolidated Statement of Operations. The Company's reporting currency is U.S. Dollars. If the Company has investments in unconsolidated entities that have a functional currency other than U.S. Dollars, the fair value is translated to U.S. dollars using the current exchange rate at the valuation date. The cumulative remeasurement adjustment, if any, associated with the Company's investments in unconsolidated entities is recorded in accumulated other comprehensive income (loss), a component of consolidated stockholders' equity. (AE) Income Taxes : The Company has elected to be taxed as a REIT under Sections 856 through 860 of the Code. As a REIT, the Company is generally not subject to federal and state income tax to the extent it distributes its taxable income to its stockholders within the prescribed timeframes. To qualify as a REIT, the Company must meet a number of organizational and operational requirements, including distributing at least 90% of its annual taxable income to stockholders. Even if the Company qualifies as a REIT, it may be subject to certain federal, state, local, and foreign taxes on its income and property. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state, and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT. As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for deficiency dividends) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% federal 20 Table of Contents excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax. The Company elected to treat certain domestic and foreign subsidiaries as TRSs, and may elect to treat other current or future subsidiaries as TRSs. In general, a TRS may hold assets and engage in any real estate or non-real estate-related activities that the Company cannot hold or engage in directly. A domestic TRS may, but is not required to, declare dividends to the Company; such dividends will be included in the Company's taxable income/(loss) and may necessitate a distribution to the Company's stockholders. Conversely, if the Company retains earnings at the level of a domestic TRS, such earnings will increase the book equity of the consolidated entity. A domestic TRS is subject to U.S. federal, state, and local corporate income taxes. The Company has elected and may elect in the future to treat certain of its foreign corporate subsidiaries as TRSs and, accordingly, taxable income generated by these TRSs may not be subject to U.S. federal, state, and local corporate income taxation, but generally will be included in the Company's income on a current basis as Subpart F income, whether or not distributed. The Company's foreign subsidiaries may be subject to income taxes in their relevant foreign jurisdictions. The Company's financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation. The Company follows the authoritative guidance on accounting for and disclosure of uncertainty on tax positions, which requires management to determine whether a tax position of the Company is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. For uncertain tax positions, the tax benefit to be recognized is measured as the largest amount of benefit that is more than 50% likely to be realized upon ultimate settlement. The Company did not have any unrecognized tax benefits resulting from tax positions related to the current period, or its open tax years (2021, 2022, 2023, and 2024). In the normal course of business, the Company may be subject to examination by federal, state, local, and foreign jurisdictions, where applicable, for the current period and its open tax years. The Company may take positions with respect to certain tax issues which depend on legal interpretation of facts or applicable tax regulations. Should the relevant tax regulators successfully challenge any of such positions, the Company might be found to have a tax liability that has not been recorded in the accompanying consolidated financial statements. Also, management's conclusions regarding the authoritative guidance may be subject to review and adjustment at a later date based on changing tax laws, regulations, and interpretations thereof. The Company recognizes interest and penalties, if any, related to uncertain tax positions, as income tax expense included in Income tax expense (benefit) on the Condensed Consolidated Statement of Operations. (AF) Business Combinations : In accordance with ASC 805, Business Combinations ("ASC 805"), the Company applies the acquisition method to transactions in which it obtains control over one or more other businesses. Assets acquired and liabilities assumed are measured at fair value as of the acquisition date. Goodwill is recognized if the consideration transferred exceeds the fair value of the net assets acquired. Alternatively, a bargain purchase gain is recognized if the fair value of the net assets acquired exceeds the consideration transferred. (AG) Recent Accounting Pronouncements: In November 2024, the FASB issued ASU 2024-03, Disaggregation of Income Statement Expenses (" ASU 2024-03"). ASU 2024-03 requires public entities to provide tabular disclosure of certain expenses including, employee compensation, depreciation, intangible asset amortization, and/or depreciation, on an interim and annual basis, in the notes to the financial statements. ASU 2024-03 is effective for annual periods beginning after December 15, 2026, and interim periods in fiscal years beginning after December 15, 2027, with early adoption permitted. ASU 2024-03 should be applied either a prospective basis to financial statements issued for reporting periods after the effective date of ASU 2024-03 or retrospectively to any or all prior periods presented in the financial statements. ASU 2023-09 is not expected to have a material impact on the Company's consolidated financial statements. In December 2023, the FASB issued ASU 2023-09, Improvements to Income Tax Disclosures ("ASU 2023-09") which requires disaggregated information about a reporting entities effective tax rate reconciliation as well as information on income taxes paid. ASU 2023-09 is effective for annual periods beginning after December 15, 2024, with early adoption permitted. ASU 2023-09 will be applied on a prospective basis with the option to apply ASU 2023-09 retrospectively. ASU 2023-09 is not expected to have a material impact on the Company's consolidated financial statements. 21 Table of Contents 3. Valuation The tables below reflect the value of the Company's Level 1, Level 2, and Level 3 financial instruments that are measured at fair value on a recurring basis as of September 30, 2025 and December 31, 2024: September 30, 2025: Description Level 1 Level 2 Level 3 Total (In thousands) Assets: Securities, at fair value: Agency RMBS $ — $ 211,988 $ 8,755 $ 220,743 Non-Agency RMBS — 148,719 262,571 411,290 CMBS — 8,944 22,171 31,115 CLOs — 49,752 32,673 82,425 Asset-backed securities, backed by consumer loans — — 54,057 54,057 Other ABS — — 33,523 33,523 Corporate debt securities — — 14,153 14,153 Corporate equity securities 775 — 10,727 11,502 U.S. Treasury securities — 51,043 — 51,043 Loans, at fair value: Residential mortgage loans — — 3,234,797 3,234,797 Commercial mortgage loans — — 545,674 545,674 Consumer loans — — 208 208 Corporate loans — — 18,304 18,304 Reverse mortgage loans — — 11,732,316 11,732,316 Forward MSR-related investments, at fair value 74,694 74,694 MSRs, at fair value — — 29,055 29,055 Loan purchase commitments, at fair value — — 10 10 Loan commitments, at fair value — — 8,827 8,827 Investment in unconsolidated entities, at fair value — — 287,686 287,686 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed indices — 2,033 — 2,033 Credit default swaps on corporate bond indices — 13,412 — 13,412 Interest rate swaps — 129,663 — 129,663 TBAs — 605 — 605 Futures 1,810 — — 1,810 Forwards — 55 — 55 Total return swaps — — 13 13 Options 3,563 — — 3,563 Warrants — 1 — 1 Total assets $ 6,148 $ 616,215 $ 16,370,214 $ 16,992,577 22 Table of Contents Description Level 1 Level 2 Level 3 Total (continued) (In thousands) Liabilities: Securities sold short, at fair value: Government debt $ — $ ( 234,046 ) $ — $ ( 234,046 ) Financial derivatives–liabilities, at fair value: Credit default swaps on asset-backed securities — — ( 3 ) ( 3 ) Credit default swaps on corporate bonds — ( 177 ) — ( 177 ) Credit default swaps on corporate bond indices — ( 26,979 ) — ( 26,979 ) Interest rate swaps — ( 31,677 ) — ( 31,677 ) TBAs — ( 1,921 ) — ( 1,921 ) Futures ( 6 ) — — ( 6 ) Other secured borrowings, at fair value — — ( 2,213,994 ) ( 2,213,994 ) HMBS-related obligations, at fair value — — ( 10,117,649 ) ( 10,117,649 ) Unsecured borrowings, at fair value — — ( 251,927 ) ( 251,927 ) Total liabilities $ ( 6 ) $ ( 294,800 ) $ ( 12,583,573 ) $ ( 12,878,379 ) December 31, 2024: Description Level 1 Level 2 Level 3 Total (In thousands) Assets: Securities, at fair value: Agency RMBS $ — $ 286,057 $ 10,660 $ 296,717 Non-Agency RMBS — 56,455 153,188 209,643 CMBS — 17,807 21,399 39,206 CLOs — 44,740 22,678 67,418 Asset-backed securities, backed by consumer loans — — 60,227 60,227 Other ABS — — 35,483 35,483 Corporate debt securities — — 14,352 14,352 Corporate equity securities 2,926 — 9,759 12,685 U.S. Treasury securities — 226,523 — 226,523 Loans, at fair value: Residential mortgage loans — — 3,539,534 3,539,534 Commercial mortgage loans — — 350,515 350,515 Consumer loans — — 477 477 Corporate loans — — 11,767 11,767 Reverse mortgage loans — — 10,097,279 10,097,279 Forward MSR-related investments, at fair value — — 77,848 77,848 MSRs, at fair value — — 29,766 29,766 Loan commitments, at fair value — — 6,692 6,692 Investment in unconsolidated entities, at fair value — — 220,078 220,078 23 Table of Contents Description Level 1 Level 2 Level 3 Total (continued) (In thousands) Financial derivatives–assets, at fair value: Credit default swaps on asset-backed indices — 1,825 — 1,825 Credit default swaps on corporate bonds — 83 — 83 Interest rate swaps — 175,450 — 175,450 TBAs — 2,381 — 2,381 Warrants — 9 — 9 Futures 900 — — 900 Forwards — 320 — 320 Options 3,427 — — 3,427 Total assets $ 7,253 $ 811,650 $ 14,661,702 $ 15,480,605 Liabilities: Securities sold short, at fair value: Government debt $ — $ ( 293,574 ) $ — $ ( 293,574 ) Financial derivatives–liabilities, at fair value: Credit default swaps on asset-backed securities — — ( 3 ) ( 3 ) Credit default swaps on corporate bonds — ( 225 ) — ( 225 ) Credit default swaps on corporate bond indices — ( 33,207 ) — ( 33,207 ) Interest rate swaps — ( 35,039 ) — ( 35,039 ) TBAs — ( 2,417 ) — ( 2,417 ) Futures ( 130 ) — — ( 130 ) Forwards — ( 3 ) — ( 3 ) Loan purchase commitments, at fair value — — ( 1,602 ) ( 1,602 ) Other secured borrowings, at fair value — — ( 1,934,309 ) ( 1,934,309 ) HMBS-related obligations, at fair value — — ( 9,150,883 ) ( 9,150,883 ) Unsecured borrowings, at fair value — — ( 281,912 ) ( 281,912 ) Total liabilities $ ( 130 ) $ ( 364,465 ) $ ( 11,368,709 ) $ ( 11,733,304 ) 24 Table of Contents The tables below include roll-forwards of the Company's financial instruments for the three- and nine-month periods ended September 30, 2025 and 2024 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. Three-Month Period Ended September 30, 2025 (In thousands) Beginning Balance as of June 30, 2025 Accreted Discounts / (Amortized Premiums) Net Realized Gain/ (Loss) Change in Net Unrealized Gain/(Loss) Purchases/Payments (1) Sales/ Issuances (2) Transfers Into Level 3 Transfers Out of Level 3 Ending Balance as of September 30, 2025 Assets: Securities, at fair value: Agency RMBS $ 8,883 $ ( 438 ) $ ( 5 ) $ 138 $ 158 $ — $ 555 $ ( 536 ) $ 8,755 Non-Agency RMBS 258,932 ( 11,944 ) 690 ( 5,181 ) 63,690 ( 18,762 ) 6,129 ( 30,983 ) 262,571 CMBS 21,615 456 99 256 — ( 1,592 ) 1,337 — 22,171 CLOs 20,794 ( 857 ) 428 ( 834 ) 33,281 ( 20,139 ) — — 32,673 Asset-backed securities backed by consumer loans 55,186 ( 1,722 ) ( 1,042 ) 389 5,670 ( 4,424 ) — — 54,057 Other ABS 21,999 ( 1,277 ) 3,621 ( 586 ) 14,555 ( 4,789 ) — — 33,523 Corporate debt securities 13,607 — ( 261 ) ( 519 ) 2,898 ( 1,572 ) — — 14,153 Corporate equity securities 9,039 — — 756 932 — — — 10,727 Loans, at fair value: Residential mortgage loans 3,107,555 1,299 7,609 10,845 1,309,295 ( 1,201,806 ) — — 3,234,797 Commercial mortgage loans 435,222 ( 49 ) — 79 134,943 ( 24,521 ) — — 545,674 Consumer loans 271 ( 20 ) 26 ( 18 ) 11 ( 62 ) — — 208 Corporate loans 19,709 — — ( 11 ) 74,090 ( 75,484 ) — — 18,304 Reverse mortgage loans (3) 11,105,608 ( 179 ) — 223,787 634,152 ( 231,052 ) — — 11,732,316 Forward MSR-related investments, at fair value 81,256 2,622 — ( 2,160 ) — ( 7,024 ) — — 74,694 MSRs, at fair value (3) 29,276 — — ( 221 ) — — — — 29,055 Loan commitments, at fair value 8,785 — — 42 — — — — 8,827 Loan purchase commitments, at fair value 4,064 — — ( 4,054 ) — — — — 10 Investments in unconsolidated entities, at fair value 307,722 — 3,570 9,504 168,684 ( 201,794 ) — — 287,686 Financial derivatives–assets, at fair value: Total return swaps — — — 13 — — — — 13 Total assets, at fair value $ 15,509,523 $ ( 12,109 ) $ 14,735 $ 232,225 $ 2,442,359 $ ( 1,793,021 ) $ 8,021 $ ( 31,519 ) $ 16,370,214 Liabilities: Financial derivatives–liabilities, at fair value: Credit default swaps on asset-backed securities $ ( 3 ) $ — $ 1 $ — $ — $ ( 1 ) $ — $ — $ ( 3 ) Other secured borrowings, at fair value ( 2,127,225 ) ( 1,808 ) — ( 13,969 ) 49,807 ( 120,799 ) — — ( 2,213,994 ) Unsecured borrowings, at fair value ( 249,036 ) — — ( 2,891 ) — — — — ( 251,927 ) HMBS-related obligations, at fair value ( 9,814,811 ) — — ( 171,019 ) 232,526 ( 364,345 ) — — ( 10,117,649 ) Total liabilities, at fair value $ ( 12,191,075 ) $ ( 1,808 ) $ 1 $ ( 187,879 ) $ 282,333 $ ( 485,145 ) $ — $ — $ ( 12,583,573 ) (1) For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities. (2) For Investments in unconsolidated entities, at fair value and Forward MSR-related investments, at fair value, amount represents distributions received. (3) Change in net unrealized gain (loss) represents the net change in fair value which can include interest income and realized and unrealized gains and losses. 25 Table of Contents All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at September 30, 2025, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended September 30, 2025. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at September 30, 2025. (In thousands) Three-Month Period Ended September 30, 2025 Securities, at fair value $ ( 3,101 ) Loans, at fair value 232,291 Forward MSR-related investments, at fair value ( 2,160 ) MSRs, at fair value ( 221 ) Loan purchase commitments, at fair value ( 2,334 ) Loan commitments, at fair value 8,004 Investments in unconsolidated entities, at fair value 6,073 Financial derivatives-assets, at fair value 13 Other secured borrowings, at fair value ( 13,969 ) Unsecured borrowings, at fair value ( 2,890 ) HMBS-related obligations, at fair value ( 171,019 ) At September 30, 2025, the Company transferred $ 31.5 million of assets from Level 3 to Level 2 and $ 8.0 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources.` 26 Table of Contents Three-Month Period Ended September 30, 2024 (In thousands) Beginning Balance as of June 30, 2024 Accreted Discounts / (Amortized Premiums) Net Realized Gain/ (Loss) Change in Net Unrealized Gain/(Loss) Purchases/Payments (1) Sales/ Issuances (2) Transfers Into Level 3 Transfers Out of Level 3 Ending Balance as of September 30, 2024 Assets: Securities, at fair value: Agency RMBS $ 7,482 $ ( 317 ) $ 91 $ 586 $ 4,656 $ ( 983 ) $ 277 $ ( 256 ) $ 11,536 Non-Agency RMBS 84,811 ( 1,130 ) ( 326 ) 3,428 29,207 ( 19,579 ) 918 ( 9,452 ) 87,877 CMBS 18,245 197 157 406 — ( 3,483 ) 6,111 ( 2,240 ) 19,393 CLOs 35,697 ( 1,513 ) 363 ( 193 ) — ( 8,611 ) 2,103 ( 1,942 ) 25,904 Asset-backed securities backed by consumer loans 68,924 ( 1,304 ) ( 5,469 ) 2,869 7,113 ( 6,422 ) — — 65,711 Other ABS 31,196 ( 178 ) — 2,291 1,062 ( 1,884 ) — — 32,487 Corporate debt securities 15,066 — 637 ( 1,030 ) 6,232 ( 7,239 ) — — 13,666 Corporate equity securities 10,162 — — ( 98 ) 156 — — — 10,220 Loans, at fair value: Residential mortgage loans 3,101,615 ( 218 ) ( 7,250 ) 83,967 867,769 ( 427,650 ) — — 3,618,233 Commercial mortgage loans 266,220 31 — ( 1,775 ) 52,597 ( 23,811 ) — — 293,262 Consumer loans 949 ( 51 ) ( 9 ) ( 4 ) 13 ( 228 ) — — 670 Corporate loans 4,933 — — ( 1,188 ) 100 ( 100 ) — — 3,745 Reverse mortgage loans (3) 9,472,389 — ( 19 ) 180,728 478,484 ( 527,706 ) — — 9,603,876 Forward MSR-related investments, at fair value 158,031 4,041 — ( 4,521 ) — ( 7,720 ) — — 149,831 MSRs, at fair value (3) 29,538 — — ( 661 ) — — — — 28,877 Loan commitments, at fair value 5,623 — — 332 — — — — 5,955 Loan purchase commitments, at fair value 275 — — 1,073 — — — — 1,348 Investments in unconsolidated entities, at fair value 163,182 — — 7,281 56,785 ( 38,773 ) — — 188,475 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities 8 — — ( 2 ) — — — — 6 Total return swaps 3 — ( 4 ) ( 3 ) 5 ( 1 ) — — — Total assets, at fair value $ 13,474,349 $ ( 442 ) $ ( 11,829 ) $ 273,486 $ 1,504,179 $ ( 1,074,190 ) $ 9,409 $ ( 13,890 ) $ 14,161,072 Liabilities: Servicing liability, at fair value $ ( 232 ) $ — $ 590 $ ( 358 ) $ — $ — $ — $ — $ — Other secured borrowings, at fair value ( 1,585,838 ) ( 2,890 ) — ( 59,288 ) 41,442 ( 207,181 ) — — ( 1,813,755 ) Unsecured borrowings, at fair value ( 269,069 ) — — ( 9,059 ) — — — — ( 278,128 ) HMBS-related obligations, at fair value ( 8,832,058 ) — — ( 133,837 ) 527,944 ( 352,638 ) — — ( 8,790,589 ) Total liabilities, at fair value $ ( 10,687,197 ) $ ( 2,890 ) $ 590 $ ( 202,542 ) $ 569,386 $ ( 559,819 ) $ — $ — $ ( 10,882,472 ) (1) For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities. (2) For Investments in unconsolidated entities, at fair value, amount represents distributions from investments in unconsolidated entities. (3) Change in net unrealized gain (loss) represents the net change in fair value which can include interest income and realized and unrealized gains and losses. All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at September 30, 2024, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended September 30, 2024. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at September 30, 2024. 27 Table of Contents (In thousands) Three-Month Period Ended September 30, 2024 Securities, at fair value $ 6,909 Loans, at fair value 261,765 Forward MSR-related investments, at fair value ( 4,521 ) MSRs, at fair value ( 661 ) Loan commitments, at fair value 332 Loan purchase commitments, at fair value 1,073 Investments in unconsolidated entities, at fair value 3,854 Financial derivatives-assets, at fair value ( 3 ) Other secured borrowings, at fair value ( 59,288 ) Unsecured borrowings, at fair value ( 9,059 ) HMBS-related obligations, at fair value ( 133,837 ) At September 30, 2024, the Company transferred $ 13.9 million of assets from Level 3 to Level 2 and $ 9.4 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. 28 Table of Contents Nine-Month Period Ended September 30, 2025 (In thousands) Beginning Balance as of December 31, 2024 Accreted Discounts / (Amortized Premiums) Net Realized Gain/ (Loss) Change in Net Unrealized Gain/(Loss) Purchases/Payments (1) Sales/ Issuances (2) Transfers Into Level 3 Transfers Out of Level 3 Ending Balance as of September 30, 2025 Assets: Securities, at fair value: Agency RMBS $ 10,660 $ ( 1,130 ) $ ( 16 ) $ 690 $ 1,161 $ ( 848 ) $ 2,151 $ ( 3,913 ) $ 8,755 Non-Agency RMBS 153,188 ( 31,114 ) 2,386 2,278 207,501 ( 52,511 ) 13,148 ( 32,305 ) 262,571 CMBS 21,399 903 ( 389 ) 108 — ( 4,169 ) 9,761 ( 5,442 ) 22,171 CLOs 22,678 ( 3,156 ) 574 ( 2,520 ) 44,405 ( 29,308 ) — — 32,673 Asset-backed securities backed by consumer loans 60,227 ( 5,193 ) ( 5,498 ) 1,365 19,294 ( 16,138 ) — — 54,057 Other ABS 35,483 ( 1,280 ) 6,936 ( 2,584 ) 16,603 ( 21,635 ) — — 33,523 Corporate debt securities 14,352 — ( 3 ) ( 1,015 ) 9,162 ( 8,343 ) — — 14,153 Corporate equity securities 9,759 — ( 348 ) 1,445 1,953 ( 2,082 ) — — 10,727 Loans, at fair value: Residential mortgage loans 3,539,534 767 18,893 54,683 3,225,311 ( 3,604,391 ) — — 3,234,797 Commercial mortgage loans 350,515 — ( 9,699 ) 11,803 290,452 ( 97,397 ) — — 545,674 Consumer loans 477 ( 100 ) 52 ( 41 ) 28 ( 208 ) — — 208 Corporate loans 11,767 — ( 1,644 ) 1,740 142,179 ( 135,738 ) — — 18,304 Reverse mortgage loans (3) 10,097,279 ( 312 ) — 613,060 1,659,036 ( 636,747 ) — — 11,732,316 Forward MSR-related investments, at fair value 77,848 8,203 — 9,836 — ( 21,193 ) — — 74,694 MSRs, at fair value (3) 29,766 — — ( 711 ) — — — — 29,055 Loan commitments, at fair value 6,692 — — 2,135 — — — — 8,827 Loan purchase commitments, at fair value — — — 10 — — — — 10 Investments in unconsolidated entities, at fair value 220,078 — 1,189 37,260 409,762 ( 380,603 ) — — 287,686 Financial derivatives–assets, at fair value: Total return swaps — — — 13 — — — — 13 Total assets, at fair value $ 14,661,702 $ ( 32,412 ) $ 12,433 $ 729,555 $ 6,026,847 $ ( 5,011,311 ) $ 25,060 $ ( 41,660 ) $ 16,370,214 Liabilities: Financial derivatives–liabilities, at fair value: Credit default swaps on asset-backed securities $ ( 3 ) $ — $ 1 $ — $ — $ ( 1 ) $ — $ — $ ( 3 ) Loan purchase commitments, at fair value ( 1,602 ) — — 1,602 — — — — — Other secured borrowings, at fair value ( 1,934,309 ) ( 5,101 ) — ( 75,298 ) 144,167 ( 343,453 ) — — ( 2,213,994 ) Unsecured borrowings, at fair value ( 281,912 ) — ( 1,383 ) ( 3,563 ) 34,931 — — — ( 251,927 ) HMBS-related obligations, at fair value ( 9,150,883 ) — — ( 460,701 ) 635,823 ( 1,141,888 ) — — ( 10,117,649 ) Total liabilities, at fair value $ ( 11,368,709 ) $ ( 5,101 ) $ ( 1,382 ) $ ( 537,960 ) $ 814,921 $ ( 1,485,342 ) $ — $ — $ ( 12,583,573 ) (1) For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities. (2) For Investments in unconsolidated entities, at fair value and Forward MSR-related investments, at fair value, amount represents distributions received. (3) Change in net unrealized gain (loss) represents the net change in fair value which can include interest income and realized and unrealized gains and losses. 29 Table of Contents All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at September 30, 2025, as well as Level 3 financial instruments disposed of by the Company during the nine-month period ended September 30, 2025. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at September 30, 2025. (In thousands) Nine-Month Period Ended September 30, 2025 Securities, at fair value $ 2,591 Loans, at fair value 650,936 Forward MSR-related investments, at fair value 9,836 MSRs, at fair value ( 711 ) Loan purchase commitments, at fair value 10 Loan commitments, at fair value 8,823 Investments in unconsolidated entities, at fair value 21,816 Financial derivatives-assets, at fair value 13 Other secured borrowings, at fair value ( 75,299 ) Unsecured borrowings, at fair value ( 4,717 ) HMBS-related obligations, at fair value ( 460,701 ) At September 30, 2025, the Company transferred $ 41.7 million of assets from Level 3 to Level 2 and $ 25.1 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. 30 Table of Contents Nine-Month Period Ended September 30, 2024 (In thousands) Beginning Balance as of December 31, 2023 Accreted Discounts / (Amortized Premiums) Net Realized Gain/ (Loss) Change in Net Unrealized Gain/(Loss) Purchases/Payments (1) Sales/Issuances (2) Transfers Into Level 3 Transfers Out of Level 3 Ending Balance as of September 30, 2024 Assets: Securities, at fair value: Agency RMBS $ 5,512 $ ( 688 ) $ 59 $ 207 $ 5,564 $ ( 1,114 ) $ 2,935 $ ( 939 ) $ 11,536 Non-Agency RMBS 155,240 ( 2,684 ) ( 4,186 ) 24,159 51,618 ( 121,468 ) 2,069 ( 16,871 ) 87,877 CMBS 14,143 635 294 ( 190 ) 6,092 ( 4,580 ) 6,963 ( 3,964 ) 19,393 CLOs 20,439 ( 2,189 ) ( 3,061 ) 905 69,421 ( 50,793 ) 3,711 ( 12,529 ) 25,904 Asset-backed securities backed by consumer loans 74,226 ( 5,129 ) ( 7,734 ) 2,949 23,212 ( 21,813 ) — — 65,711 Other ABS 7,696 ( 23 ) — 3,936 23,456 ( 2,578 ) — — 32,487 Corporate debt securities 8,041 — 160 ( 350 ) 15,641 ( 9,826 ) — — 13,666 Corporate equity securities 12,294 — 549 ( 605 ) 320 ( 2,338 ) — — 10,220 Loans, at fair value: Residential mortgage loans 3,093,912 ( 2,042 ) ( 12,716 ) 104,743 2,063,012 ( 1,628,676 ) — — 3,618,233 Commercial mortgage loans 266,595 31 ( 44 ) 43 268,006 ( 241,369 ) — — 293,262 Consumer loans 1,759 ( 286 ) 17 ( 1 ) 153 ( 972 ) — — 670 Corporate loans 5,819 — — ( 1,288 ) 828 ( 1,614 ) — — 3,745 Reverse mortgage loans (3) 8,938,551 — ( 19 ) 532,180 1,217,247 ( 1,084,083 ) — — 9,603,876 Forward MSR-related investments, at fair value 163,336 11,285 — ( 1,579 ) — ( 23,211 ) — — 149,831 MSRs, at fair value (3) 29,580 — — ( 703 ) — — — — 28,877 Servicing asset, at fair value 1,327 — 590 ( 1,917 ) — — — — — Loan commitments, at fair value 2,584 — — 3,371 — — — — 5,955 Loan purchase commitments, at fair value — — — 1,348 — — — — 1,348 Investments in unconsolidated entities, at fair value 116,414 — 7,948 13,601 244,116 ( 193,604 ) — — 188,475 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities 8 — ( 1 ) ( 2 ) 1 — — — 6 Total return swaps 6 — 33 ( 6 ) 6 ( 39 ) — — — Total assets, at fair value $ 12,917,482 $ ( 1,090 ) $ ( 18,111 ) $ 680,801 $ 3,988,693 $ ( 3,388,078 ) $ 15,678 $ ( 34,303 ) $ 14,161,072 Liabilities: Other secured borrowings, at fair value ( 1,424,668 ) ( 3,532 ) — ( 73,327 ) 115,638 ( 427,866 ) — — ( 1,813,755 ) Unsecured borrowings, at fair value ( 272,765 ) — — ( 5,363 ) — — — — ( 278,128 ) HMBS-related obligations, at fair value ( 8,423,235 ) — — ( 439,491 ) 1,075,499 ( 1,003,362 ) — — ( 8,790,589 ) Total liabilities, at fair value $ ( 10,120,668 ) $ ( 3,532 ) $ — $ ( 518,181 ) $ 1,191,137 $ ( 1,431,228 ) $ — $ — $ ( 10,882,472 ) (1) For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities. (2) For Investments in unconsolidated entities, at fair value, amount represents distributions received. (3) Change in net unrealized gain (loss) represents the net change in fair value which can include interest income and realized and unrealized gains and losses. 31 Table of Contents All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at September 30, 2024, as well as Level 3 financial instruments disposed of by the Company during the nine-month period ended September 30, 2024. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at September 30, 2024. (In thousands) Nine-Month Period Ended September 30, 2024 Securities, at fair value $ 11,552 Loans, at fair value 635,425 Forward MSR-related investments, at fair value ( 1,579 ) MSRs, at fair value ( 703 ) Loan purchase commitments, at fair value 1,348 Loan commitments, at fair value 3,371 Investments in unconsolidated entities, at fair value 6,055 Financial derivatives-assets, at fair value ( 2 ) Other secured borrowings, at fair value ( 73,327 ) Unsecured borrowings, at fair value ( 5,363 ) HMBS-related obligations, at fair value ( 439,491 ) At September 30, 2024, the Company transferred $ 34.3 million of assets from Level 3 to Level 2 and $ 15.7 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. The following table summarizes the estimated fair value of all other financial instruments not measured at fair value on a recurring basis as of September 30, 2025 and December 31, 2024: September 30, 2025 December 31, 2024 (In thousands) Fair Value Carrying Value Fair Value Carrying Value Other financial instruments Assets: Cash and cash equivalents $ 184,809 $ 184,809 $ 192,387 $ 192,387 Restricted cash 20,769 20,769 16,561 16,561 Due from brokers 40,714 40,714 22,186 22,186 Reverse repurchase agreements 365,716 365,716 336,743 336,743 Liabilities: Repurchase agreements 2,800,964 2,800,964 2,584,040 2,584,040 Other secured borrowings 189,203 189,203 253,300 253,300 Due to brokers 43,001 43,001 55,429 55,429 Cash and cash equivalents generally includes cash held in interest bearing overnight accounts, for which fair value equals the carrying value, and investments which are liquid in nature, such as investments in money market accounts or U.S. Treasury Bills, for which fair value equals the carrying value; such assets are considered Level 1. Restricted cash includes cash held in a segregated account for which fair value equals the carrying value; such assets are considered Level 1. Due from brokers and Due to brokers include collateral transferred to or received from counterparties, along with receivables and payables for open and/or closed derivative positions. These receivables and payables are short term in nature and any collateral transferred consists primarily of cash; fair value of these items is approximated by carrying value and such items are considered Level 1. The Company's reverse repurchase agreements, repurchase agreements, and other secured borrowings are carried at cost, which approximates fair value due to their short term nature. Reverse repurchase agreements, repurchase agreements, and other secured borrowings are classified as Level 2 based on the adequacy of the collateral and their short term nature. 32 Table of Contents The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of September 30, 2025: September 30, 2025: Fair Value Valuation Technique Unobservable Input Range Weighted Average Description Min Max (In thousands) Non-Agency RMBS $ 106,907 Market Quotes Non Binding Third-Party Valuation $ 0.41 $ 179.16 $ 65.61 155,664 Discounted Cash Flows 262,571 Yield 1.1 % 93.2 % 11.7 % Projected Collateral Prepayments 0.0 % 96.0 % 82.1 % Projected Collateral Losses 0.0 % 5.5 % 4.5 % Projected Collateral Recoveries 0.0 % 2.0 % 0.1 % Non-Agency CMBS 16,195 Market Quotes Non Binding Third-Party Valuation $ 5.88 $ 97.27 $ 62.48 5,976 Discounted Cash Flows 22,171 Yield 5.6 % 22.3 % 11.4 % Projected Collateral Losses 0.0 % 97.0 % 5.1 % Projected Collateral Recoveries 3.0 % 100.0 % 93.9 % CLOs 19,851 Market Quotes Non Binding Third-Party Valuation $ 20.35 $ 99.85 $ 83.35 12,822 Discounted Cash Flows 32,673 Yield 7.5 % 75.2 % 14.4 % Agency interest only RMBS 1,640 Market Quotes Non Binding Third-Party Valuation $ 1.81 $ 17.41 $ 3.80 7,115 Option Adjusted Spread ("OAS") 8,755 SOFR OAS (1) 179 3,261 606 Projected Collateral Prepayments 18.7 % 84.4 % 48.6 % ABS 23,978 Market Quotes Non Binding Third-Party Valuation $ 4.27 $ 97.00 $ 35.48 63,602 Discounted Cash Flows 87,580 Yield 4.6 % 24.0 % 10.5 % Projected Collateral Prepayments 0.0 % 89.1 % 25.7 % Projected Collateral Losses 0.0 % 36.7 % 18.5 % Corporate debt and equity 24,880 Discounted Cash Flows Yield 0.0 % 113.7 % 18.9 % Performing and re-performing residential mortgage loans 1,636,912 Discounted Cash Flows Yield 1.8 % 57.8 % 6.8 % Securitized residential mortgage loans (2)(3) 1,337,780 Market Quotes Non Binding Third-Party Valuation $ 0.50 $ 103.23 $ 89.35 77,659 Discounted Cash Flows 1,415,439 Yield 0.3 % 17.0 % 4.9 % Non-performing residential mortgage loans 182,446 Discounted Cash Flows Yield 0.0 % 101.4 % 9.6 % Recovery Amount — % 223.6 % 92.1 % Months to Resolution/Maturity 4.4 105.9 20.5 Performing commercial mortgage loans 484,948 Discounted Cash Flows Yield 8.3 % 11.2 % 9.8 % Non-performing commercial mortgage loans 60,726 Discounted Cash Flows Yield 9.8 % 13.4 % 11.2 % Recovery Amount 80.0 % 100.0 % 99.3 % Months to Resolution 2.0 15.0 4.7 33 Table of Contents Fair Value Valuation Technique Unobservable Input Range Weighted Average Description Min Max (continued) (In thousands) Consumer loans 208 Discounted Cash Flows Yield 9.0 % 13.7 % 12.0 % Projected Collateral Prepayments — % 20.9 % 9.1 % Projected Collateral Losses 0.7 % 95.0 % 22.3 % Corporate loans 18,304 Discounted Cash Flows Yield 6.9 % 34.0 % 15.6 % Reverse Mortgage Loans—HECM 10,333,607 Discounted Cash Flows Yield 2.7 % 6.2 % 4.2 % Conditional Prepayment Rate 2.0 % 39.5 % 7.6 % Reverse Mortgage Loans—HECM buyouts 36,915 Discounted Cash Flows Yield 7.7 % 11.4 % 9.7 % Months to Resolution 0.3 60.0 18.1 Reverse Mortgage Loans—Unsecuritized Proprietary 408,626 Discounted Cash Flows Yield 6.0 % 8.3 % 7.0 % Conditional Prepayment Rate 11.9 % 41.4 % 14.2 % Reverse Mortgage Loans—Securitized Proprietary (2) 953,169 Market Quotes Non Binding Third-Party Valuation $ 90.85 $ 115.41 $ 111.19 Yield 5.2 % 7.5 % 5.7 % Forward MSR-related investments 74,694 Discounted Cash Flows Yield 9.2 % 9.2 % 9.2 % Conditional Prepayment Rate 5.0 % 5.0 % 5.0 % MSRs 29,055 Discounted Cash Flows Yield 17.4 % 17.4 % 17.4 % Conditional Prepayment Rate 10.2 % 55.7 % 15.3 % Loan Purchase Commitments 10 Transaction Price Yield 6.4 % 6.6 % 6.6 % Loan Commitments 8,827 Discounted Cash Flows Pull-through rate 60.0 % 92.2 % 64.6 % Cost to originate 4.0 % 10.4 % 4.8 % Investment in unconsolidated entities—Loan origination and mortgage-related entities 67,943 Enterprise Value Equity Price-to-Book (4) 0.5x 2.0x 1.8x Investment in unconsolidated entities—Other 218,243 Enterprise Value Net Asset Value n/a n/a n/a Investment in unconsolidated entities—Loan origination-related entities 1,500 Recent Transactions Transaction Price n/a n/a n/a 287,686 Total return swaps 13 Discounted Cash Flows Yield 19.5 % 19.5 % 19.5 % Credit default swaps on asset-backed securities ( 3 ) Net Discounted Cash Flows Projected Collateral Prepayments 22.9 % 22.9 % 22.9 % Projected Collateral Losses 8.6 % 8.6 % 8.6 % Projected Collateral Recoveries 12.3 % 12.3 % 12.3 % Other secured borrowings, at fair value (2) ( 2,213,994 ) Market Quotes Non Binding Third-Party Valuation $ 0.50 $ 102.78 $ 93.07 Yield 5.2 % 8.6 % 6.0 % Projected Collateral Prepayments 12.5 % 100.0 % 86.8 % HMBS-related obligations, at fair value ( 10,117,649 ) Discounted Cash Flows Yield 2.6 % 6.1 % 4.0 % Conditional Prepayment Rate 6.8 % 39.5 % 7.6 % Unsecured borrowings, at fair value ( 251,927 ) Market Quotes Non Binding Third-Party Valuation $ 81.50 $ 97.04 $ 95.95 (1) Shown in basis points. (2) Securitized residential mortgage loans, Reverse Mortgage Loans—Securitized Proprietary, and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's CFEs as discussed in Note 2. (3) Includes $ 49.4 million of non-performing securitized residential mortgage loans. 34 Table of Contents (4) Represents an estimation of where market participants might value an enterprise on a price-to-book basis. For the range minimum, the range maximum, and the weighted average price-to-book ratio, excludes investments in unconsolidated entities with a total fair value of $ 0.6 million. Including such investments, the weighted average price-to-book ratio was 1.8 x . Third-party non-binding valuations are validated by comparing such valuations to internally generated prices based on the Company's or third-party models and, when available, to recent trading activity in the same or similar instruments. For those instruments valued using discounted and net discounted cash flows, collateral prepayments, losses, recoveries, and scheduled amortization are projected over the remaining life of the collateral and expressed as a percentage of the collateral's current principal balance. Averages are weighted based on the fair value of the related instrument. In the case of credit default swaps on asset-backed securities, averages are weighted based on each instrument's bond equivalent value. Bond equivalent value represents the investment amount of a corresponding position in the reference obligation, calculated as the difference between the outstanding principal balance of the underlying reference obligation and the fair value, inclusive of accrued interest, of the derivative contract. For those assets valued using the SOFR Option Adjusted Spread ("SOFR OAS") valuation methodology, cash flows are projected using the Company's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the SOFR rates implied by each interest rate scenario. The SOFR OAS of an asset is then computed as the unique constant yield spread that, when added to all SOFR rates in each interest rate scenario generated by the model, will equate (a) the expected present value of the projected asset cash flows over all model scenarios to (b) the actual current market price of the asset. SOFR OAS is therefore model-dependent. Generally speaking, SOFR OAS measures the additional yield spread over SOFR that an asset provides at its current market price after taking into account any interest rate optionality embedded in the asset. The Company considers the expected timeline to resolution in the determination of fair value for its non-performing commercial and residential mortgage loans. Material changes in any of the inputs above in isolation could result in a significant change to reported fair value measurements. Additionally, fair value measurements are impacted by the interrelationships of these inputs. For example, for instruments subject to prepayments and credit losses, such as non-Agency RMBS and consumer loans and ABS backed by consumer loans, a higher expectation of collateral prepayments will generally be accompanied by a lower expectation of collateral losses. Conversely, higher losses will generally be accompanied by lower prepayments. Because the Company's credit default swaps on asset-backed security holdings represent credit default swap contracts whereby the Company has purchased credit protection, such credit default swaps on asset-backed securities generally have the directionally opposite sensitivity to prepayments, losses, and recoveries as compared to the Company's long securities holdings. Prepayments do not represent a significant input for the Company's commercial mortgage-backed securities and commercial mortgage loans. Losses and recoveries do not represent a significant input for the Company's Agency RMBS interest only securities, given the guarantee of the issuing government agency or government-sponsored enterprise. 35 Table of Contents 4. Investment in Securities The Company's securities portfolio primarily consists of Agency RMBS, non-Agency RMBS, CMBS, CLOs, ABS and ABS backed by consumer loans, and corporate debt and equity. The following tables detail the Company's investment in securities as of September 30, 2025 and December 31, 2024. September 30, 2025: Gross Unrealized Weighted Average ($ in thousands) Current Principal Unamortized Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon (1)(2) Yield Life (Years) (3) Long: Agency RMBS: 15-year fixed-rate mortgages $ 5,588 $ ( 26 ) $ 5,562 $ 37 $ ( 106 ) $ 5,493 3.50 % 3.79 % 2.56 30-year fixed-rate mortgages 215,068 ( 279 ) 214,789 2,024 ( 15,145 ) 201,668 3.93 % 3.84 % 7.26 Reverse mortgages 923 36 959 — ( 44 ) 915 4.39 % 2.66 % 2.65 Interest only securities n/a n/a 11,201 1,654 ( 188 ) 12,667 1.13 % 12.17 % 6.87 Non-Agency RMBS 307,317 ( 77,252 ) 230,065 26,694 ( 6,060 ) 250,699 5.08 % 8.48 % 4.21 CMBS 70,771 ( 28,693 ) 42,078 1,258 ( 13,740 ) 29,596 3.75 % 10.45 % 4.25 Non-Agency interest only securities n/a n/a 167,639 9,943 ( 15,472 ) 162,110 0.60 % 19.59 % 2.89 CLOs n/a n/a 91,230 1,292 ( 10,097 ) 82,425 2.75 % 16.41 % 7.20 ABS 273,805 ( 244,923 ) 28,882 5,113 ( 472 ) 33,523 2.30 % 22.02 % 3.54 ABS backed by consumer loans 155,768 ( 94,371 ) 61,397 427 ( 7,767 ) 54,057 12.00 % 9.24 % 1.64 Corporate debt 52,082 ( 37,192 ) 14,890 935 ( 1,672 ) 14,153 0.10 % — % 2.28 Corporate equity n/a n/a 10,530 2,487 ( 1,515 ) 11,502 n/a n/a n/a U.S. Treasury securities 50,492 77 50,569 474 — 51,043 4.09 % 3.94 % 4.97 Total Long 1,131,814 ( 482,623 ) 929,791 52,338 ( 72,278 ) 909,851 4.78 % 10.42 % 4.79 Short: U.S. Treasury securities ( 230,202 ) ( 636 ) ( 230,838 ) 429 ( 939 ) ( 231,348 ) 4.02 % 3.95 % 7.14 European sovereign bonds ( 2,727 ) 38 ( 2,689 ) — ( 9 ) ( 2,698 ) 0.13 % 1.27 % 0.33 Total Short ( 232,929 ) ( 598 ) ( 233,527 ) 429 ( 948 ) ( 234,046 ) 3.97 % 3.92 % 7.07 Total $ 898,885 $ ( 483,221 ) $ 696,264 $ 52,767 $ ( 73,226 ) $ 675,805 4.64 % 9.07 % 5.26 (1) Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral. (2) Total long, total short, and total weighted average coupon exclude interest only securities, CLOs, and corporate equity. (3) Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. 36 Table of Contents December 31, 2024: Gross Unrealized Weighted Average ($ in thousands) Current Principal Unamortized Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon (1)(2) Yield Life (Years) (3) Long: Agency RMBS: 15-year fixed-rate mortgages $ 7,275 $ ( 34 ) $ 7,241 $ — $ ( 226 ) $ 7,015 3.51 % 3.72 % 2.74 30-year fixed-rate mortgages 264,915 239 265,154 574 ( 22,367 ) 243,361 4.08 % 3.94 % 7.59 Reverse mortgages 31,527 2,620 34,147 306 ( 1,329 ) 33,124 6.82 % 3.49 % 4.57 Interest only securities n/a n/a 12,430 1,295 ( 508 ) 13,217 1.11 % 11.57 % 7.01 Non-Agency RMBS 184,120 ( 68,364 ) 115,756 14,551 ( 6,716 ) 123,591 4.96 % 9.13 % 3.78 CMBS 81,490 ( 32,979 ) 48,511 1,697 ( 13,493 ) 36,715 3.89 % 10.98 % 4.53 Non-Agency interest only securities n/a n/a 83,215 9,745 ( 4,417 ) 88,543 0.77 % 15.56 % 5.17 CLOs n/a n/a 73,749 1,196 ( 7,527 ) 67,418 2.63 % 12.22 % 5.97 ABS 212,629 ( 184,370 ) 28,259 7,226 ( 2 ) 35,483 2.88 % 18.89 % 3.03 ABS backed by consumer loans 152,555 ( 83,622 ) 68,933 1,034 ( 9,740 ) 60,227 12.00 % 10.02 % 1.59 Corporate debt 47,416 ( 33,342 ) 14,074 1,276 ( 998 ) 14,352 0.11 % — % 2.57 Corporate equity n/a n/a 17,187 1,666 ( 6,168 ) 12,685 n/a n/a n/a U.S. Treasury securities 221,114 12,155 233,269 129 ( 6,875 ) 226,523 4.33 % 4.03 % 7.67 Total Long 1,203,041 ( 387,697 ) 1,001,925 40,695 ( 80,366 ) 962,254 4.95 % 7.47 % 5.88 Short: U.S. Treasury securities ( 273,989 ) 78 ( 273,911 ) 5,797 ( 9 ) ( 268,123 ) 4.11 % 4.08 % 6.92 European sovereign bonds ( 25,588 ) ( 2,158 ) ( 27,746 ) 2,295 — ( 25,451 ) 0.01 % 0.16 % 0.18 Total Short ( 299,577 ) ( 2,080 ) ( 301,657 ) 8,092 ( 9 ) ( 293,574 ) 3.76 % 3.72 % 6.34 Total $ 903,464 $ ( 389,777 ) $ 700,268 $ 48,787 $ ( 80,375 ) $ 668,680 4.77 % 6.58 % 5.99 (1) Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral. (2) Total long, total short, and total weighted average coupon excludes interest only securities, CLOs, and corporate equity. (3) Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. The following tables detail weighted average life of the Company's Agency RMBS as of September 30, 2025 and December 31, 2024. September 30, 2025: ($ in thousands) Agency RMBS Agency Interest Only Securities Estimated Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon (2) Fair Value Amortized Cost Weighted Average Coupon (2) Less than three years $ 4,736 $ 4,724 3.56 % $ 2,025 $ 1,731 1.19 % Greater than three years and less than seven years 75,084 76,567 5.04 % 4,687 4,170 1.71 % Greater than seven years and less than eleven years 128,256 140,019 3.33 % 5,955 5,300 0.81 % Total $ 208,076 $ 221,310 3.92 % $ 12,667 $ 11,201 1.13 % (1) Expected average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (2) Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral. 37 Table of Contents December 31, 2024: ($ in thousands) Agency RMBS Agency Interest Only Securities Estimated Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon (2) Fair Value Amortized Cost Weighted Average Coupon (2) Less than three years $ 7,194 $ 7,317 3.70 % $ 2,162 $ 1,976 1.05 % Greater than three years and less than seven years 101,099 103,721 5.84 % 4,516 4,497 1.60 % Greater than seven years and less than eleven years 175,207 195,504 3.61 % 5,973 5,419 0.95 % Greater than eleven years — — — % 566 538 0.56 % Total $ 283,500 $ 306,542 4.35 % $ 13,217 $ 12,430 1.11 % (1) Expected average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (2) Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral. The following tables detail weighted average life of the Company's long non-Agency RMBS, CMBS, and CLOs and other securities as of September 30, 2025 and December 31, 2024. September 30, 2025: ($ in thousands) Non-Agency RMBS and CMBS Non-Agency IOs CLOs and Other Securities (2) Estimated Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon (3) Fair Value Amortized Cost Weighted Average Coupon (3) Fair Value Amortized Cost Weighted Average Coupon (3) Less than three years $ 160,099 $ 144,218 4.28 % $ 128,691 $ 138,713 1.14 % $ 81,194 $ 92,110 4.91 % Greater than three years and less than seven years 61,984 59,784 5.85 % 17,367 18,527 0.15 % 62,217 62,596 3.40 % Greater than seven years and less than eleven years 35,950 46,745 4.69 % 15,791 10,199 0.14 % 40,747 41,693 2.84 % Greater than eleven years 22,262 21,396 6.97 % 261 200 1.24 % — — — % Total $ 280,295 $ 272,143 4.83 % $ 162,110 $ 167,639 0.60 % $ 184,158 $ 196,399 4.32 % (1) Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (2) Other Securities includes ABS and corporate debt. (3) Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral. December 31, 2024: ($ in thousands) Non-Agency RMBS and CMBS Non-Agency IOs CLOs and Other Securities (2) Estimated Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon (3) Fair Value Amortized Cost Weighted Average Coupon (3) Fair Value Amortized Cost Weighted Average Coupon (3) Less than three years $ 89,109 $ 89,208 4.34 % $ 5,907 $ 6,981 1.15 % $ 98,907 $ 104,737 4.70 % Greater than three years and less than seven years 46,255 40,565 6.20 % 60,096 60,809 1.63 % 54,378 55,864 5.97 % Greater than seven years and less than eleven years 18,933 28,703 3.31 % 22,238 15,198 0.15 % 24,195 24,414 1.09 % Greater than eleven years 6,009 5,791 6.95 % 302 227 1.24 % — — — % Total $ 160,306 $ 164,267 4.63 % $ 88,543 $ 83,215 0.77 % $ 177,480 $ 185,015 4.68 % (1) Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (2) Other Securities includes ABS and corporate debt. (3) Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral. 38 Table of Contents The following table details the components of interest income by security type for the three- and nine-month periods ended September 30, 2025 and 2024: Three-Month Period Ended (In thousands) September 30, 2025 September 30, 2024 Security Type Coupon Interest Net Amortization Interest Income Coupon Interest Net Amortization Interest Income Agency RMBS $ 3,342 $ ( 470 ) $ 2,872 $ 5,673 $ ( 239 ) $ 5,434 Non-Agency RMBS and CMBS 23,148 ( 11,412 ) 11,736 7,663 ( 1,053 ) 6,610 CLOs 2,940 ( 389 ) 2,551 5,719 ( 1,800 ) 3,919 Other securities (1) 6,299 ( 3,041 ) 3,258 7,934 293 8,227 Total $ 35,729 $ ( 15,312 ) $ 20,417 $ 26,989 $ ( 2,799 ) $ 24,190 (1) Other securities includes ABS, corporate debt and equity, and U.S. Treasury securities. Nine-Month Period Ended (In thousands) September 30, 2025 September 30, 2024 Security Type Coupon Interest Net Amortization Interest Income Coupon Interest Net Amortization Interest Income Agency RMBS $ 10,702 $ ( 850 ) $ 9,852 $ 21,470 $ ( 2,109 ) $ 19,361 Non-Agency RMBS and CMBS 57,825 ( 29,820 ) 28,005 22,468 ( 2,460 ) 20,008 CLOs 8,268 ( 2,519 ) 5,749 11,333 ( 3,280 ) 8,053 Other securities (1) 20,027 ( 6,715 ) 13,312 22,838 ( 5,442 ) 17,396 Total $ 96,822 $ ( 39,904 ) $ 56,918 $ 78,109 $ ( 13,291 ) $ 64,818 (1) Other securities includes ABS, corporate debt and equity, and U.S. Treasury securities. For the three-month periods ended September 30, 2025 and 2024, the Catch-Up Amortization Adjustment was $ 23 thousand and $ 0.5 million, respectively. For the nine-month periods ended September 30, 2025 and 2024, the Catch-Up Amortization Adjustment was $ 0.9 million and $( 0.1 ) million, respectively. The following tables present proceeds from sales and the resulting realized gains and (losses) of the Company's securities for the three- and nine-month periods ended September 30, 2025 and 2024. (In thousands) Three-Month Period Ended September 30, 2025 Three-Month Period Ended September 30, 2024 Security Type Proceeds (1) Gross Realized Gains Gross Realized Losses (2) Net Realized Gain (Loss) Proceeds (1) Gross Realized Gains Gross Realized Losses (2) Net Realized Gain (Loss) Agency RMBS 41,771 601 ( 705 ) ( 104 ) $ 72,827 $ 691 $ ( 2,863 ) $ ( 2,172 ) Non-Agency RMBS and CMBS 38,192 2,048 ( 228 ) 1,820 17,345 1,513 ( 849 ) 664 CLOs 24,887 504 — 504 8,459 863 ( 498 ) 365 Other securities (3) 199,404 5,563 ( 201 ) 5,362 74,965 3,710 ( 3,167 ) 543 Total 304,254 8,716 ( 1,134 ) 7,582 $ 173,596 $ 6,777 $ ( 7,377 ) $ ( 600 ) (1) Includes proceeds on sales of securities not yet settled as of period end. (2) Excludes realized losses of $( 1.8 ) million and $( 5.0 ) million for the three-month periods ended September 30, 2025 and 2024, respectively, related to adjustments to the cost basis of certain securities for which the Company has determined all or a portion of such securities' cost basis to be uncollectible. (3) Other securities includes ABS, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities. (In thousands) Nine-Month Period Ended September 30, 2025 Nine-Month Period Ended September 30, 2024 Security Type Proceeds (1) Gross Realized Gains Gross Realized Losses (2) Net Realized Gain (Loss) Proceeds (1) Gross Realized Gains Gross Realized Losses (2) Net Realized Gain (Loss) Agency RMBS $ 83,623 $ 1,050 $ ( 2,767 ) $ ( 1,717 ) $ 491,031 $ 1,835 $ ( 30,322 ) $ ( 28,487 ) Non-Agency RMBS and CMBS 83,281 9,312 ( 217 ) 9,095 235,160 10,055 ( 8,371 ) 1,684 CLOs 54,842 1,261 ( 1,118 ) 143 53,613 1,341 ( 613 ) 728 Other securities (3) 650,911 11,842 ( 8,700 ) 3,142 223,885 5,053 ( 4,677 ) 376 Total $ 872,657 $ 23,465 $ ( 12,802 ) $ 10,663 $ 1,003,689 $ 18,284 $ ( 43,983 ) $ ( 25,699 ) (1) Includes proceeds on sales of securities not yet settled as of period end. (2) Excludes realized losses of $( 8.1 ) million and $( 15.8 ) million, for the nine-month periods ended September 30, 2025 and 2024, respectively, related to adjustments to the cost basis of certain securities for which the Company has determined all or a portion of such securities' cost basis to be uncollectible. (3) Other securities includes ABS, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities. 39 Table of Contents The following tables present the fair value and gross unrealized losses of the Company's long securities, excluding those where there are expected credit losses as of the balance sheet date in relation to such securities' cost basis, by length of time that such securities have been in an unrealized loss position at September 30, 2025 and December 31, 2024. September 30, 2025: (In thousands) Less than 12 Months Greater than 12 Months Total Security Type Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Agency RMBS $ 10,212 $ ( 173 ) $ 115,690 $ ( 15,140 ) $ 125,902 $ ( 15,313 ) Non-Agency RMBS and CMBS 36,683 ( 2,435 ) 11,181 ( 2,101 ) 47,864 ( 4,536 ) Other securities (1) 6,415 ( 903 ) 4,862 ( 994 ) 11,277 ( 1,897 ) Total $ 53,310 $ ( 3,511 ) $ 131,733 $ ( 18,235 ) $ 185,043 $ ( 21,746 ) (1) Other securities includes ABS, U.S. Treasury securities, and corporate debt and equity securities. December 31, 2024: (In thousands) Less than 12 Months Greater than 12 Months Total Security Type Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Agency RMBS $ 70,028 $ ( 1,429 ) $ 153,009 $ ( 22,640 ) $ 223,037 $ ( 24,069 ) Non-Agency RMBS and CMBS 4,600 ( 210 ) 3,266 ( 593 ) 7,866 ( 803 ) CLOs 17,505 ( 633 ) 5 — 17,510 ( 633 ) Other securities (1) 209,184 ( 7,452 ) 5,716 ( 5,591 ) 214,900 ( 13,043 ) Total $ 301,317 $ ( 9,724 ) $ 161,996 $ ( 28,824 ) $ 463,313 $ ( 38,548 ) (1) Other securities includes ABS, U.S. Treasury securities, and corporate debt and equity securities. As described in Note 2, the Company evaluates the cost basis of its securities for impairment on at least a quarterly basis. As of September 30, 2025 and December 31, 2024, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $ 38.1 million and $ 29.7 million, respectively, related to adverse changes in estimated future cash flows on its securities. The Company has determined for certain securities that a portion of such securities' cost basis is not collectible. For the three-month periods ended September 30, 2025 and 2024, the Company recognized realized losses on these securities of $( 1.8 ) million and $( 5.0 ) million, respectively. For the nine-month periods ended September 30, 2025 and 2024, the Company recognized realized losses on these securities of $( 8.1 ) million and $( 15.8 ) million, respectively. Such losses are reflected in Net realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. 5. Investment in Loans The Company invests in various types of loans, such as residential mortgage, commercial mortgage, consumer, corporate, and reverse mortgage loans. As discussed in Note 2, the Company has elected the FVO for its investments in loans. The following table is a summary of the Company's investments in loans as of September 30, 2025 and December 31, 2024: (In thousands) September 30, 2025 December 31, 2024 Loan Type Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value Residential mortgage loans $ 3,338,338 $ 3,234,797 $ 3,689,355 $ 3,539,534 Commercial mortgage loans 546,466 545,674 370,658 350,515 Consumer loans 241 208 556 477 Corporate loans 18,563 18,304 11,767 11,767 Reverse mortgage loans 11,022,773 11,732,316 9,585,110 10,097,279 Total $ 14,926,381 $ 15,531,299 $ 13,657,446 $ 13,999,572 The Company is subject to credit risk in connection with its investments in loans. The two primary components of credit risk are default risk, which is the risk that a borrower fails to make scheduled principal and interest payments, and severity risk, which is the risk of loss upon a borrower default on a mortgage loan or other secured or unsecured loan. Severity risk includes the risk of loss of value of the property or other asset, if any, securing the loan, as well as the risk of loss associated with taking over the property or other asset, if any, including foreclosure costs. Credit risk in the loan portfolio can be amplified by exogenous shocks impacting borrowers, such as man-made or natural disasters. 40 Table of Contents The following table provides details, by loan type, for residential and commercial mortgage and consumer loans that are 90 days or more past due as of September 30, 2025 and December 31, 2024: September 30, 2025 December 31, 2024 (In thousands) Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value 90 days or more past due—non-accrual status Residential mortgage loans $ 261,621 $ 241,072 $ 239,156 $ 224,993 Commercial mortgage loans 61,453 60,726 56,476 37,558 Consumer loans 13 6 18 13 Residential Mortgage Loans The tables below detail certain information regarding the Company's residential mortgage loans as of September 30, 2025 and December 31, 2024. September 30, 2025: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (1) Residential mortgage loans, held-for-investment (2) $ 3,109,293 $ 32,459 $ 3,141,752 $ 9,996 $ ( 158,771 ) $ 2,992,977 7.17 % 6.17 % 4.39 Residential mortgage loans, held-for-sale $ 229,045 $ 8,972 $ 238,017 $ 3,996 $ ( 193 ) $ 241,820 7.63 % 6.67 % 4.82 Total residential mortgage loans $ 3,338,338 $ 41,431 $ 3,379,769 $ 13,992 $ ( 158,964 ) $ 3,234,797 7.20 % 6.20 % 4.42 (1) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. (2) Includes $ 1.386 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $( 139.6 ) million of gross unrealized losses. See Residential Mortgage Loan Securitizations in Note 13 for additional information. December 31, 2024: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (1) Residential mortgage loans, held-for-investment (2) $ 3,689,355 $ 50,288 $ 3,739,643 $ 11,535 $ ( 211,644 ) $ 3,539,534 7.69 % 6.70 % 4.64 (1) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. (2) Includes $ 1.449 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $( 184.8 ) million of gross unrealized losses. See Residential Mortgage Loan Securitizations in Note 13 for additional information. 41 Table of Contents The table below summarizes the geographic distribution of the real estate collateral underlying the Company's residential mortgage loans as a percentage of total outstanding unpaid principal balance as of September 30, 2025 and December 31, 2024: Property Location September 30, 2025 December 31, 2024 North America: United States: California 27.0 % 28.8 % Florida 18.5 % 19.6 % Texas 8.6 % 7.9 % New York 3.6 % 1.9 % New Jersey 3.5 % 2.6 % Utah 2.9 % 2.7 % Arizona 2.7 % 3.1 % Washington 2.6 % 2.4 % Pennsylvania 2.5 % 2.6 % Georgia 2.2 % 2.6 % North Carolina 2.2 % 2.1 % Colorado 2.1 % 1.9 % Illinois 2.0 % 2.1 % Massachusetts 1.7 % 1.5 % Oregon 1.6 % 1.4 % South Carolina 1.6 % 0.9 % Nevada 1.5 % 1.5 % Tennessee 1.5 % 1.4 % Connecticut 1.2 % 1.1 % Ohio 0.8 % 1.1 % Virginia 0.8 % 1.0 % Maryland 0.7 % 1.2 % Other 7.0 % 7.4 % 98.8 % 98.8 % Europe: United Kingdom 1.2 % 1.2 % 100.0 % 100.0 % The following table presents information on the Company's non-performing and re-performing residential mortgage loans, as of September 30, 2025 and December 31, 2024. September 30, 2025 December 31, 2024 (In thousands) Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value Re-performing $ 22,583 $ 21,715 $ 24,640 $ 22,845 Non-performing 252,046 231,817 229,140 215,736 As described in Note 2, the Company evaluates the cost basis of its residential mortgage loans for impairment on at least a quarterly basis. As of September 30, 2025 and December 31, 2024, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $ 160.5 million and $ 121.5 million, respectively. 42 Table of Contents Commercial Mortgage Loans The tables below detail certain information regarding the Company's commercial mortgage loans as of September 30, 2025 and December 31, 2024: September 30, 2025: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield (1) Life (Years) (2) Commercial mortgage loans, held-for-investment $ 546,466 $ ( 866 ) $ 545,600 $ 145 $ ( 71 ) $ 545,674 10.05 % 9.92 % 1.12 (1) Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $ 60.7 million. (2) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. December 31, 2024: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield (1) Life (Years) (2) Commercial mortgage loans, held-for-investment $ 370,658 $ ( 8,341 ) $ 362,317 $ — $ ( 11,802 ) $ 350,515 10.55 % 10.59 % 1.22 (1) Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $ 37.6 million. (2) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. The table below summarizes the geographic distribution of the real estate collateral underlying the Company's commercial mortgage loans as a percentage of total outstanding unpaid principal balance as of September 30, 2025 and December 31, 2024: Property Location by U.S. State September 30, 2025 December 31, 2024 Florida 25.6 % 20.4 % New York 25.1 % 14.4 % New Jersey 7.2 % 4.3 % Texas 5.7 % 4.3 % Illinois 4.5 % 12.5 % Virginia 4.1 % 2.8 % Connecticut 3.8 % 10.9 % South Carolina 3.5 % — % Georgia 3.3 % 5.4 % Louisiana 3.1 % 3.8 % Michigan 2.3 % 3.4 % Colorado 2.2 % 3.2 % Pennsylvania 1.7 % 3.3 % Mississippi 1.5 % — % Alabama 1.2 % 3.2 % Arizona 1.2 % 1.8 % Maryland 1.1 % — % North Carolina 1.0 % — % West Virginia 1.0 % — % Ohio — % 4.2 % Other 0.9 % 2.1 % 100.0 % 100.0 % As of September 30, 2025, the Company had eight non-performing commercial mortgage loans with an unpaid principal balance and fair value of $ 61.5 million and $ 60.7 million, respectively. As of December 31, 2024, the Company had four non- 43 Table of Contents performing commercial mortgage loans with an unpaid principal balance and fair value of $ 56.5 million and $ 37.6 million, respectively. As described in Note 2, the Company evaluates the cost basis of its commercial mortgage loans for impairment on at least a quarterly basis. As of September 30, 2025 and December 31, 2024, the expected future credit losses, which the Company tracks for purposes of calculating interest income, of $ 0.1 million and $ 11.8 million, respectively, related to adverse changes in estimated future cash flows on its commercial mortgage loans. As of December 31, 2024, the Company had one commercial mortgage loan in the process of foreclosure; such loan had an unpaid principal balance and fair value of $ 15.5 million and $ 11.3 million, respectively. As of September 30, 2025, the Company did not have any commercial mortgage loans in the process of foreclosure. Consumer Loans The tables below detail certain information regarding the Company's consumer loans as of September 30, 2025 and December 31, 2024: September 30, 2025: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Life (Years) (1) Delinquency (Days) Consumer loans, held-for-investment $ 241 $ 177 $ 418 $ 35 $ ( 245 ) $ 208 0.85 13 (1) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. December 31, 2024: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Life (Years) (1) Delinquency (Days) Consumer loans, held-for-investment $ 556 $ 89 $ 645 $ 69 $ ( 237 ) $ 477 0.85 14 (1) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. The table below provides details on the delinquency status as a percentage of total unpaid principal balance of the Company's consumer loans, which the Company uses as an indicator of credit quality, as of September 30, 2025 and December 31, 2024. Days Past Due September 30, 2025 December 31, 2024 Current 79.3 % 79.6 % 30-59 Days 12.7 % 14.7 % 60-89 Days 2.5 % 2.5 % 90-119 Days 5.5 % 3.2 % 100.0 % 100.0 % As described in Note 2, the Company evaluates the cost basis of its consumer loans for impairment on at least a quarterly basis. As of September 30, 2025 and December 31, 2024, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $ 0.2 million and $ 0.3 million, respectively, on its consumer loans. The Company has determined for certain of its consumer loans that a portion of such loans' cost basis is not collectible. For the three-month period ended September 30, 2024, the Company recognized realized losses on these loans of $( 0.1 ) million; no such losses were recognized for the three-month period ended September 30, 2025. For the nine-month periods ended September 30, 2025 and 2024, the Company recognized realized losses on these loans of $ 23 thousand and $( 0.1 ) million, respectively. 44 Table of Contents Corporate Loans The tables below detail certain information regarding the Company's corporate loans as of September 30, 2025 and December 31, 2024: September 30, 2025: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Rate Remaining Term (Years) Corporate loans, held-for-investment (1) $ 18,563 $ ( 742 ) $ 17,821 $ 493 $ ( 11 ) $ 18,304 7.85 % 2.17 (1) See Note 24 for further details on the Company's unfunded commitments related to certain of its corporate loans. December 31, 2024: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Rate Remaining Term (Years) Corporate loans, held-for-investment (1) $ 11,767 $ ( 386 ) $ 11,381 $ 386 $ — $ 11,767 9.80 % 3.66 (1) See Note 24 for further details on the Company's unfunded commitments related to certain of its corporate loans. Reverse Mortgage Loans The tables below detail certain information regarding the Company's reverse mortgage loans as of September 30, 2025 and December 31, 2024. September 30, 2025: Weighted Average ($ in thousands) Unpaid Principal Balance Fair Value Coupon Life (Years) Reverse mortgage loans, held-for-investment HECM loans HECM loans collateralizing HMBS $ 9,643,771 $ 10,227,356 6.29 % 4.81 Unsecuritized HECM loans (1) 138,813 143,165 6.35 % 5.70 Proprietary reverse mortgage loans Securitized proprietary reverse mortgage loans 863,789 953,169 9.96 % 7.97 Unsecuritized proprietary reverse mortgage loans 286,474 311,850 9.36 % 17.25 Total reverse mortgage loans, held-for-investment 10,932,847 11,635,540 6.66 % 5.42 Reverse mortgage loans, held-for-sale Unsecuritized proprietary reverse mortgage loans 89,926 96,776 9.21 % 17.22 Total reverse mortgage loans $ 11,022,773 $ 11,732,316 6.68 % 5.51 (1) Includes unpoolable HECM loans with an unpaid principal balance of $ 47.4 million. 45 Table of Contents December 31, 2024: Weighted Average ($ in thousands) Unpaid Principal Balance Fair Value Coupon Life (Years) Reverse mortgage loans, held-for-investment HECM loans HECM loans collateralizing HMBS $ 8,795,790 $ 9,242,569 6.51 % 4.95 Unsecuritized HECM loans (1) 136,329 140,709 6.64 % 6.64 Proprietary reverse mortgage loans Securitized proprietary reverse mortgage loans 556,158 606,752 10.13 % 10.19 Unsecuritized proprietary reverse mortgage loans 11,083 14,601 10.87 % 17.15 Total reverse mortgage loans, held-for-investment 9,499,360 10,004,631 6.72 % 5.31 Reverse mortgage loans, held-for-sale Unsecuritized proprietary reverse mortgage loans 85,750 92,648 9.92 % 17.15 Total reverse mortgage loans $ 9,585,110 $ 10,097,279 6.75 % 5.42 (1) Includes unpoolable HECM loans with an unpaid principal balance of $ 29.0 million. During the three-month periods ended September 30, 2025 and 2024, the Company transferred proprietary reverse mortgage loans held-for-sale with an unpaid principal balance of $ 379.3 million and $ 97.8 million, respectively, to held-for-investment. During the nine-month periods ended September 30, 2025 and 2024, the Company transferred proprietary reverse mortgage loans held-for-sale with an unpaid principal balance of $ 580.0 million and $ 396.0 million, respectively, to held-for-investment. Reverse mortgage loans are categorized as either "active" or "inactive." Inactive loans include loans where the borrower is deceased, no longer occupies the property, or is delinquent on tax and/or insurance payments; in addition, HECM loans may also be categorized as inactive as a result of various administrative or legal issues, such as missing loan documentation. Loans that are not inactive are categorized as "active." The issuer of a HECM loan that has been pooled into an HMBS is required to repurchase such loan if its outstanding principal balance has reached 98% of its maximum claim amount (the "MCA"). The MCA for a loan is equal to the lesser of the home's appraised value or the maximum loan limit that can be insured by FHA, in each case at the point in time that the conditional commitment is issued. The timing and amount of the Company obligations with respect to MCA repurchases is uncertain, as repurchase is dependent largely on circumstances outside of the Company’s control, including the amount and timing of future draws and the status of the loan. HECM loans that have reached 98% of the MCA and have been repurchased from an HMBS pool ("HECM Buyout Loans") are categorized as either assignable buyout loans ("ABOs") when active, or non-assignable buyout loans ("NABOs") when inactive. ABOs may be assigned to the U.S. Department of Housing and Urban Development ("HUD"), which then reimburses the Company for the outstanding debt on the repurchased loan, up to the MCA. For NABOs, following resolution of the loan, the Company may file a claim with HUD for any recoverable remaining principal and advance balances. Any unsecuritized HECM loan that is inactive, or that has already reached 98% of its MCA, is “unpoolable”; i.e., it is not eligible for securitization into HMBS. The following table provides details on the Company's unpoolable HECM loans as of September 30, 2025 and December 31, 2024: (In thousands) September 30, 2025 December 31, 2024 Unpoolable HECM Loan Type Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value ABOs $ 20,647 $ 19,571 $ 8,487 $ 7,773 NABOs 21,065 17,344 15,479 11,140 Other HECM loans (1) 5,726 5,733 4,986 4,988 Total unpoolable HECM loans $ 47,438 $ 42,648 $ 28,952 $ 23,901 (1) Includes HECM tail loans where the borrower is not in compliance with the terms of the underlying loan. As of September 30, 2025, the Company had $ 507.1 million in unpaid principal balance of inactive reverse mortgage loans, of which $ 472.9 million related to HECM loans and the remainder related to proprietary reverse mortgage loans. As of 46 Table of Contents December 31, 2024, the Company had $ 388.2 million in unpaid principal balance of inactive reverse mortgage loans, of which $ 373.8 million related to HECM loans and the remainder related to proprietary reverse mortgage loans. The table below summarizes the geographic distribution of the real estate collateral underlying the Company's reverse mortgage loans as a percentage of total outstanding unpaid principal balance, as of September 30, 2025 and December 31, 2024. Property Location by U.S. State September 30, 2025 December 31, 2024 California 29.8 % 29.4 % Florida 8.9 % 8.8 % Colorado 6.7 % 7.1 % Arizona 6.3 % 6.4 % Washington 5.2 % 5.4 % Texas 5.0 % 5.1 % Utah 4.9 % 5.1 % Oregon 2.8 % 3.0 % Idaho 2.6 % 2.7 % New York 2.6 % 2.3 % Massachusetts 2.2 % 2.1 % North Carolina 2.2 % 2.2 % Nevada 2.1 % 2.1 % Georgia 1.7 % 1.7 % Tennessee 1.5 % 1.4 % South Carolina 1.4 % 1.4 % Virginia 1.4 % 1.4 % New Jersey 1.4 % 1.4 % Ohio 1.3 % 1.2 % Pennsylvania 1.0 % 1.0 % Maryland 0.9 % 0.9 % Other 8.1 % 7.9 % 100.0 % 100.0 % 6. Mortgage Servicing Rights Certain of the reverse mortgage loans originated by the Company, through Longbridge, are ineligible for inclusion in HMBS, and are not guaranteed by the FHA ("Proprietary reverse mortgage loans"). Longbridge was party to a Sale and Servicing Agreement (the "Sale and Servicing Agreement") with a third party (the "Proprietary Loan Purchaser") whereby Longbridge originated reverse mortgage loans based on specific proprietary criteria and had committed to sell such loans to the Proprietary Loan Purchaser. Upon the sale of such loans to the Proprietary Loan Purchaser, Longbridge retained the rights and obligations of servicing such loans and an MSR asset was recorded. Additionally, Longbridge has assumed the role as servicer for various private label securitization trusts collateralized by either proprietary reverse mortgage loans or HECM buyout loans. Longbridge was appointed servicer through the bankruptcy proceedings of the previous servicer, and Longbridge assumed the rights and obligations of servicing such loans. As of September 30, 2025, the Company's Reverse MSRs related to underlying reverse mortgage loans with an aggregate unpaid principal balance of $ 2.7 billion, and the fair value of such Reverse MSRs was $ 29.1 million. As of December 31, 2024, the Company's Reverse MSRs related to underlying reverse mortgage loans with an aggregate unpaid principal balance of $ 2.7 billion, and the fair value of such Reverse MSRs was $ 29.8 million. The fair value of the Company's MSRs is driven by the net cash flows associated with servicing activities, which include contractually specified servicing fees, late fees, and other ancillary servicing revenue. For the three-month periods ended September 30, 2025 and 2024, the Company recognized a gain (loss) related to its Reverse MSRs of $( 0.2 ) million and $( 0.7 ) million, respectively. For each of the nine-month periods ended September 30, 2025 and 2024, the Company recognized a gain (loss) related to its Reverse MSRs of $( 0.7 ) million. Gain (loss) related to Reverse MSRs is included in Other, net, on the Condensed Consolidated Statement of Operations. 47 Table of Contents 7. Forward MSR-related Investments The Company does not hold the requisite licenses to purchase or hold MSRs on forward mortgage loans ("Forward MSRs") directly. The Company, through certain of its subsidiaries acquired through the Arlington Merger, is party to various agreements (the "Forward MSR Agreements") with a licensed, government-sponsored enterprise ("GSE") approved residential mortgage loan servicer (the "Forward MSR Master Servicer") that enable the Company to participate in the economic returns of a portfolio of Forward MSRs (the "Forward MSR-related investments"). Under the Forward MSR Agreements, MSRs are purchased by the Forward MSR Master Servicer (the "Underlying Forward MSRs") with funding obtained through financing transactions with the Company. Under the terms of the Forward MSR Agreements, for an MSR acquired by the Forward MSR Master Servicer, the Company: (i) purchases the excess servicing spread from the Forward MSR Master Servicer, which entitles the Company to monthly distributions of the servicing fees collected by the Forward MSR Master Servicer in excess of 12.5 basis points per annum (the "Excess Servicing Spread"), and (ii) enters into an agreement with the parent of the Forward MSR Master Servicer (the "Base MSR Counterparty") that references the Underlying Forward MSRs (the "Base MSR Agreement"). Pursuant to the Base MSR Agreement, the Company is entitled to receive an amount generally equivalent to the excess of servicing proceeds (which may include servicing fee revenue, income generated on escrow balances, and reimbursements for previously made servicing advances) over the sum of the Excess Servicing Spread and the actual costs of servicing (including amounts paid for servicing advances, master and subservicing fees, and other costs and expenses). To the extent that servicing proceeds are less than the sum of servicing costs and the Excess Servicing Spread (which would typically result from high levels of servicing advances), the Company is obligated to pay the equivalent of such deficit to the Base MSR Counterparty. Upon a sale of any of the Underlying Forward MSRs, the Forward MSR Agreements also entitle the Company to distributions of the corresponding sale proceeds. Under certain circumstances, the Company can direct the Forward MSR Master Servicer to finance all or some of the Underlying Forward MSRs, alongside other similar MSRs that the Forward MSR Master Servicer oversees on behalf of third parties unrelated to the Company. Proceeds from such financing are distributed to the Company and must be repaid by the Company upon repayment of corresponding financing by the Forward MSR Master Servicer. As of both September 30, 2025 and December 31, 2024, the fair value of the Forward MSR-related investments takes into account the MSR Master Servicer's $ 93.5 million of outstanding borrowings for the benefit of the Company, which were secured by the Underlying Forward MSRs. The Company has elected the FVO for its investments under the Forward MSR Agreements which are reflected in Forward MSR-related investments, at fair value, on the Condensed Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on the Condensed Consolidated Statement of Operations as a component of Other, net. As of September 30, 2025 and December 31, 2024, the fair value of the Company's investments in Forward MSR-related investments was $ 74.7 million and $ 77.8 million, respectively. The following table presents activity related to Company’s investments in Forward MSR-related investments for the three- and nine-month periods ended September 30, 2025 and 2024. Three-Month Period Ended Nine-Month Period Ended (In thousands) September 30, 2025 September 30, 2024 September 30, 2025 September 30, 2024 Forward MSR-related investments, at fair value, beginning balance $ 81,256 $ 158,031 $ 77,848 $ 163,336 Distributions ( 7,024 ) ( 7,719 ) ( 21,187 ) ( 23,210 ) Accretion of interest income 2,622 4,041 8,203 11,284 Change in unrealized gain (loss) ( 2,160 ) ( 4,522 ) 9,830 ( 1,579 ) Forward MSR-related investments, at fair value, ending balance $ 74,694 $ 149,831 $ 74,694 $ 149,831 48 Table of Contents 8. Investments in Unconsolidated Entities The Company has various equity investments in entities where it has the ability to exert significant influence over such entity, but does not control such entity. In these cases the criteria for consolidation have not been met and the Company is required to account for such investments under ASC 323-10; the Company has elected the FVO for its investments in unconsolidated entities. As of September 30, 2025 and December 31, 2024, the Company's investments in unconsolidated entities had an aggregate fair value of $ 287.7 million and $ 220.1 million, respectively, which is included on the Condensed Consolidated Balance Sheet in Investments in unconsolidated entities, at fair value. Certain of the entities that the Company accounts for under ASC 323-10 are deemed to be VIEs, and the maximum amount at risk is generally limited to the Company's investment in the VIE. As of September 30, 2025 and December 31, 2024, the fair value of the Company's investments in unconsolidated entities that have been deemed to be VIEs was $ 226.1 million and $ 184.4 million, respectively. For the three-month periods ended September 30, 2025 and 2024, the Company recognized Earnings (losses) from investments in unconsolidated entities of $ 13.1 million and $ 7.3 million, respectively. For the nine-month periods ended September 30, 2025 and 2024, the Company recognized Earnings (losses) from investments in unconsolidated entities of $ 38.4 million and $ 21.5 million, respectively. Gains (losses) recognized from the Company's investments in unconsolidated entities are included in Earnings (losses) from investments in unconsolidated entities, on its Condensed Consolidated Statement of Operations. The following table provides details about the Company's investments in unconsolidated entities as of September 30, 2025 and December 31, 2024: Percentage Ownership of Unconsolidated Entity Investment in Unconsolidated Entity Form of Investment September 30, 2025 December 31, 2024 Loan Originators: LendSure Mortgage Corp. (1)(2) Common shares 63.1 % 62.8 % Other (1) Various 10.0%–50.0% 10.0%–50.0% Co-investments with Ellington affiliate(s) (1) : Elizon DB 2015-1 LLC (3)(4) Membership Interest 28.3 % 34.5 % Elizon NM CRE 2020-1 LLC (3)(5) Membership Interest 20.3 % 20.7 % Elizon CH CRE 2021-1 LLC (3)(6) Membership Interest 33.6 % 38.4 % Equity investments in securitization-related vehicles, including risk retention vehicles (7) Membership Interest 24.6%–84.5% 24.6%–84.5% Other: Jepson Holdings Limited (1)(3) Membership Interest 4.1 % 4.4 % Other (1)(3) Various 21.0%–79.0% 21.0%–79.0% (1) See Note 16 for additional details on the Company's related party transactions. (2) As of September 30, 2025 and December 31, 2024, includes both voting and non-voting equity interests held by the Company. See Note 16 Related Party Transactions— Transactions Involving Certain Loan Originators for additional information. (3) The Company has evaluated this entity and determined that it meets the definition of a VIE. The Company evaluated its interest in the VIE and determined that the Company does not have the power to direct the activities of the VIE and does not have control of the underlying assets, where applicable. As a result, the Company determined that it is not the primary beneficiary of this VIE and therefore has not consolidated the VIE. (4) As discussed in Note 16 Related Party Transactions— Participation in Multi-Borrower Financing Facilities , the Company and the Affiliated Entities (as defined in Note 16) each consolidate their segregated silos of the Joint Entity (as defined in Note 16). The Company's effective percentage ownership before the effects of consolidation of both its and the Affiliated Entities' respective segregated silos of the Joint Entity, was 63.0 % and 60.6 % as of September 30, 2025 and December 31, 2024, respectively. (5) As discussed in Note 16 Related Party Transactions— Participation in Multi-Borrower Financing Facilities , the Company and the Affiliated Entities (as defined in Note 16) each consolidate their segregated silos of the Joint Entity (as defined in Note 16). The Company's effective percentage ownership before the effects of consolidation of both its and the Affiliated Entities' respective segregated silos of the Joint Entity, was 74.9 % and 70.2 % as of September 30, 2025 and December 31, 2024, respectively. (6) As discussed in Note 16 Related Party Transactions— Participation in Multi-Borrower Financing Facilities , the Company and the Affiliated Entities (as defined in Note 16) each consolidate their segregated silos of the Joint Entity (as defined in Note 16). The Company's effective percentage ownership before the effects of consolidation of both its and the Affiliated Entities' respective segregated silos of the Joint Entity, was 64.0 % and 58.1 % as of September 30, 2025 and December 31, 2024, respectively. (7) Includes interests in Consumer Risk Retention Vehicles, as defined in Note 13 —Participation in Multi-Seller Consumer Loan Securitizations, and Participated Risk Retention Vehicle and Residential Loan JV, as defined in Note 13 —Residential Mortgage Loan Securitizations . The Company has evaluated these entities and determined that they do not meet the definition of a VIE. The Company evaluated its interest in the entity under the voting interest model outlined in ASC 810, and has determined that the Company does not control these entities. As a result, the Company has not consolidated the entity. See Note 13 for additional details on the Company's securitization transactions. 49 Table of Contents 9. Real Estate Owned As discussed in Note 2, the Company obtains possession of REO as a result of foreclosures on the associated mortgage loans. The following tables detail activity in the Company's carrying value of REO for the three- and nine-month periods ended September 30, 2025 and 2024: Three-Month Period Ended September 30, 2025 September 30, 2024 Number of Properties Carrying Value Number of Properties Carrying Value (In thousands) (In thousands) Beginning Balance (June 30, 2025 and 2024, respectively) 129 $ 48,821 105 $ 25,248 Transfers from mortgage loans 64 18,207 44 17,144 Capital expenditures and other adjustments to cost 378 59 Adjustments to record at the lower of cost or fair value 794 ( 820 ) Dispositions ( 47 ) ( 16,117 ) ( 37 ) ( 11,941 ) Ending Balance (September 30, 2025 and 2024, respectively) 146 $ 52,083 112 $ 29,690 Nine-Month Period Ended September 30, 2025 September 30, 2024 Number of Properties Carrying Value Number of Properties Carrying Value (In thousands) (In thousands) Beginning Balance (December 31, 2024 and 2023, respectively) 117 $ 46,661 81 $ 22,085 Transfers from mortgage loans 159 65,298 127 42,588 Capital expenditures and other adjustments to cost 450 433 Adjustments to record at the lower of cost or fair value ( 3,681 ) ( 2,551 ) Dispositions ( 130 ) ( 56,645 ) ( 96 ) ( 32,865 ) Ending Balance (September 30, 2025 and 2024, respectively) 146 $ 52,083 112 $ 29,690 During the three-month period ended September 30, 2025, the Company sold 47 REO properties, realizing a net gain (loss) of approximately $( 3.4 ) million. During the three-month period ended September 30, 2024, the Company sold 37 REO properties, realizing a net gain (loss) of approximately $( 0.4 ) million. During the nine-month period ended September 30, 2025, the Company sold 130 REO properties, realizing a net gain (loss) of approximately $( 5.7 ) million. During the nine-month period ended September 30, 2024, the Company sold 96 REO properties, realizing a net gain (loss) of approximately $( 3.6 ) million. Such realized gains (losses) are included in Realized gains (losses) on real estate owned, net, on the Company's Condensed Consolidated Statement of Operations. As of both September 30, 2025 and December 31, 2024, all of the Company's REO had been obtained as a result of obtaining physical possession through foreclosure. Of the Company's total REO holdings, $ 23.9 million and $ 19.0 million were measured at fair value on a non-recurring basis as of September 30, 2025 and December 31, 2024, respectively. 50 Table of Contents 10. Financial Derivatives The Company is exposed to certain risks arising from both its business operations and economic conditions. The Company manages certain risks associated with its investments and borrowings, including interest rate, credit, liquidity, and foreign exchange rate risk primarily by managing the amount, sources, and duration of its investments and borrowings, and through the use of derivative financial instruments. The Company's derivative financial instruments are used to manage differences in the amount, timing, and duration of its known or expected cash receipts and its known or expected cash payments principally related to its investments and borrowings. Subject to maintaining its qualification as a REIT, the Company may also use derivative financial instruments for speculative purposes. The following table details the fair value of the Company's holdings of financial derivatives as of September 30, 2025 and December 31, 2024: September 30, 2025 December 31, 2024 (In thousands) Financial derivatives–assets, at fair value: TBA securities sale contracts $ 605 $ 2,381 Fixed payer interest rate swaps 61,434 160,875 Fixed receiver interest rate swaps 68,229 14,575 Credit default swaps on asset-backed indices 2,033 1,825 Credit default swaps on corporate bonds — 83 Credit default swaps on corporate bond indices 13,412 — Options 3,563 3,427 Futures 1,810 900 Forwards 55 320 Total return swaps 13 — Warrants 1 9 Total financial derivatives–assets, at fair value 151,155 184,395 Financial derivatives–liabilities, at fair value: TBA securities purchase contracts ( 273 ) ( 2,417 ) TBA securities sale contracts ( 1,648 ) — Fixed payer interest rate swaps ( 25,648 ) ( 2,900 ) Fixed receiver interest rate swaps ( 6,029 ) ( 32,139 ) Credit default swaps on asset-backed securities ( 3 ) ( 3 ) Credit default swaps on corporate bonds ( 177 ) ( 225 ) Credit default swaps on corporate bond indices ( 26,979 ) ( 33,207 ) Futures ( 6 ) ( 130 ) Forwards — ( 3 ) Total financial derivatives–liabilities, at fair value ( 60,763 ) ( 71,024 ) Total $ 90,392 $ 113,371 51 Table of Contents Interest Rate Swaps The following tables provide information about the Company's fixed payer interest rate swaps as of September 30, 2025 and December 31, 2024: September 30, 2025: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2025 $ 230,030 $ 559 4.06 % 4.24 % 0.21 2026 288,763 122 3.78 4.24 0.96 2027 3,131,359 ( 439 ) 3.56 4.24 1.74 2028 518,413 3,475 3.24 4.24 2.78 2029 406,758 1,839 3.28 4.24 3.96 2030 512,698 884 3.38 4.24 4.80 2031 157,766 17,035 1.51 4.24 5.71 2032 178,272 8,393 2.80 4.24 6.81 2033 240,259 6,518 3.20 4.24 7.48 2034 235,312 4,611 3.35 4.24 8.97 2035 549,956 ( 9,027 ) 3.86 4.24 9.63 2036 1,102 260 1.19 4.24 10.38 2037 45,000 4,281 2.81 4.24 11.91 2038 32,500 ( 694 ) 4.01 4.24 12.92 2039 11,322 40 3.85 4.24 13.94 2040 127,066 ( 2,019 ) 4.02 4.24 14.64 2045 12,500 ( 180 ) 4.07 4.24 19.55 2050 500 251 0.98 4.09 25.07 2053 2,780 322 3.32 4.24 28.24 2054 3,874 106 3.81 4.24 29.25 2055 76,098 ( 551 ) 3.99 4.24 29.78 Total $ 6,762,328 $ 35,786 3.48 % 4.24 % 4.19 52 Table of Contents December 31, 2024: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2025 $ 549,561 $ 3,947 3.78 % 4.49 % 0.67 2026 626,768 2,688 4.02 4.47 1.72 2027 332,013 10,541 3.13 4.48 2.50 2028 526,877 16,461 3.26 4.47 3.52 2029 966,432 24,394 3.52 4.48 4.77 2030 247,580 9,050 3.44 4.21 5.57 2031 169,293 25,912 1.69 4.49 6.44 2032 181,867 16,640 2.80 4.49 7.56 2033 240,259 18,222 3.20 4.49 8.23 2034 391,137 21,655 3.43 4.48 9.74 2035 500 146 0.78 4.33 10.81 2036 1,102 325 1.19 4.49 11.13 2037 45,000 6,085 2.81 4.49 12.66 2038 32,500 460 4.01 4.46 13.67 2039 14,252 556 3.79 4.47 14.81 2040 500 188 0.90 4.33 15.81 2050 500 241 0.98 4.33 25.82 2053 2,780 300 3.32 4.49 28.99 2054 5,474 164 3.77 4.49 29.94 Total $ 4,334,395 $ 157,975 3.43 % 4.47 % 4.59 53 Table of Contents The following tables provide information about the Company's fixed receiver interest rate swaps as of September 30, 2025 and December 31, 2024: September 30, 2025: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2026 $ 409,789 $ 2,190 4.24 % 4.75 % 0.43 2027 1,537,738 2,480 4.24 3.60 1.82 2028 667,324 8,956 4.22 3.82 2.99 2029 553,132 18,413 4.24 4.35 3.56 2030 742,592 12,564 4.24 3.81 4.71 2031 5,485 ( 89 ) 4.24 3.14 5.97 2032 56,070 ( 526 ) 4.24 3.35 6.96 2033 174,464 6,889 4.24 4.15 8.11 2034 165,133 2,816 4.24 3.84 8.79 2035 805,517 11,508 4.24 3.84 9.62 2038 33,258 ( 1,186 ) 4.24 3.54 13.23 2039 8,259 ( 167 ) 4.24 3.67 13.39 2040 58,537 219 4.24 3.92 14.77 2050 500 ( 262 ) 4.24 0.90 25.07 2053 9,111 ( 1,048 ) 4.24 3.33 28.24 2054 7,004 ( 414 ) 4.24 3.65 29.12 2055 25,617 ( 143 ) 4.24 3.91 29.79 Total $ 5,259,530 $ 62,200 4.24 % 3.89 % 4.59 December 31, 2024: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2025 $ 137,818 $ ( 235 ) 4.49 % 4.89 % 0.21 2026 658,463 1,040 4.47 4.54 1.38 2027 59,110 ( 794 ) 4.49 3.84 2.42 2028 391,266 2,499 4.49 4.27 3.71 2029 1,188,667 ( 8,483 ) 4.48 3.97 4.57 2030 148,025 223 4.39 4.14 5.70 2031 47,985 ( 1,628 ) 4.49 3.68 6.16 2033 193,949 48 4.49 4.08 8.87 2034 193,363 ( 5,174 ) 4.47 3.81 9.57 2035 500 ( 150 ) 4.49 0.74 10.81 2038 34,792 ( 2,148 ) 4.49 3.54 13.98 2039 8,539 ( 460 ) 4.47 3.71 14.39 2040 500 ( 194 ) 4.49 0.84 15.81 2050 500 ( 251 ) 4.49 0.90 25.82 2053 13,154 ( 1,409 ) 4.49 3.33 28.99 2054 7,704 ( 448 ) 4.46 3.62 29.85 Total $ 3,084,335 $ ( 17,564 ) 4.48 % 4.16 % 4.51 54 Table of Contents Credit Default Swaps The following table provides information about the Company's credit default swaps as of September 30, 2025 and December 31, 2024: September 30, 2025 December 31, 2024 Type (1) Notional Fair Value Weighted Average Remaining Term (Years) Notional Fair Value Weighted Average Remaining Term (Years) ($ in thousands) Asset: Long: Credit default swaps on asset-backed indices $ 194 $ 10 12.24 $ 209 $ 11 12.99 Credit default swaps on corporate bonds — — — 2,000 83 0.97 Credit default swaps on corporate bond indices 196,800 13,412 4.15 — — — Short: Credit default swaps on asset-backed indices ( 26,846 ) 2,023 33.29 ( 31,427 ) 1,814 34.60 Liability: Short: Credit default swaps on asset-backed securities ( 46 ) ( 3 ) 9.99 ( 46 ) ( 3 ) 10.74 Credit default swaps on corporate bonds ( 13,000 ) ( 177 ) 1.72 ( 13,000 ) ( 225 ) 2.47 Credit default swaps on corporate bond indices ( 1,090,507 ) ( 26,979 ) 4.91 ( 900,305 ) ( 33,207 ) 4.97 $ ( 933,405 ) $ ( 11,714 ) 5.84 $ ( 942,569 ) $ ( 31,527 ) 5.91 (1) Long notional represents contracts where the Company has written protection and short notional represents contracts where the Company has purchased protection. Futures The following table provides information about the Company's long and short positions in futures as of September 30, 2025 and December 31, 2024: September 30, 2025 December 31, 2024 Description Notional Amount Fair Value Remaining Months to Expiration Notional Amount Fair Value Remaining Months to Expiration (In thousands) (In thousands) Assets: Long Contracts: U.S. Treasury futures $ 1,900 $ 54 2.67 $ — $ — — Short Contracts: U.S. Treasury futures ( 369,900 ) 1,756 2.72 ( 107,000 ) 900 2.82 Liabilities: Long Contracts: U.S. Treasury futures — — — 1,900 ( 130 ) 2.63 Short Contracts: U.S. Treasury futures ( 300 ) ( 6 ) 2.67 — — — Total, net $ ( 368,300 ) $ 1,804 2.72 $ ( 105,100 ) $ 770 2.81 55 Table of Contents Warrants The following table provides information about the Company's warrants contracts to purchase shares as of September 30, 2025 and December 31, 2024: September 30, 2025 December 31, 2024 Description Number of Shares Underlying Warrant Fair Value Remaining Years to Expiration Number of Shares Underlying Warrant Fair Value Remaining Years to Expiration (In thousands) (In thousands) Warrants 109 $ 1 n/a 102 $ 9 n/a TBAs The Company transacts in the forward settling TBA market. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. TBAs are generally liquid, have quoted market prices, and represent the most actively traded class of MBS. The Company uses TBAs to mitigate interest rate risk, usually by taking short positions. The Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for investment purposes, including holding long positions. The Company does not usually take delivery of TBAs; rather, it settles the associated receivable and payable with its trading counterparties on a net basis. Transactions with the same counterparty for the same TBA that result in a reduction of the position are treated as extinguished. As of September 30, 2025 and December 31, 2024, the Company had outstanding TBA purchase and sale contracts as follows: September 30, 2025 December 31, 2024 TBA Securities Notional Amount (1) Cost Basis (2) Market Value (3) Net Carrying Value (4) Notional Amount (1) Cost Basis (2) Market Value (3) Net Carrying Value (4) (In thousands) Purchase contracts: Liabilities $ 52,414 $ 47,680 $ 47,407 $ ( 273 ) $ 151,156 $ 140,826 $ 138,409 $ ( 2,417 ) 52,414 47,680 47,407 ( 273 ) 151,156 140,826 138,409 ( 2,417 ) Sale contracts: Assets ( 65,116 ) ( 61,156 ) ( 60,551 ) 605 ( 164,256 ) ( 156,001 ) ( 153,620 ) 2,381 Liabilities ( 326,384 ) ( 325,003 ) ( 326,651 ) ( 1,648 ) — — — — ( 391,500 ) ( 386,159 ) ( 387,202 ) ( 1,043 ) ( 164,256 ) ( 156,001 ) ( 153,620 ) 2,381 Total TBA securities, net $ ( 339,086 ) $ ( 338,479 ) $ ( 339,795 ) $ ( 1,316 ) $ ( 13,100 ) $ ( 15,175 ) $ ( 15,211 ) $ ( 36 ) (1) Notional amount represents the principal balance of the underlying Agency RMBS. (2) Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. (3) Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end. (4) Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis, and is reported in Financial derivatives-assets, at fair value and Financial derivatives-liabilities, at fair value on the Condensed Consolidated Balance Sheet. Options The following tables provide information about the Company's options contracts as of September 30, 2025 and December 31, 2024: September 30, 2025 December 31, 2024 Type Notional Amount Fair Value Months to Expiration Notional Amount Fair Value Months to Expiration (In thousands) (In thousands) Put options on S&P 500 Index $ 8,093 $ 3,563 5.6 $ 3,882 $ 3,427 10.3 56 Table of Contents Gains and losses on the Company's derivative contracts for the three- and nine- month periods ended September 30, 2025 and 2024 are summarized in the tables below: Three-Month Period Ended September 30, 2025 Derivative Type Primary Risk Exposure Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives (In thousands) Interest rate swaps Interest Rate $ 15,657 $ ( 2,193 ) $ 13,464 $ ( 5,736 ) $ ( 7,332 ) $ ( 13,068 ) Credit default swaps on asset-backed indices Credit ( 157 ) ( 157 ) ( 219 ) ( 219 ) Credit default swaps on corporate bond indices Credit ( 12,614 ) ( 12,614 ) 7,499 7,499 Credit default swaps on corporate bonds Credit ( 33 ) ( 33 ) 11 11 Credit default swaps on asset-backed securities Credit — — — — TBAs Interest Rate ( 2,759 ) ( 2,759 ) 138 138 Futures Interest Rate ( 5,051 ) ( 5,051 ) 3,583 3,583 Forwards Currency ( 120 ) ( 120 ) 325 325 Total return swaps Credit — — 13 13 Options Credit ( 1,065 ) ( 1,065 ) ( 1,479 ) ( 1,479 ) Total $ 15,657 $ ( 23,992 ) $ ( 8,335 ) $ ( 5,736 ) $ 2,539 $ ( 3,197 ) Three-Month Period Ended September 30, 2024 Derivative Type Primary Risk Exposure Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives (In thousands) Interest rate swaps Interest Rate $ 23,555 $ ( 43,214 ) $ ( 19,659 ) $ ( 12,789 ) $ 9,108 $ ( 3,681 ) Credit default swaps on asset-backed securities Credit — — ( 2 ) ( 2 ) Credit default swaps on asset-backed indices Credit ( 1,514 ) ( 1,514 ) 1,133 1,133 Credit default swaps on corporate bond indices Credit ( 1,886 ) ( 1,886 ) ( 870 ) ( 870 ) Credit default swaps on corporate bonds Credit ( 7 ) ( 7 ) ( 26 ) ( 26 ) Total return swaps Equity Market/Credit ( 4 ) ( 4 ) ( 3 ) ( 3 ) TBAs Interest Rate ( 1,734 ) ( 1,734 ) ( 141 ) ( 141 ) Futures Interest Rate ( 16,308 ) ( 16,308 ) 4,409 4,409 Forwards Currency ( 452 ) ( 452 ) ( 463 ) ( 463 ) Total $ 23,555 $ ( 65,119 ) $ ( 41,564 ) $ ( 12,789 ) $ 13,145 $ 356 57 Table of Contents Nine-Month Period Ended September 30, 2025 Derivative Type Primary Risk Exposure Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives (In thousands) Interest rate swaps Interest Rate $ 33,196 $ ( 1,356 ) $ 31,840 $ ( 5,556 ) $ ( 45,869 ) $ ( 51,425 ) Credit default swaps on asset-backed indices Credit ( 115 ) ( 115 ) 134 134 Credit default swaps on corporate bond indices Credit ( 18,175 ) ( 18,175 ) 1,258 1,258 Credit default swaps on corporate bonds Credit 26 26 ( 74 ) ( 74 ) Credit default swaps on asset-backed securities Credit — — — — TBAs Interest Rate ( 2,973 ) ( 2,973 ) ( 1,280 ) ( 1,280 ) Futures Interest Rate ( 5,190 ) ( 5,190 ) 1,034 1,034 Forwards Currency ( 1,561 ) ( 1,561 ) ( 261 ) ( 261 ) Total return swaps Credit — — 13 13 Warrants Credit — — ( 8 ) ( 8 ) Options Credit ( 1,065 ) ( 1,065 ) ( 5,311 ) ( 5,311 ) Total $ 33,196 $ ( 30,409 ) $ 2,787 $ ( 5,556 ) $ ( 50,364 ) $ ( 55,920 ) Nine-Month Period Ended September 30, 2024 Derivative Type Primary Risk Exposure Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives (In thousands) Interest rate swaps Interest Rate $ 49,744 $ ( 64,743 ) $ ( 14,999 ) $ ( 17,695 ) $ 42,853 $ 25,158 Credit default swaps on asset-backed securities Credit ( 1 ) ( 1 ) ( 2 ) ( 2 ) Credit default swaps on asset-backed indices Credit ( 1,945 ) ( 1,945 ) ( 49 ) ( 49 ) Credit default swaps on corporate bond indices Credit ( 8,136 ) ( 8,136 ) 2,639 2,639 Credit default swaps on corporate bonds Credit ( 23 ) ( 23 ) 17 17 Total return swaps Equity Market/Credit 33 33 ( 6 ) ( 6 ) TBAs Interest Rate 2,196 2,196 4,284 4,284 Futures Interest Rate ( 8,965 ) ( 8,965 ) 7,516 7,516 Forwards Currency ( 20 ) ( 20 ) ( 208 ) ( 208 ) Warrants Credit 86 86 ( 726 ) ( 726 ) Total $ 49,744 $ ( 81,518 ) $ ( 31,774 ) $ ( 17,695 ) $ 56,318 $ 38,623 58 Table of Contents The table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the nine-month period ended September 30, 2025 and the year ended December 31, 2024: Derivative Type Nine-Month Period Ended September 30, 2025 Year Ended December 31, 2024 (In thousands) Interest rate swaps $ 10,336,515 $ 6,264,082 Credit default swaps 1,144,796 816,986 TBAs 399,805 443,821 Futures 204,000 292,562 Forwards 20,555 23,575 Options 5,717 605 Warrants 104 125 Total return swaps 100 705 From time to time the Company enters into credit derivative contracts for which the Company sells credit protection ("written credit derivatives"). As of September 30, 2025 and December 31, 2024, all of the Company's open written credit derivatives were credit default swaps on either mortgage/asset-backed indices (ABX and CMBX indices) or corporate bond indices (CDX), collectively referred to as credit indices, or on individual corporate bonds, for which the Company receives periodic payments at fixed rates from credit protection buyers, and is obligated to make payments to the credit protection buyer upon the occurrence of a "credit event" with respect to underlying reference assets. Written credit derivatives held by the Company at September 30, 2025 and December 31, 2024 are summarized below: Credit Derivatives September 30, 2025 December 31, 2024 (In thousands) Fair Value of Written Credit Derivatives, Net $ 13,422 $ 94 Notional Value of Written Credit Derivatives (1) 196,994 2,209 (1) The notional value is the maximum amount that a seller of credit protection would be obligated to pay, and a buyer of credit protection would receive, upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under credit derivative contracts with an International Swaps and Derivatives Association ("ISDA") counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional value of written credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional value of any contracts where the Company has purchased credit protection on the same reference asset or index with the same ISDA counterparty. A credit default swap on a credit index or a corporate bond typically terminates at the stated maturity date in the case of corporate indices or bonds, or, in the case of ABX and CMBX indices, the date that all of the reference assets underlying the index are paid off in full, retired, or otherwise cease to exist. Implied credit spreads may be used to determine the market value of such contracts and are reflective of the cost of buying/selling credit protection. Higher spreads would indicate a greater likelihood that a seller will be obligated to perform ( i.e. , make protection payments) under the contract. In situations where the credit quality of the underlying reference assets has deteriorated, the percentage of notional values that would be paid up front to enter into a new such contract ("points up front") is frequently used as an indication of credit risk. Credit protection sellers entering the market in such situations would expect to be paid points up front corresponding to the approximate fair value of the contract. As of September 30, 2025, the implied credit spreads on the Company's outstanding written credit derivative ranged from 143 to 321 basis points as compared to 79 basis points as of December 31, 2024. Total net up-front payments (paid) or received relating to written credit derivatives outstanding as of September 30, 2025 and December 31, 2024 was $ 12.9 million and $ 0.3 million, respectively. 59 Table of Contents 11. Other Assets The following table provides additional details of the Company's assets included in Other assets on the Condensed Consolidated Balance Sheet at September 30, 2025 and December 31, 2024. Other Assets September 30, 2025 December 31, 2024 (In thousands) Prepaid expenses, advances, and deferred offering costs $ 12,360 $ 12,396 Leases—right of use assets (1) 4,118 5,161 Prepaid scheduled draws on reverse mortgage loans and amounts due from sub-servicer 3,807 3,375 Accounts receivable 3,151 4,985 Intangible assets 1,795 2,171 Certificates of deposit, security deposits, and escrow cash 1,215 1,604 Property and equipment (2) 960 1,360 Receivables and claims related to reverse mortgage loans repurchased from HMBS (3) 701 1,239 Other 169 513 $ 28,276 $ 32,804 (1) See Note 24 for additional details on the Company's leases and ROU assets. (2) Net of accumulated depreciation. (3) Represents receivables from third-parties and claims to HUD related to loans repurchased from HMBS. See Note 13, Issuance of HMBS for discussion on the maximum claim amount related to reverse mortgage loans in HMBS. The Company has identified and recognized various intangible assets. The following table details the Company's intangible assets as of September 30, 2025 and December 31, 2024. September 30, 2025 December 31, 2024 Gross Carrying Value Accumulated Amortization Net Carrying Value Useful Life Gross Carrying Value Accumulated Amortization Net Carrying Value Useful Life (In thousands) (In months) (In thousands) (In months) Intangible Asset: Internally developed software $ 1,400 $ ( 1,400 ) $ — 36 $ 1,400 $ ( 1,050 ) $ 350 36 Trademarks/trade names 1,200 — 1,200 Indefinite 1,200 — 1,200 Indefinite Customer relationships 700 ( 105 ) 595 240 700 ( 79 ) 621 240 Total identified intangible assets $ 3,300 $ ( 1,505 ) $ 1,795 $ 3,300 $ ( 1,129 ) $ 2,171 The following table summarizes changes in the net carrying value of the Company's intangible assets for the three- and nine-month periods ended September 30, 2025 and 2024. Three-Month Period Ended September 30, 2025 Three-Month Period Ended September 30, 2024 (In thousands) Internally Developed Software Trademarks/Trade Names Customer Relationships Total Internally Developed Software Trademarks/Trade Names Customer Relationships Total Net carrying value of intangible assets—Beginning Balance $ 116 $ 1,200 $ 604 $ 1,920 $ 583 $ 1,200 $ 639 $ 2,422 Accumulated Amortization ( 116 ) — ( 9 ) ( 125 ) ( 116 ) — ( 9 ) ( 125 ) Net carrying value of intangible assets—Ending Balance $ — $ 1,200 $ 595 $ 1,795 $ 467 $ 1,200 $ 630 $ 2,297 60 Table of Contents Nine-Month Period Ended September 30, 2025 Nine-Month Period Ended September 30, 2024 (In thousands) Internally Developed Software Trademarks/Trade Names Customer Relationships Total Internally Developed Software Trademarks/Trade Names Customer Relationships Total Net carrying value of intangible assets—Beginning Balance $ 350 $ 1,200 $ 621 $ 2,171 $ 817 $ 1,200 $ 656 $ 2,673 Accumulated Amortization ( 350 ) — ( 26 ) ( 376 ) ( 350 ) — ( 26 ) ( 376 ) Net carrying value of intangible assets—Ending Balance $ — $ 1,200 $ 595 $ 1,795 $ 467 $ 1,200 $ 630 $ 2,297 The following table summarizes the Company's estimated future amortization expense on its intangible assets. (In thousands) September 30, 2025 2025 $ 9 2026 35 2027 35 2028 35 2029 35 Thereafter 446 Total $ 595 12. Consolidated VIEs As discussed in Note 2, the Company has interests in entities that it has determined to be VIEs. The following table summarizes the assets and liabilities of the Company's consolidated VIEs that are included on the Company's Condensed Consolidated Balance Sheet as of September 30, 2025 and December 31, 2024. See Note 13 and Note 16 for additional information on the Company's consolidated VIEs. (In thousands) September 30, 2025 December 31, 2024 Assets Cash and cash equivalents $ 667 $ 1,333 Restricted cash 19,164 14,958 Securities, at fair value 54,056 60,227 Loans, at fair value 4,698,242 4,460,201 Forward MSR-related investments, at fair value 31,930 30,395 Investments in unconsolidated entities, at fair value 107,679 102,152 Real estate owned 36,485 34,575 Investment related receivables 27,857 24,974 Other assets 2,581 365 Total Assets $ 4,978,661 $ 4,729,180 Liabilities Repurchase agreements $ 1,697,333 $ 1,779,853 Other secured borrowings 39,013 34,771 Other secured borrowings, at fair value 2,213,994 1,934,309 Interest payable 4,458 4,078 Accrued expenses and other liabilities 745 648 Total Liabilities 3,955,543 3,753,659 Total Stockholders' Equity 1,008,716 967,496 Non-controlling interests 14,402 8,025 Total Equity 1,023,118 975,521 Total Liabilities and Equity $ 4,978,661 $ 4,729,180 61 Table of Contents 13. Securitization Transactions Participation in CLO Transactions An affiliate of Ellington sponsored four CLO securitization transactions (the "Ellington-sponsored CLO Securitizations"), collateralized by corporate loans and managed by an affiliate of Ellington (the "CLO Manager"). Ellington, the Company, several other affiliates of Ellington, and in certain cases, third parties, participated in the Ellington-sponsored CLO Securitizations (collectively, the "CLO Co-Participants"). Pursuant to each Ellington-sponsored CLO Securitization, a newly formed securitization trust (each a "CLO Issuer") issued various classes of notes, which were in turn sold to unrelated third parties and the applicable CLO Co-Participants. The CLO Issuers are each deemed to be a VIE. The Company evaluates its interests in the CLO Issuers under ASC 810, and while the Company retains credit risk in each of the securitization trusts through its beneficial ownership of a portion of the subordinated interests of each of the securitization trusts, which are the first to absorb credit losses on the securitized assets, the Company does not retain control of these assets or the power to direct the activities of the CLO Issuers that most significantly impact the CLO Issuers' economic performance. As a result, the Company determined that it is not the primary beneficiary of the CLO Issuers, and therefore the Company has not consolidated the CLO Issuers. The Company's maximum amount at risk is limited to the Company's investment in each of the CLO Issuers. As of September 30, 2025 and December 31, 2024, the fair value of the Company's investment in the notes issued by the CLO Issuers was $ 2.1 million and $ 2.5 million, respectively. See Note 16 for further details on the Company's participation in CLO transactions. Residential Mortgage Loan Securitizations—Non-QM and Closed-End Second Lien ("CES") Loans The Company has participated in securitizations of non-QM loans (each, a "non-QM securitization") and CES loans (each a "CES securitization"). In each case, the applicable sponsor of such securitization (the "Sponsor") transferred a pool of loans (each, a "Collateral Pool") to a wholly-owned subsidiary of such Sponsor (each, a "Depositor"), and on the closing date such Collateral Pool was deposited into a newly created securitization trust (such trusts collectively, the "Issuing Entities"). Pursuant to the securitizations, the Issuing Entities issued various classes of mortgage pass-through certificates (the "Certificates") which are backed by the cash flows from the underlying loans. For the non-QM securitizations in which the Company participated between November 2019 and July 2022, the Sponsor and the Depositor are wholly-owned subsidiaries of the Company. The Company has subsequently participated in non-QM and CES loan securitizations with other entities managed by Ellington (each a "Securitization Co-Participant"), and in such cases the Sponsor and the Depositor are not subsidiaries of the Company. Under the Dodd-Frank Act, sponsors of securitizations are generally required to retain at least 5% of the economic interest in the credit risk of the securitized assets (the "Risk Retention Rules"). Securitizations of "qualified mortgage loans" (as defined under the rules of the Consumer Financial Protection Bureau) are generally not subject to the Risk Retention Rules. In order to comply with the Risk Retention Rules, in each non-QM securitization for which the applicable Sponsor was a wholly-owned subsidiary of the Company, the Company purchased and intends to hold, at a minimum, the requisite amount of the most subordinated classes of Certificates and the excess cash flow certificates. The applicable Sponsor also purchased the Certificates entitled to excess servicing fees in each securitization, while the remaining classes of Certificates were purchased by unrelated parties and, when applicable, certain Securitization Co-Participants. In the non-QM and CES securitizations for which the Sponsor was not a wholly-owned subsidiary of the Company, the Company and the applicable Securitization Co-Participants have membership interests in an entity formed for such purpose (the "Participated Risk Retention Vehicle") which purchased, and intends to hold, the requisite amount of each class of Certificate for each applicable securitization. The Participated Risk Retention Vehicle also purchased the Certificates entitled to excess servicing fees of such Issuing Entities. The remaining Certificates were purchased by the Company, the Securitization Co-Participants, and/or various unrelated parties. Notwithstanding that the Certificates carry final scheduled distribution dates in November 2059 or later, the applicable Depositor may, at its sole option, purchase all of the outstanding Certificates (an "Optional Redemption") following the earlier of (1) the applicable anniversary of the closing date (typically two or three years) of the respective securitization or (2) the date on which the aggregate unpaid principal balance of the applicable Collateral Pool has declined below 30 % of the aggregate unpaid principal balance of the applicable Collateral Pool as of the date as of which such loans were originally transferred to the applicable Issuing Entity. The purchase price that the Depositor is required to pay in connection with an Optional Redemption is equal to the sum of the unpaid principal balance of each class of Certificates as of the redemption date and any accrued and unpaid interest thereon. These Optional Redemption rights are held by the applicable Depositor and are deemed to give such Depositor effective control over the loans. In cases where the Depositor was a wholly-owned subsidiary of the Company, the transfers of non-QM loans to each of the Issuing Entities do not qualify as sales under ASC 860-10, and the Company continues to reflect the loans on its Condensed Consolidated Balance Sheet in Loans, at fair value. In cases where the Depositor was not 62 Table of Contents wholly-owned or consolidated by the Company, the transfers of loans to the Issuing Entities did qualify as sales in accordance with ASC 860-10. In the event that certain breaches of representations or warranties are discovered with respect to any underlying loans, the Company could be required to repurchase or replace such loans. Each Sponsor of the non-QM securitizations also serves as the servicing administrator of its respective securitization; for securitizations closed prior to the second quarter of 2025 the Sponsor is entitled to receive a monthly fee for its role as servicing administrator, equal to one-twelfth of the product of (a) 0.03 % and (b) the unpaid principal balance of the underlying non-QM loans as of the first day of the related due period. Each such Sponsor in its role as servicing administrator provides direction and consent for certain loss mitigation activities to the third-party servicer of the underlying loans. In certain circumstances, the servicing administrator will be required to reimburse the servicer for principal and interest advances and servicing advances made by the servicer. Consolidated non-QM Securitizations For non-QM securitizations in which the Company owned 100% of the interests in both the applicable Sponsor and Depositor ("Consolidated Residential Mortgage Loan Securitizations"), the Company is deemed to be the primary beneficiary of the Issuing Entities, which are VIEs, and has consolidated the Issuing Entities ("Consolidated Issuing Entities") given the Company's retained interests in each of the securitizations, together with the Optional Redemption rights held by the wholly-owned Depositor and the Company's ability to direct the third-party servicer regarding certain loss mitigation activities. Interest income from these loans and the expenses related to the servicing of these loans are included in Interest income and Investment related expenses—Servicing expense, respectively, on the Condensed Consolidated Statement of Operations. Each of the Consolidated Issuing Entities meet the definition of a CFE as defined in Note 2, and as a result the fair value of the assets of each of the Issuing Entities have been derived from the fair value of the liabilities of the respective Issuing Entity, as such liabilities have been assessed to be more observable than such assets. The debt of the Consolidated Issuing Entities is included in Other secured borrowings, at fair value, on the Condensed Consolidated Balance Sheet and is shown net of the Certificates held by the Company. The following table details the Company's outstanding consolidated residential mortgage loan securitizations: Issuing Entity Closing Date Principal Balance of Loans Transferred to the Depositor Total Face Amount of Certificates Issued (1) (In thousands) Ellington Financial Mortgage Trust 2019-2 11/19 $ 267,255 $ 267,255 Ellington Financial Mortgage Trust 2020-1 6/20 259,273 259,273 Ellington Financial Mortgage Trust 2020-2 10/20 219,732 219,732 Ellington Financial Mortgage Trust 2021-1 2/21 251,771 251,771 Ellington Financial Mortgage Trust 2021-2 6/21 331,777 331,777 Ellington Financial Mortgage Trust 2021-3 10/21 257,645 257,645 Ellington Financial Mortgage Trust 2022-1 1/22 417,188 417,188 Ellington Financial Mortgage Trust 2022-2 4/22 425,651 425,651 Ellington Financial Mortgage Trust 2022-3 7/22 345,652 345,652 (1) The Sponsor purchased various classes of Certificates issued by each Issuing Entity in order to comply with the Risk Retention Rules. The following table details the assets and liabilities of the Consolidated Issuing Entities included in the Company's Condensed Consolidated Balance Sheet as of September 30, 2025 and December 31, 2024: (In thousands) September 30, 2025 December 31, 2024 Assets: Loans, at fair value $ 1,385,678 $ 1,449,266 Investment related receivables 4,157 4,252 Liabilities: Other secured borrowings, at fair value 1,256,317 1,318,198 63 Table of Contents Non-Consolidated Residential Mortgage Loan Securitizations As described above, the Company has also participated in loan securitizations with various Securitization Co-Participants. For the non-QM securitization which closed in December 2022, the Company and a Securitization Co-Participant each sold loans to a jointly held entity (the "Residential Loan JV") which then transferred the loans to the respective series of the applicable Sponsor, which is wholly-owned by the Residential Loan JV, for further transfer to the applicable Depositor. For the loan securitizations that closed after December 2022, the Company and the Securitization Co-Participants each sold loans directly to the respective series of the applicable Sponsor, for further transfer to the applicable Depositor. The sales by the Company in each instance were accounted for as sales in accordance with ASC 860-10. The following table provides details on outstanding non-consolidated residential mortgage loan securitizations in which the Company has participated: Issuing Entity Closing Date Principal Balance of Loans Sold By the Company Principal Balance of Loans Sold By the Securitization Co-Participants Total Face Amount of Certificates Issued (In thousands) EFMT 2022-4 12/22 $ 309,998 $ 55,264 $ 365,262 EFMT 2023-1 2/23 176,218 154,149 330,367 EFMT 2024-INV1 4/24 194,497 105,955 300,452 EFMT 2024-INV2 10/24 238,247 49,770 288,017 EFMT 2024-NQM1 11/24 189,072 101,406 290,478 EFMT 2024-CES1 12/24 102,642 96,712 199,354 EFMT 2025-NQM1 1/25 193,569 76,063 269,632 EFMT 2025-CES1 2/25 185,273 83,629 268,902 EFMT 2025-INV1 2/25 148,189 111,518 259,707 EFMT 2025-CES2 3/25 166,527 123,589 290,116 EFMT 2025-INV2 4/25 196,961 148,827 345,788 EFMT 2025-CES3 6/25 169,882 111,147 281,029 EFMT 2025-NQM2 6/25 182,020 100,752 282,772 EFMT 2025-CES4 7/25 70,449 211,461 281,910 EFMT 2025-INV3 7/25 173,650 96,707 270,357 EFMT 2025-NQM3 7/25 278,569 90,494 369,063 EFMT 2025-NQM4 9/25 264,288 120,299 384,587 In order to comply with the Risk Retention Rules, the Participated Risk Retention Vehicle purchased a percentage of each of the classes of Certificates issued by the respective Issuing Entities, except for EFMT 2024-CES1 which was exempt from the Risk Retention Rules as all contributed loans were "qualified" mortgage loans. The aggregate fair value of the Company's ownership interests in the Residential Loan JV, and respective series of both the Participated Risk Retention Vehicle and Sponsor, was $ 50.6 million and $ 14.5 million as of September 30, 2025 and December 31, 2024, respectively. Such interests are included on the Condensed Consolidated Balance Sheet in Investments in unconsolidated entities, at fair value. The Company and the Securitization Co-Participants also directly purchased certain of the Certificates issued by the non-consolidated Issuing Entities; the Company subsequently sold various of these Certificates. As of September 30, 2025 and December 31, 2024, the fair value of the Company's investment in such Certificates was $ 132.0 million and $ 28.9 million, respectively, and is included on the Condensed Consolidated Balance Sheet in Securities, at fair value. The Company has evaluated its interests in the Residential Loan JV, the Participated Risk Retention Vehicle, and the Sponsor, which are each VIEs. Because the Company does not control the assets of such entities nor does it have the power to direct the activities that most significantly impact such entities' economic performance, the Company determined that the Company is not the primary beneficiary of these VIEs, and therefore the Company has not consolidated these VIEs. 64 Table of Contents Residential Mortgage Loan Securitizations—European Residential Mortgage Loans The Company holds an interest in a European RMBS issued by an unaffiliated European securitization trust (the "European RMBS Issuer"), which is a VIE. The European RMBS Issuer issued various tranches of notes (the "European Debt Tranches") collateralized by a pool of European residential mortgage loans (the "European Mortgage Loan Securitization"). As the holder of a majority interest in the most subordinate European Debt Tranche, the Company may, at its sole option, purchase all of the outstanding European Debt Tranches (the "Optional Redemption"). As a result, the Company has the power to direct the activities that most significantly impact the economic performance of the European RMBS Issuer and the Company determined that the Company is the current primary beneficiary of this VIE, and therefore the Company has consolidated the European RMBS Issuer. The following table details the assets and liabilities of the European RMBS Issuer included in the Company's Condensed Consolidated Balance Sheet as of September 30, 2025 and December 31, 2024: (In thousands) September 30, 2025 December 31, 2024 Assets: Cash and cash equivalents $ 617 $ 1,105 Loans, at fair value 29,761 39,168 Investment related receivables 2,780 1,373 Liabilities: Other secured borrowings, at fair value 29,825 39,638 Investment related payables 3,269 1,948 Residential Mortgage Loan Securitizations—Co-Sponsor The Company entered into agreements whereby it co-sponsored various securitizations of residential mortgage loans (the "Co-Sponsored Securitizations") with an unrelated third-party (the "Co-Sponsor") and certain affiliates of Ellington (the "Co-Sponsor Affiliated Participants"). With the exception of the Co-Sponsored Securitization completed in January 2025, the Company, through a wholly owned subsidiary, purchased residential mortgage loans from the Co-Sponsor that were then transferred to a third party depositor. With respect to the Co-Sponsored Securitization completed in January 2025, an Affiliated Co-Sponsor, purchased residential mortgage loans from the Co-Sponsor that were then transferred to a third party depositor. In each Co-Sponsored Securitization the residential mortgage loans were then transferred from the third party depositor to a newly formed entity (each a "Co-Sponsored Issuer"). The transfers to the Co-Sponsored Issuers were accounted for as sales in accordance with ASC 860-10. Pursuant to each of the Co-Sponsored Securitizations, each Co-Sponsored Issuer issued various classes of mortgage-backed notes (the "Co-Sponsored Notes") which are backed by the cash flows from the underlying loans. The following table summarizes the Co-Sponsored Securitizations in which the Company has participated. Issuing Entity Closing Date Total Face Amount of Certificates Issued (In thousands) RCKT MORTGAGE TRUST 2024-CES8 10/24 $ 546,992 RCKT MORTGAGE TRUST 2025-CES1 1/25 535,777 RCKT MORTGAGE TRUST 2025-CES4 4/25 500,318 RCKT MORTGAGE TRUST 2025-CES5 5/25 502,665 RCKT MORTGAGE TRUST 2025-CES8 8/25 697,964 Notwithstanding that the Co-Sponsored Notes carry final scheduled payment dates in October 2044 or later, the majority holder of the most subordinate Co-Sponsored Notes (the "Option Holder") for each respective Co-Sponsored Securitization, may, at its sole option, purchase all of the outstanding Co-Sponsored Notes (an "Optional Redemption") following the earlier of (1) the third anniversary of the closing date of the respective securitization or (2) the date on which the aggregate unpaid principal balance of the underlying residential mortgage loans has declined below 20% of the aggregate unpaid principal balance as of the date on which such loans were originally transferred to the respective Co-Sponsored Issuer. The purchase price that the Option Holder is required to pay in connection with an Optional Redemption is equal to the sum of the unpaid principal balance of each class of Co-Sponsored Notes as of the redemption date and any accrued and unpaid interest thereon and any applicable fees. 65 Table of Contents In order to comply with the Risk Retention Rules, the Company retained a fixed percentage of each of the classes of Co-Sponsored Notes issued by each Co-Sponsored Issuer. Additionally, the Company and certain of the Co-Sponsor Affiliated Participants purchased certain of the Co-Sponsored Notes that are not subject to the Risk Retention Rules. As of September 30, 2025 and December 31, 2024, the fair value of the Company's investment in such Co-Sponsored Notes was $ 177.0 million and $ 48.2 million, respectively, and is included in Securities, at fair value on the Condensed Consolidated Balance Sheet. The Company has evaluated its interests in each of the Co-Sponsored Issuers, which are VIEs. Because the Company does not control the assets of the Co-Sponsored Issuers nor does it have the power to direct the activities that most significantly impact such entities' economic performance, the Company determined that it is not the primary beneficiary of these VIEs, and therefore the Company has not consolidated these VIEs. Participation in Multi-Seller Consumer Loan Securitizations The Company has participated in various securitizations whereby the Company, together with certain other entities managed by Ellington (the "Consumer Co-Participants"), sold consumer loans to newly formed securitization trusts (each a "Consumer Securitization Issuer"). The sales were accounted for as sales in accordance with ASC 860-10. The following table provides additional details for each such securitization. Securitization Closing UPB of Loans Sold to Consumer Securitization Issuer % Contributed by the Company Principal Amount of Notes Issued (1) % Ownership of Consumer Risk Retention Vehicle (In thousands) (In thousands) November 2020 $ 205,088 56.3 % $ 193,650 56.3 % March 2022 (2) 193,450 24.7 % 400,000 24.6 % (1) Total principal amount of notes issued by the Consumer Securitization Issuer pursuant to the securitization. (2) UPB of loans sold to the Consumer Securitization Issuer represent the UPB of consumer loans sold by the Company and the Consumer Co-Participants. Such amount excludes $ 227.6 million of UPB of consumer loans sold to the Consumer Securitization Issuer by a third-party. As shown in the above table, pursuant to each of the securitizations, the respective Consumer Securitization Issuer issued senior and subordinated notes. Trust certificates representing beneficial ownership of each of the Consumer Securitization Issuers were also issued. In connection with each transaction, through a jointly owned newly formed entity (each a "Consumer Risk Retention Vehicle"), the Company and the Consumer Co-Participants acquired certain of the subordinated notes as well as the trust certificates in the respective Consumer Securitization Issuer. As of September 30, 2025 and December 31, 2024, the Company's total interest in the Consumer Risk Retention Vehicles, for which the Company has elected the FVO, was $ 0.2 million and $ 0.5 million, respectively. The fair value of the Consumer Risk Retention Vehicles is included on the Condensed Consolidated Balance Sheet in Investments in unconsolidated entities, at fair value. The notes and trust certificates issued by each of the Consumer Securitization Issuers are backed by the cash flows from the underlying consumer loans. If there are breaches of representations and warranties with respect to any underlying consumer loans, the Company could, under certain circumstances, be required to repurchase or replace such loans. Absent such breaches, the Company has no obligation to repurchase or replace any underlying consumer loans that become delinquent or otherwise default. In addition, another affiliate of Ellington acts as the administrator for these securitizations and is paid a monthly fee for its services. The Consumer Securitization Issuers are each deemed to be a VIE. The Company has evaluated its interest in each of the Consumer Securitization Issuers under ASC 810, and while the Company retains credit risk in each of the securitization trusts through its beneficial ownership of most of the subordinated interests of each of the securitization trusts, which are the first to absorb credit losses on the securitized assets, neither the Company nor the Consumer Risk Retention Vehicles retain control of these assets or the power to direct the activities of the Consumer Securitization Issuers that most significantly impact the Consumer Securitization Issuers' economic performance. As a result, the Company determined that neither the Company nor the Consumer Risk Retention Vehicles are the primary beneficiary of the respective Consumer Securitization Issuer, and therefore the Company has not consolidated the Consumer Securitization Issuers. Additionally, the Company evaluated its interest in each of the Consumer Risk Retention Vehicles, which do not meet the criteria to be deemed a VIE, under the voting interest model provided by ASC 810 and determined the Company does not control the Consumer Risk Retention Vehicles. As a result, the Company has not consolidated the Consumer Risk Retention Vehicles. Proprietary Reverse Mortgage Loan Securitizations The Company has sponsored securitizations of reverse mortgage loans (each, a "Reverse Mortgage Securitization"). In each case, the Company, through its wholly-owned subsidiary (the "RM Sponsor"), transferred a pool of proprietary reverse mortgage loans (each, a "RM Collateral Pool") to a wholly-owned subsidiary of the RM Sponsor (the "RM Depositor"), which then deposited such RM Collateral Pool into a newly created securitization trust on the related securitization closing date. 66 Table of Contents Pursuant to the Reverse Mortgage Securitizations, the securitization trusts (collectively, the "RM Issuing Entities") issued various classes of asset-backed notes (the "RM Notes") which are backed by the cash flows from the underlying proprietary reverse mortgage loans. The Company purchased and intends to hold, at a minimum, the requisite amount of RM Notes it is required to hold under the Risk Retention Rules. The RM Sponsor also serves as the servicing administrator of each Reverse Mortgage Securitization, for which it is entitled to receive a monthly fee equal to one-twelfth of the product of (a) 0.03 % and (b) the unpaid principal balance of the underlying reverse mortgage loans as of the first day of the related due period. The Sponsor in its role as servicing administrator provides direction and consent for certain loss mitigation activities to the third-party servicer of the underlying reverse mortgage loans. In certain circumstances, the servicing administrator will be required to reimburse the servicer for principal and interest advances and servicing advances made by the servicer. The Company is deemed to be the primary beneficiary of each of the RM Issuing Entities, which are VIEs, and has consolidated such entities given the Company's retained interests in each of the Reverse Mortgage Securitizations, together with the Optional Redemption rights held by the RM Depositor and the Company's ability to direct the third-party servicer regarding certain loss mitigation activities. Interest income from these loans and the expenses related to the servicing of these loans are included in Interest income and Investment related expenses—Servicing expense, respectively, on the Condensed Consolidated Statement of Operations. Each of the RM Issuing Entities meet the definition of a CFE and, as a result, the fair value of the assets of the RM Issuing Entities have been derived from the fair value of the liabilities of the RM Issuing Entities, as such liabilities have been assessed to be more observable than such assets. The debt of the RM Issuing Entities is included in Other secured borrowings, at fair value, on the Condensed Consolidated Balance Sheet and is shown net of the RM Notes held by the Company. The following table provide additional details for the Company's outstanding consolidated Reverse Mortgage Securitizations: RM Issuing Entity Closing Date Principal Balance of Loans Transferred to the Depositor Total Face Amount of RM Notes Issued (1) (In thousands) EFMT 2024-RM1 3/24 $ 171,412 $ 208,100 EFMT 2024-RM2 7/24 188,117 232,150 EFMT 2024-RM3 12/24 198,071 243,200 EFMT 2025-RM1 5/25 198,359 242,700 EFMT 2025-RM2 8/25 115,627 138,350 (1) The RM Sponsor purchased various classes of RM Notes issued by each RM Issuing Entity in order to comply with the Risk Retention Rules. The following table details the assets and liabilities of the RM Issuing Entities included in the Company's Condensed Consolidated Balance Sheet as of September 30, 2025 and December 31, 2024: September 30, 2025 December 31, 2024 Assets: (In thousands) Restricted cash $ 19,164 $ 14,958 Loans, at fair value 950,336 604,771 Investment related receivables 6,552 — Liabilities: Other secured borrowings, at fair value 927,852 576,474 Issuance of HMBS Longbridge is approved as a Title II, non-supervised direct endorsement mortgagee with HUD. Longbridge is also an approved issuer of HMBS whereby it pools HECM loans and issues HMBS securities which are sold to third-parties with only the servicing rights retained. As discussed in Note 5, HMBS are structured whereby the HMBS issuer is required to repurchase loans whenever the outstanding principal balance of such loan reaches 98% of the MCA. In accordance with ASC 860-10, the 67 Table of Contents transfer of the loans to the HMBS securitization vehicle does not qualify as a sale as the Company has not surrendered control over transferred financial assets. As a result, the transfer of the loans is accounted for as secured borrowings for which the Company has elected the FVO. Such secured borrowings are included in HMBS-related obligations, at fair value, on the Condensed Consolidated Balance Sheet. The majority of the related collateral is included as a component of Loans, at fair value, on the Condensed Consolidated Balance Sheet. The Company recognizes interest expense on such HMBS-related obligations based on the stated coupon rate of the respective HMBS. Interest expense and changes in fair value are recorded in net change related to HMBS obligations, at fair value on the Condensed Consolidated Statement of Operations. During the three-month periods ended September 30, 2025 and 2024, the Company pooled HECM loans with an unpaid principal balance of $ 338.4 million and $ 331.2 million, respectively, into HMBS. During the nine-month periods ended September 30, 2025 and 2024, the Company pooled HECM loans with an unpaid principal balance of $ 1.06 billion and $ 940.2 million, respectively, into HMBS. As of September 30, 2025, the Company was servicing 997 pools of HMBS with an unpaid principal balance of $ 9.6 billion. As of December 31, 2024, the Company was servicing 894 pools of HMBS with an unpaid principal balance of $ 8.8 billion. The Company had entered into a Collaboration and Transfer Agreement (the "HECM CT Agreement") with a third party. Pursuant to the HECM CT Agreement, the Company purchased HECM loans and the associated MSR from the third party and securitized such loans into HMBS. While the Company was the legal owner and servicer of the HMBS, under the HECM CT Agreement, the third party received a portion of the cash flows generated from the HMBS. The Company retained a base participation fee, along with the right to premiums on subsequent HECM tail securitizations. Additionally, in the event Company was required to repurchase a loan from the HMBS pool, there was a put option repurchase guarantee from the third-party whereby such party was required to repurchase such HECM loans from the Company. The HECM CT Agreement was terminated in September 2024 and the Company transferred the related HECM loans and the associated MSR to the third party. During the three-month periods ended September 30, 2025 and 2024 , the Company repurchased HECM loans from HMBS pools, largely consisting of loans that had reached 98% of the MCA, with an unpaid principal balance of $ 42.9 million and $ 61.9 million , respectively. Of these repurchases, during the three-month period ended September 30, 2024, $ 42.9 million were subsequently transferred to a third party in accordance with the HECM CT Agreement, which was terminated as of December 31, 2024. During the nine-month periods ended September 30, 2025 and 2024 , the Company repurchased HECM loans from HMBS pools, largely consisting of loans that had reached 98% of the MCA, with an unpaid principal balance of $ 104.9 million and $ 318.3 million , respectively. Of these repurchases, during the nine-month period ended September 30, 2024, $ 281.5 million were subsequently transferred to a third party in accordance with the HECM CT Agreement. 14. Borrowings Secured Borrowings The Company's secured borrowings consist of repurchase agreements, Other secured borrowings, Other secured borrowings, at fair value, and HMBS-related obligations, at fair value. As of September 30, 2025 and December 31, 2024, the Company's total secured borrowings were $ 15.3 billion and $ 13.9 billion, respectively. Repurchase Agreements The Company enters into repurchase agreements. A repurchase agreement involves the sale of an asset to a counterparty together with a simultaneous agreement to repurchase the transferred asset or similar asset from such counterparty at a future date. The Company accounts for its repurchase agreements as collateralized borrowings, with the transferred assets effectively serving as collateral for the related borrowing. The Company's repurchase agreements typically range in term from 30 to 364 days, although the Company also has repurchase agreements that provide for longer or shorter terms. The principal economic terms of each repurchase agreement—such as loan amount, interest rate, and maturity date—are typically negotiated on a transaction-by-transaction basis. Other terms and conditions, such as those relating to events of default, are typically governed under the Company's master repurchase agreements. Absent an event of default, the Company maintains beneficial ownership of the transferred securities during the term of the repurchase agreement and receives the related principal and interest payments. Interest rates on these borrowings are generally fixed based on prevailing rates corresponding to the terms of the borrowings, and for most repurchase agreements, interest is generally paid at the termination of the repurchase agreement, at which time the Company may enter into a new repurchase agreement at prevailing market rates with the same counterparty, repay that counterparty and possibly negotiate financing terms with a different counterparty, or choose to no longer finance the related asset. Some repurchase agreements provide for periodic payments of interest, such as monthly payments. In response to a decline in the fair value of the transferred securities, whether as a result of changes in market conditions, security paydowns, or other factors, repurchase agreement counterparties will typically make a margin call, whereby the Company will be required to post additional securities and/or cash as collateral with the counterparty in order to re-establish the agreed-upon collateralization requirements. In the event of increases in fair value of the transferred securities, the Company can generally require the counterparty to post collateral with it in the form of cash or securities. The Company is generally permitted to sell or 68 Table of Contents re-pledge any securities posted by the counterparty as collateral; however, upon termination of the repurchase agreement, or other circumstance in which the counterparty is no longer required to post such margin, the Company must return to the counterparty the same security that had been posted. At any given time, the Company seeks to have its outstanding borrowings under repurchase agreements with several different counterparties in order to reduce the exposure to any single counterparty. The Company had outstanding borrowings under repurchase agreements with 24 counterparties as of both September 30, 2025 and December 31, 2024, respectively. As of September 30, 2025, remaining days to maturity on the Company's open repurchase agreements ranged from 1 day to 728 days and interest rates on the Company's open repurchase agreements ranged from 2.74 % to 7.77 %. As of December 31, 2024, remaining days to maturity on the Company's open repurchase agreements ranged from 2 days to 563 days and interest rates on the Company's open repurchase agreements ranged from 3.65 % to 7.96 %. The following table details the Company's outstanding borrowings under repurchase agreements for Agency RMBS, credit assets (which can include non-Agency RMBS, CMBS, CLOs, consumer loans, corporate debt, residential mortgage loans, commercial mortgage loans, and REO), reverse mortgage loans, and U.S. Treasury securities by remaining maturity as of September 30, 2025 and December 31, 2024: September 30, 2025 December 31, 2024 Weighted Average Weighted Average Remaining Maturity Outstanding Borrowings Interest Rate Remaining Days to Maturity Outstanding Borrowings Interest Rate Remaining Days to Maturity Agency RMBS: (In thousands) (In thousands) 30 Days or Less $ 166,408 4.35 % 10 $ 224,049 4.76 % 13 31-60 Days 4,443 4.83 % 57 5,006 4.78 % 41 61-90 Days 2,923 4.73 % 84 7,051 4.97 % 85 151-180 Days 1,782 4.76 % 161 2,029 5.19 % 161 Total Agency RMBS 175,556 4.37 % 14 238,135 4.77 % 17 Credit Assets: 30 Days or Less 149,060 6.99 % 8 400,698 6.68 % 8 31-60 Days 416,233 5.55 % 44 157,630 6.18 % 40 61-90 Days 185,116 5.22 % 78 120,108 5.55 % 77 91-120 Days 244,549 5.66 % 114 130,829 6.39 % 115 121-150 Days 319,029 6.14 % 141 70,078 7.19 % 147 151-180 Days 193,914 5.58 % 155 33,694 6.06 % 166 181-364 Days 49,284 6.33 % 237 972,732 6.44 % 275 > 364 Days 681,021 6.26 % 571 202,379 6.41 % 545 Total Credit Assets 2,238,206 5.95 % 240 2,088,148 6.43 % 205 Reverse Mortgage Loans: 30 Days or Less 188,272 6.63 % 7 — — % — 31-60 Days 62,669 7.76 % 34 14,833 5.59 % 52 61-90 Days 15,152 5.31 % 79 2,889 5.88 % 66 181-364 Days 26,617 6.70 % 308 12,720 7.36 % 263 > 364 Days 43,213 6.26 % 571 — — % — Total Reverse Mortgage Loans 335,923 6.76 % 117 30,442 6.35 % 142 U.S. Treasury Securities: 30 Days or Less 51,279 4.32 % 1 227,315 4.71 % 2 Total U.S. Treasury Securities 51,279 4.32 % 1 227,315 4.71 % 2 Total $ 2,800,964 5.76 % 194 $ 2,584,040 6.12 % 169 Repurchase agreements involving underlying investments that the Company sold prior to period end, for settlement following period end, are shown using their contractual maturity dates even though such repurchase agreements may be expected to be terminated early upon settlement of the sale of the underlying investment. 69 Table of Contents As of September 30, 2025 and December 31, 2024, the fair value of investments transferred as collateral under outstanding borrowings under repurchase agreements was $ 3.5 billion and $ 3.3 billion, respectively. In addition, as of September 30, 2025 and December 31, 2024, the Company posted (received) net cash collateral of $ 7.0 million and $ 5.3 million, respectively, to its counterparties. In addition, as of December 31, 2024, additional securities with a fair value of $ 0.5 million were posted by the Company as a result of margin calls from various counterparties. Amount at risk represents the excess, if any, for each counterparty of the fair value of collateral held by such counterparty over the amounts outstanding under repurchase agreements. The following table provides details by counterparty for such counterparties for which the amounts at risk relating to the Company's repurchase agreements was greater than 10 % of total equity as of December 31, 2024. There was no counterparty for which the amount at risk was greater than 10 % of total equity as of September 30, 2025. December 31, 2024: Counterparty Amount at Risk Weighted Average Remaining Days to Maturity Percentage of Equity (In thousands) Nomura Holdings Inc. $ 185,717 230 11.7 % Other Secured Borrowings The Company has entered into an agreement to finance a portfolio of ABS backed by consumer loans through a recourse secured revolving borrowing facility, which terminates in January 2026, whereby the Company can vary its borrowings based on the size of its portfolio, subject to certain maximum limits. The facility accrues interest on a floating rate basis. As of September 30, 2025 and December 31, 2024, the Company had outstanding borrowings under this facility in the amount of $ 30.2 million and $ 34.8 million, respectively, which is included under the caption Other secured borrowings, on the Company's Condensed Consolidated Balance Sheet. As of September 30, 2025, the fair value of ABS backed by consumer loans collateralizing this borrowing was $ 53.6 million and the effective interest rate on this facility was 7.63 %. As of December 31, 2024, the fair value of ABS backed by consumer loans collateralizing this borrowing was $ 59.2 million and the effective interest rate on this facility was 8.47 %. There are a number of covenants, including several financial covenants, associated with this borrowing; as of both September 30, 2025 and December 31, 2024, the Company was in compliance with all of its covenants. The Company has completed various securitization transactions, as discussed in Note 13— Consolidated Non-QM securitizations , whereby it financed portfolios of non-QM loans. As of September 30, 2025 and December 31, 2024, the fair value of the Company's outstanding liabilities associated with the Company's Consolidated Residential Mortgage Loan Securitizations was $ 1.26 billion and $ 1.32 billion, respectively, representing the fair value of the securitization trust certificates held by third parties as of such date, and is included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings, at fair value. The weighted average coupon of the certificates held by third parties was 3.08 % and 3.06% as of September 30, 2025 and December 31, 2024, respectively. As of September 30, 2025 and December 31, 2024, the fair value of non-QM loans held in the Consolidated Residential Mortgage Loan Securitization trusts was $ 1.39 billion and $ 1.45 billion, respectively. The Company has completed securitization transactions, as discussed in Note 13— Proprietary Reverse Mortgage Loan Securitizations , whereby it financed portfolios of proprietary reverse mortgage loans. As of September 30, 2025 and December 31, 2024, the fair value of the Company's outstanding liabilities associated with the Company's Reverse Mortgage Securitizations was $ 927.9 million and $ 576.5 million, respectively, representing the fair value of the RM Notes held by third parties as of such date, and is included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings, at fair value. The weighted average coupon of the RM Notes held by third parties was 4.89 % and 4.81 % as of September 30, 2025 and December 31, 2024, respectively. Collateral held in the RM Issuing Entities as of September 30, 2025 includes the fair value of reverse mortgage loans of $ 954.5 million, $ 19.2 million of cash held in securitization reserve funds, and $ 2.4 million of investment related receivables. Collateral held in the RM Issuing Entities as of December 31, 2024 includes the fair value of reverse mortgage loans of $ 604.8 million and $ 15.0 million of cash held in securitization reserve funds. As discussed in Note 13— Residential Mortgage Loan Securitizations—European Residential Mortgage Loans , the Company has determined that it is the primary beneficiary of the European RMBS Issuer, resulting in consolidation. As of September 30, 2025 and December 31, 2024, the fair value of the outstanding liabilities of the European RMBS Issuer was $ 29.8 million and $ 39.6 million, respectively, representing the fair value of the European Debt Tranches held by third parties as of such date, and is included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings, at fair value. The weighted average coupon of the European Debt Tranches held by third parties was 7.49 % and 7.94 % as of September 30, 2025 and December 31, 2024, respectively. Collateral held in the European RMBS Issuer as of September 30, 2025, includes the fair value of residential mortgage loans of $ 29.8 million and $ 0.6 million of cash. Collateral held in the 70 Table of Contents European RMBS Issuer as of December 31, 2024, includes the fair value of residential mortgage loans of $ 39.2 million and $ 1.1 million of cash. The Company has various warehouse lines of credit which it uses to finance its portfolio of reverse mortgage loans prior to them being sold or pooled into HMBS. There are a number of covenants, including several financial covenants, associated with these lines of credit; as of September 30, 2025 and December 31, 2024, the Company was in compliance with all of these covenants. As of September 30, 2025 and December 31, 2024, the Company had outstanding borrowings under these financing lines of $ 29.5 million and $ 170.4 million, respectively, which is included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings. The following table provides details for each of the warehouse lines of credit. September 30, 2025 December 31, 2024 Maturity Outstanding Borrowings Fair Value of Underlying Collateral Effective Interest Rate Outstanding Borrowings Fair Value of Underlying Collateral Effective Interest Rate (In thousands) (In thousands) Facility A August 2025 $ — $ — — % $ 57,646 $ 68,209 7.09 % Facility B April 2026 29,481 31,709 7.29 % 112,748 124,705 7.07 % $ 29,481 $ 31,709 7.29 % $ 170,394 $ 192,914 7.08 % The Company entered into an agreement to finance a portfolio of HECM tail draws prior to being sold or pooled into HMBS. This facility matures in May 2026, and accrues interest on a floating-rate basis. As of September 30, 2025 and December 31, 2024, the Company's outstanding borrowings under this facility was $ 18.4 million and $ 19.0 million, respectively, which are included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings. The effective interest rate was 7.75 % and 8.00 % as of September 30, 2025 and December 31, 2024, respectively. As of September 30, 2025 and December 31, 2024, the fair value of HECM tail draws collateralizing this borrowing was $ 31.5 million and $ 30.1 million, respectively, which are included in Loans, at fair value on the Condensed Consolidated Balance Sheet. There are a number of covenants, including several financial covenants, associated with this borrowing; as of both September 30, 2025 and December 31, 2024, the Company was in compliance with all of its covenants. The Company is a party to various agreements which provide a facility for the financing of certain HECM Buyout Loans. This facility has a borrowing period that terminates on May 31, 2026 and accrues interest on a floating-rate basis. As of September 30, 2025 and December 31, 2024, the Company's outstanding borrowings under this facility were $ 29.2 million and $ 14.3 million, respectively, which are included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings. The effective interest rate was 6.81 % and 6.85 % as of September 30, 2025 and December 31, 2024, respectively. As of September 30, 2025 and December 31, 2024, the fair value of HECM Buyout Loans collateralizing this borrowing was $ 31.4 million and $ 14.4 million, respectively. There are a number of covenants, including several financial covenants, associated with this borrowing; as of September 30, 2025 and December 31, 2024, the Company was in compliance with all of its covenants. In January 2025, the Company entered into various agreements to finance certain reverse mortgage loans. This facility matures in January 2026 and accrues interest on a floating-rate basis. Under the terms of this facility, in addition to borrowings collateralized by reverse mortgage loans, the Company may also borrow up to an additional $ 20.0 million in the form of working capital advances. However, in the event of default, the lender can utilize any excess value of any reverse mortgage loans held as collateral to pay down any working capital advances outstanding. As of September 30, 2025, the Company's outstanding borrowings under this facility was $ 82.0 million, which included $ 12.5 million of working capital advances; such borrowings are included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings. As of September 30, 2025, the fair value of reverse mortgage loans collateralizing these borrowings was $ 86.4 million and the effective interest rate was 6.54 %. HMBS-related Obligations As discussed in Note 13— Proprietary Reverse Mortgage Loan Securitizations , the Company issues pools of HMBS which are accounted for as secured borrowings. As of September 30, 2025 and December 31, 2024, the Company had HMBS-related obligations, at fair value of $ 10.1 billion and $ 9.2 billion, respectively. As of September 30, 2025 and December 31, 2024, such HMBS-related obligations are secured by $ 10.2 billion and $ 9.2 billion, respectively, of HECM loans, REO, and HMBS-related claims or other receivables. The weighted average interest rate on the Company's HMBS-related obligations was 5.93 % and 5.90 % as of September 30, 2025 and December 31, 2024, respectively. 71 Table of Contents Unsecured Borrowings Senior Notes The Company has issued $ 210.0 million in aggregate principal amount of unsecured long-term debt, which is structured as a joint and several co-issuance by certain of the Company's consolidated subsidiaries and fully guaranteed by the Company (the "5.875% Senior Notes"). The 5.875% Senior Notes bear interest at a rate of 5.875 %, subject to adjustment based on changes, if any, in the ratings of the 5.875% Senior Notes. Interest on the 5.875% Senior Notes is payable semi-annually in arrears. The 5.875% Senior Notes mature on April 1, 2027 . Prior to April 1, 2026, the Company may redeem the 5.875% Senior Notes, at its option, in whole or in part, at a premium as detailed in the indenture dated March 31, 2022. On or after April 1, 2026, the Company may redeem all or a part of the 5.875% Senior Notes at a redemption price of 100 %, plus accrued and unpaid interest. Upon the completion of the Arlington Merger, the Company assumed Arlington's liabilities including various unsecured debt. The Company assumed $ 34.9 million Arlington's 6.75% Senior Notes, which bore interest at a rate of 6.75 % and which became due March 15, 2025 (the "6.75% Senior Notes"). Interest on the 6.75% Senior Notes was payable quarterly in arrears. In March 2025, the Company fully redeemed the 6.75% Senior Notes at par plus accrued and unpaid interest to, but excluding, the date of redemption. The Company also assumed $ 37.8 million of Arlington's 6.00% Senior Notes, which bear interest at a rate of 6.00 % and are due August 1, 2026 (the "6.00% Senior Notes"). Interest on the 6.00% Senior Notes is payable quarterly in arrears. The Company may redeem the 6.00% Senior Notes, at its option, in whole or in part, at a redemption price equal to 100% of the outstanding principal amount of the 6.00% Senior Notes being redeemed plus accrued and unpaid interest to the date of redemption. The 6.00% Senior Notes are obligations of a certain subsidiary of the Company and are fully guaranteed by the Company. The Company has elected the FVO for the 5.875% Senior Notes, 6.75% Senior Notes, and 6.00% Senior Notes (collectively the "Senior Notes"), which are included in Unsecured borrowings, at fair value on the Condensed Consolidated Balance Sheet. Change in unrealized gains and losses on the Company's Senior Notes are included in Unrealized gains (losses) on Unsecured borrowings, at fair value, on the Condensed Consolidated Statement of Operations. There are a number of covenants, including several financial covenants, associated with the Senior Notes; as of both September 30, 2025 and December 31, 2024, the Company was in compliance with all of its covenants for its outstanding Senior Notes. The Senior Notes are unsecured and are effectively subordinated to secured indebtedness of the Company, to the extent of the value of the collateral securing such indebtedness. Subordinated Notes The Company also assumed $ 15.0 million of Arlington's unregistered junior subordinated unsecured debt securities (the "Trust Preferred Debt"). The Trust Preferred Debt includes $ 10.0 million, which bears interest at a rate of three-month term SOFR plus 3.26 %, payable quarterly in arrears, and which matures on October 7, 2033 ; and $ 5.0 million, which bears interest at a rate of three-month term SOFR plus 2.51 %, payable quarterly in arrears, and which matures on July 7, 2035 . The Trust Preferred Debt may be redeemed in whole or in part at any time and from time to time at the Company’s option, at a redemption price equal to the principal amount plus accrued and unpaid interest. The Company has elected the FVO for the Trust Preferred Debt, which is included in Unsecured borrowings, at fair value on the Condensed Consolidated Balance Sheet, and change in unrealized gains and losses on the Company's Trust Preferred Debt are included in Unrealized gains (losses) on Unsecured borrowings, at fair value, on the Condensed Consolidated Statement of Operations. The Trust Preferred Debt is an obligation of a certain subsidiary of the Company and is fully guaranteed by the Company. 72 Table of Contents Schedule of Principal Repayments The following table details the Company's principal repayment schedule, over the next 5 years, for outstanding borrowings as of September 30, 2025: Year Repurchase Agreements (1) Other Secured Borrowings (2) HMBS-related Obligations (3) Unsecured Borrowings (1) Total (In thousands) Next Twelve Months $ 2,373,149 $ 566,899 $ 1,348,733 $ 37,750 $ 4,326,531 Year 2 427,815 292,408 1,030,049 210,000 1,960,272 Year 3 — 205,339 918,456 — 1,123,795 Year 4 — 162,702 1,023,656 — 1,186,358 Year 5 — 139,199 1,436,844 — 1,576,043 Total $ 2,800,964 $ 1,366,547 $ 5,757,738 $ 247,750 $ 10,172,999 (1) Reflects the Company's contractual principal repayment dates. (2) Includes $ 825.8 million, $ 320.2 million, and $ 31.4 million of expected principal repayments related to the Company's consolidated non-QM, reverse mortgage loan, and European Mortgage Loan securitizations, respectively, which are projected based upon the underlying assets' expected repayments and may be prior to the stated contractual maturities. (3) Represents expected principal repayments projected based upon the expected repayments of the underlying HECM loans, which may be prior to the stated contractual maturities of the related HMBS. 15. Income Taxes The Company has elected to be taxed as a REIT under the Code. A REIT is generally not subject to U.S. federal, state, and local income tax on the portion of its income that is distributed to its owners if it distributes at least 90% of its REIT taxable income within the prescribed time frames, determined without regard to the deduction for dividends paid and excluding any net capital gains. The Company intends to operate in a manner which will allow it to continue to meet the requirements for qualification as a REIT. Accordingly, Ellington Financial Inc. does not believe that it will be subject to U.S. federal, state, and local income tax on the portion of its net taxable income that is distributed to its stockholders as long as certain asset, income, and share ownership tests are met. Cash dividends declared by the Company that do not exceed its current or accumulated earnings and profits will be considered ordinary income to stockholders for income tax purposes unless all or a portion of a dividend is designated by the Company as a capital gain dividend. Distributions in excess of the Company's current and accumulated earnings and profits will be characterized as return of capital or will be treated by shareholders as capital gains. The Company accounts for income taxes in accordance with ASC 740, Income Taxes ("ASC 740"). Deferred income taxes reflect the net tax effects of temporary differences that may exist between the carrying amounts of assets and liabilities under U.S. GAAP and the carrying amounts used for income tax purposes for each domestic TRS. For the three-month periods ended September 30, 2025 and 2024, the Company recorded income tax expense (benefit) of $ 1.1 million and $ 12 thousand, respectively. For the nine-month periods ended September 30, 2025 and 2024, the Company recorded income tax expense (benefit) of $ 2.4 million and $ 0.2 million, respectively. The Company evaluates its deferred tax assets for recoverability using a consistent approach which considers the relative impact of negative and positive evidence, including historical profitability and projections of future taxable income. Based upon the available evidence at September 30, 2025, the Company determined that it was more likely than not that the deferred tax assets of its TRS would not be utilized in future periods; a valuation allowance of $ 64.6 million was recorded to fully reserve against these deferred tax assets. 16. Related Party Transactions The Company is party to the Management Agreement (which may be amended from time to time), pursuant to which the Manager manages the assets, operations, and affairs of the Company, in consideration of which the Company pays the Manager management and incentive fees. The descriptions of the Base Management Fees and Incentive Fees are detailed below. Base Management Fees The Operating Partnership pays the Manager 1.50 % per annum of the total equity of the Operating Partnership calculated in accordance with U.S. GAAP as of the end of each fiscal quarter (before deductions for base management fees and incentive fees payable with respect to such fiscal quarter), adjusted to exclude one-time events pursuant to changes in U.S. GAAP, as well as non-cash charges after discussion between the Manager and the Company's independent directors, and approval by a majority of the Company's independent directors in the case of non-cash charges. Pursuant to the Management Agreement, if the Company invests at issuance in the equity of any collateralized debt 73 Table of Contents obligation that is managed, structured, or originated by Ellington or one of its affiliates, or if the Company invests in any other investment fund or other investment for which Ellington or one of its affiliates receives management, origination, or structuring fees, then, unless agreed otherwise by a majority of the Company's independent directors, the base management and incentive fees payable by the Company to its Manager will be reduced by an amount equal to the applicable portion (as described in the Management Agreement) of any such management, origination, or structuring fees. For the three-month period ended September 30, 2025, the total base management fee incurred was $ 6.2 million, consisting of $ 6.7 million of total gross base management fee incurred, less $ 0.5 million of management fee rebates. For the three-month period ended September 30, 2024, the total base management fee incurred was $ 6.0 million, consisting of $ 6.1 million of total gross base management fee incurred, less $ 0.1 million of management fee rebates. For the nine-month period ended September 30, 2025, the total base management fee incurred was $ 18.5 million, consisting of $ 19.2 million of total gross base management fee incurred, less $ 0.6 million of management fee rebates. For the nine-month period ended September 30, 2024, the total base management fee incurred was $ 17.6 million, consisting of $ 17.8 million of total gross base management fee incurred, less $ 0.2 million of management fee rebates. See "— Participation in CLO Transactions" and "— Investment in Affiliate " below for details on management fee rebates. Incentive Fees The Manager is entitled to receive a quarterly incentive fee equal to the positive excess, if any, of (i) the product of (A) 25 % and (B) the excess of (1) Adjusted Net Income (described below) for the Incentive Calculation Period (which means such fiscal quarter and the immediately preceding three fiscal quarters) over (2) the sum of the Hurdle Amounts (described below) for the Incentive Calculation Period, over (ii) the sum of the incentive fees already paid or payable for each fiscal quarter in the Incentive Calculation Period preceding such fiscal quarter. For purposes of calculating the incentive fee, "Adjusted Net Income" for the Incentive Calculation Period means the net increase in equity from operations of the Operating Partnership, after all base management fees but before any incentive fees for such period, and excluding any non-cash equity compensation expenses for such period, as reduced by any Loss Carryforward (as described below) as of the end of the fiscal quarter preceding the Incentive Calculation Period. For purposes of calculating the incentive fee, the "Loss Carryforward" as of the end of any fiscal quarter is calculated by determining the excess, if any, of (1) the Loss Carryforward as of the end of the immediately preceding fiscal quarter over (2) the Company's net increase in equity from operations (expressed as a positive number) or net decrease in equity from operations (expressed as a negative number) of the Operating Partnership for such fiscal quarter. As of September 30, 2025 and December 31, 2024, there was no Loss Carryforward. For Periods Subsequent to April 1, 2025: For purposes of calculating the incentive fee, the "Hurdle Amount" means, with respect to any fiscal quarter, the result obtained by multiplying the (i) the total common equity of the Operating Partnership calculated in accordance with U.S. GAAP as of the end of the immediately preceding fiscal quarter, adjusted to exclude one-time events pursuant to changes in U.S. GAAP, as well as non-cash charges after discussion between the Manager and the Company's independent directors, and approval by a majority of the Company's independent directors in the case of non-cash charges and (ii) one-fourth of the greater of (A) 9% and (B) 3% plus the 10-year U.S. Treasury Rate for such fiscal quarter (the "Hurdle Rate"). The Hurdle Amount shall be appropriately adjusted for any issuances or repurchases of shares of common stock during the fiscal quarter. The payment of the incentive fee will be in a combination of shares of common stock and cash, provided that at least 10 % of any quarterly payment will be made in shares of common stock. For Periods Prior to April 1, 2025: For purposes of calculating the incentive fee, the "Hurdle Amount" means, with respect to any fiscal quarter, the product of (i) one-fourth of the greater of (A) 9 % and (B) 3 % plus the 10-year U.S. Treasury rate as of the beginning of such fiscal quarter, (ii) the sum of (A) the weighted average gross proceeds per share of all common stock and OP Unit issuances since inception of the Company and up to the end of such fiscal quarter, with each issuance weighted by both the number of shares of common stock and OP Units issued in such issuance and the number of days that such issued shares of common stock and OP Units were outstanding during such fiscal quarter, using a first-in first-out basis of accounting ( i.e. attributing any share of common stock and OP Unit repurchases to the earliest issuances first) and (B) the result obtained by dividing (I) retained earnings attributable to shares of common stock and OP Units at the beginning of such fiscal quarter by (II) the average number of shares of common stock and OP Units outstanding for each day during such fiscal quarter, and (iii) the sum of (x) the average number of shares of common stock and long term incentive plan units of the Company outstanding for each day during such fiscal quarter, and (y) the average number of Convertible Non-controlling Interests outstanding for each day during such fiscal quarter. For purposes of determining the Hurdle Amount, issuances of common stock, and Convertible Non-controlling Interests (a) as equity incentive awards, (b) to the Manager as part of its base management fee or incentive fee and (c) to the 74 Table of Contents Manager or any of its affiliates in privately negotiated transactions, are excluded from the calculation. The payment of the incentive fee will be in a combination of shares of common stock and cash, provided that at least 10 % of any quarterly payment will be made in shares of common stock. The Company incurred an incentive fee of $ 4.5 million for the nine-month period ended September 30, 2025. The Company did not incur an incentive fee for the three-month period ended September 30, 2025 nor the three- or nine-month periods ended September 30, 2024, since on a rolling four quarter basis, the Company's income did not exceed the prescribed hurdle amount. Termination Fees The Management Agreement requires the Company to pay a termination fee to the Manager in the event of (1) the Company's termination or non-renewal of the Management Agreement without cause or (2) the Company's termination of the Management Agreement based on unsatisfactory performance by the Manager that is materially detrimental to the Company or (3) the Manager's termination of the Management Agreement upon a default by the Company in the performance of any material term of the Management Agreement. Such termination fee will be equal to the amount of three times the sum of (i) the average annual quarterly base management fee amounts paid or payable with respect to the two 12 -month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal and (ii) the average annual quarterly incentive fee amounts paid or payable with respect to the two 12 -month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal. Expense Reimbursement Under the terms of the Management Agreement the Company is required to reimburse the Manager for operating expenses related to the Company that are incurred by the Manager, including expenses relating to legal, accounting, due diligence, other services, and all other costs and expenses. The Company's reimbursement obligation is not subject to any dollar limitation. Expenses will be reimbursed in cash within 60 days following delivery of the expense statement by the Manager; provided, however, that such reimbursement may be offset by the Manager against amounts due to the Company from the Manager. The Company will not reimburse the Manager for the salaries and other compensation of the Manager's personnel except that the Company will be responsible for expenses incurred by the Manager in employing certain dedicated or partially dedicated personnel as further described below. The Company reimburses the Manager for the allocable share of the compensation, including, without limitation, wages, salaries, and employee benefits paid or reimbursed, as approved by the Compensation Committee of the Board of Directors to certain dedicated or partially dedicated personnel who spend all or a portion of their time managing the Company's affairs, based upon the percentage of time devoted by such personnel to the Company's affairs. In their capacities as officers or personnel of the Manager or its affiliates, such personnel will devote such portion of their time to the Company's affairs as is necessary to enable the Company to operate its business. For the nine-month periods ended September 30, 2025 and 2024, the Company reimbursed the Manager $ 15.8 million and $ 19.6 million, respectively, for previously incurred operating expenses. As of September 30, 2025 and December 31, 2024, the outstanding payable to the Manager for operating expenses was $ 7.5 million and $ 2.4 million, respectively, which are included in Accrued expenses and other liabilities on the Condensed Consolidated Balance Sheet. Transactions Involving Investments in Unconsolidated Entities—Certain Loan Originators As of September 30, 2025 and December 31, 2024, the loan originators in which the Company holds equity investments represent related parties. Transactions that have been entered into with these related party loan originators are summarized below. The Company is a party to a mortgage loan purchase and sale flow agreement, with a mortgage loan originator (the "Related-Party MLPA") in which the Company holds a non-controlling equity investment, whereby the Company purchases residential mortgage loans that satisfy certain specified criteria. The Company also provided a $ 5.0 million line of credit to the mortgage originator. Under the terms of this line of credit, the Company has agreed to make advances to the mortgage originator solely for the purpose of funding specifically identified residential mortgage loans designated for sale to the Company. To the extent the advances are drawn by the mortgage originator, it must pay interest, at a rate of 15 % per annum, on the outstanding balance of each advance from the date the advance is made until such advance is repaid in full. The mortgage originator is required to repay advances in full no later than two business days following the date that the Company purchases the related residential mortgage loans from the mortgage originator. As of both September 30, 2025 and December 31, 2024, there were no advances outstanding. The Company has also entered into agreements whereby it guarantees the performance of such mortgage originator under third-party master repurchase agreements. See Note 24, Commitments and Contingencies, for further information on the Company's guarantees of the third-party borrowing arrangements and certain loan purchase 75 Table of Contents commitments under the Related-Party MLPA. As of September 30, 2025 and December 31, 2024, the fair value of the Company's investment in this mortgage loan originator was $ 44.1 million and $ 33.6 million, respectively. The Company is a party to an agreement with another mortgage loan originator in which the Company holds a non-controlling equity investment, whereby the Company purchases residential mortgage loans that satisfy certain specified criteria (the "Related Party Loan Purchase Agreement"). As of both September 30, 2025 and December 31, 2024, the fair value of the Company's investment in such mortgage loan originator was $ 1.5 million. The Company has entered into various agreements with a residential mortgage loan originator (the "RTL Originator") in which it holds a non-controlling equity investment. Under the terms of such agreements, the Company has the option to purchase additional non-controlling equity interests at certain valuation thresholds. The Company also entered into a Commitment Letter Agreement (the "RTL Commitment Agreement") whereby it committed to purchase eligible loans originated by the RTL Originator; see Note 24, Commitments and Contingencies, for further information on the Company's commitment under the RTL Commitment Agreement. The RTL Originator has been determined to be a VIE. The Company has evaluated the RTL Originator and determined that the Company is not the primary beneficiary of the RTL Originator. As of both September 30, 2025 and December 31, 2024, the fair value of the Company's non-controlling equity investment in the RTL Originator was $ 0.6 million, which is included on the Condensed Consolidated Balance Sheet in Investments in unconsolidated entities, at fair value. The Company has entered into various agreements with another residential mortgage loan originator (the "Residential Originator") which included acquiring a minority stake in such originator. Under the terms of such agreements, the Company provided financing, in the form of a secured promissory note (the "Residential Originator Note"), under which the Residential Originator can borrow up to $ 14.0 million. The Residential Originator Note is subject to an interest rate of 10 % per annum through May 2025 and then 15 % per annum until maturity on December 1, 2029. As of September 30, 2025 and December 31, 2024, the outstanding balance and fair value of the Residential Originator Note was $14.0 million and $ 8.5 million, respectively, which is included in Loans, at fair value on the Condensed Consolidated Balance Sheet. The Company also entered into a Forward Commitment Letter Agreement (the "Residential Commitment Agreement") whereby it committed to purchase eligible loans originated by the Residential Originator; see Note 24, Commitments and Contingencies, for further information on the Company's commitment under the Residential Commitment Agreement and the Residential Originator Note. The Residential Originator has been determined to be a VIE. The Company has evaluated the Residential Originator and determined that the Company is not the primary beneficiary of the Residential Originator. As of both September 30, 2025 and December 31, 2024, the fair value of the Company's non-controlling equity investment in the Residential Originator was $ 2.5 million. The Company holds an investment in common and preferred stock of a consumer loan originator (the "Consumer Loan Originator"). An employee of Ellington, who serves as an officer of the Company, also serves on the board of the Consumer Loan Originator, as the Company's representative. In January 2025, the Company entered into a Loan and Security Agreement whereby the Company extended a revolving line of credit to the Consumer Loan Originator of up to $ 1.0 million (the "Consumer LOC") which matures in January 2028. The outstanding borrowing under the Consumer LOC is subject to a floating interest rate equal to one-month SOFR plus 4.00 % per annum. As of September 30, 2025, outstanding advances under the Consumer LOC were $ 0.2 million. The Company, through a wholly-owned trust subsidiary, and the Consumer Loan Originator, entered into an amended consumer loan purchase and sale flow agreement (the "Amended PSFA") whereby the Company purchases consumer loans that satisfy certain specified criteria. The Company has beneficial interests in the loan cash flows, net of servicing-related fees and expenses, including financing expenses. As discussed in Note 14, the Company has entered into a secured revolving borrowing facility to finance certain of its consumer loans. As of September 30, 2025 and December 31, 2024, the total fair value of the Company's beneficial interests was $ 54.1 million and $ 60.2 million, respectively, which is included in Securities, at fair value on the Condensed Consolidated Balance Sheet. 76 Table of Contents The following table provides details of financing that the Company has provided, in the form of secured promissory notes, to certain other loan origination-related entities in which the Company also holds equity investments. Effective Date of Promissory Note Maturity Date of Promissory Note Interest Rate as of Outstanding Borrowings as of Fair Value (1) as of Maximum Borrowing September 30, 2025 December 31, 2024 September 30, 2025 December 31, 2024 September 30, 2025 December 31, 2024 (In thousands) (In thousands) May 2021 (2) December 31, 2025 $ 6,000 12.0 % 12.0 % $ — $ 1,000 $ — $ 1,000 February 2022 (3) December 31, 2025 750 7.0 % 7.0 % 625 625 625 625 June 9, 2025 June 9, 2028 1,750 9.0 % n/a 350 — 350 — (1) Classified as a Corporate loan and is included in Loans, at fair value on the Condensed Consolidated Balance Sheet. (2) Convertible into non-voting equity interests, at the option of the borrower, at any time prior to maturity. (3) Promissory note was amended in January 2025 extending the maturity date. Consumer, Residential, and Commercial Loan Transactions with Affiliates The Company purchased certain of its consumer loans through an affiliate (the "Purchasing Entity") under various purchase agreements. The Company's beneficial interests in the consumer loans purchased through the Purchasing Entity are evidenced by participation certificates issued by trusts that hold legal title to the loans. These trusts are owned by a related party of Ellington and were established to hold such loans. Through its participation certificates, the Company participates in the cash flows of the underlying loans held by each trust. The total amount of consumer loans underlying the Company's participation certificates and held in the related party trust was $ 0.2 million and $ 0.4 million as of September 30, 2025 and December 31, 2024, respectively. The Company has beneficial interests in residential mortgage loans and REO held in a trust owned by a related party of Ellington. Through these beneficial interests, the Company participates in the cash flows of the underlying loans held by such trust. The total amount of residential mortgage loans and REO underlying the Company's beneficial interests and held in the related party trust was $ 1.8 billion and $ 2.1 billion as of September 30, 2025 and December 31, 2024, respectively. The Company is a co-investor in certain commercial mortgage loans and REO with other investors, including various unrelated third parties and various affiliates of Ellington. Each co-investor in a particular loan has an interest in the limited liability company that owns such loan or REO. As of September 30, 2025 and December 31, 2024, the aggregate fair value of the Company's investments in the jointly owned limited liability companies was approximately $ 98.1 million and $ 102.2 million, respectively. Such investments are included in Investments in unconsolidated entities, on the Condensed Consolidated Balance Sheet. The consumer, residential mortgage, and certain commercial mortgage loans that are the subject of the foregoing loan transactions are held in trusts, each of which the Company has determined to be a VIE. The Company has evaluated each of these VIEs and determined that the Company has the power to direct the activities of each VIE that most significantly impact such VIE's economic performance and the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. As a result the Company has determined it is the primary beneficiary of each of these VIEs and has consolidated each VIE. Equity Investment in Unconsolidated Entity The Company is a co-investor, together with other affiliates of Ellington, in Jepson Holdings Limited ("Jepson"), the parent of an entity (the "Jepson Risk Retention Vehicle") that has sponsored various European mortgage loan securitizations. The Jepson Risk Retention Vehicle is expected to hold certain of the notes it issues for each securitization it completes in order to comply with European risk retention rules. As of both September 30, 2025 and December 31, 2024, the Company's equity investment in Jepson Holdings Limited had a fair value of $ 0.3 million. See Note 8 for additional details on this equity investment. Participation in Multi-Borrower Financing Facilities The Company is a co-participant with certain other entities managed by Ellington or its affiliates (the "Affiliated Entities") in various entities (each, a "Joint Entity"), which were formed in order to facilitate the financing of commercial mortgage loans, residential mortgage loans, and REO (collectively, the "Mortgage Loan and REO Assets"), through repurchase agreements. Each Joint Entity has a master repurchase agreement with a particular financing counterparty. 77 Table of Contents In connection with the financing of the Mortgage Loan and REO Assets under repurchase agreements, each of the Company and the Affiliated Entities transferred certain of their respective Mortgage Loan and REO Assets to one of the Joint Entities in exchange for its pro rata share of the financing proceeds that the respective Joint Entity received from the financing counterparty. While the Company's Mortgage Loan and REO Assets were transferred to the Joint Entity, the Company's Mortgage Loan and REO Assets and the related debt were not derecognized for financial reporting purposes, in accordance with ASC 860-10, because the Company continued to retain the risks and rewards of ownership of its Mortgage Loan and REO Assets. As of September 30, 2025 and December 31, 2024, the Joint Entities had aggregate outstanding issued debt under the repurchase agreements in the amount of $ 887.9 million and $ 734.0 million, respectively. The Company's segregated silo of this debt as of September 30, 2025 and December 31, 2024, was $ 358.4 million and $ 202.6 million, respectively, and is included under the caption Repurchase agreements on the Company's Condensed Consolidated Balance Sheet. To the extent that there is a default under the repurchase agreements, all of the assets of each respective Joint Entity, including those beneficially owned by any non-defaulting owners of such Joint Entity, could be used to satisfy the outstanding obligations under such repurchase agreement. As of both September 30, 2025 and December 31, 2024, no party to any of the repurchase agreements was in default. Each of the Joint Entities has been determined to be a VIE. The Company has evaluated each of these VIEs and determined that it continued to retain the risks and rewards of ownership of certain of the Mortgage Loan and REO Assets, where such Mortgage Loan and REO Assets and the related debt are segregated for the Company and each of the Affiliated Entities. On account of the segregation of certain of each co-participant's assets and liabilities within each of the Joint Entities, as well as the retention by each co-participant of control over its segregated Mortgage Loan and REO Assets within the Joint Entities, the Company has determined that it is the primary beneficiary of, and has consolidated its segregated silo of assets and liabilities within, each of the Joint Entities. See Note 12 and Note 14 for additional information. Participation in CLO Transactions As discussed in Note 13, the Company participated in the Ellington-sponsored CLO Securitizations. The CLO Manager is entitled to receive management and incentive fees in accordance with the respective management agreements between the CLO Manager and the respective CLO Issuers. In accordance with the Management Agreement, the Manager rebates to the Company the portion of the management fees payable by each CLO Issuer to the CLO Manager that are allocable to the Company's participating interest in the unsecured subordinated notes issued by such CLO Issuer. For the three-month periods ended September 30, 2025 and 2024, the amount of such management fee rebates was $ 36 thousand and $ 0.1 million, respectively. For the nine-month periods ended September 30, 2025 and 2024, the amount of such management fee rebates was $ 0.1 million and $ 0.2 million, respectively. During the three- and nine-month periods ended September 30, 2025, the Company purchased $ 0.1 million and $ 1.1 million, respectively, of various underperforming corporate debt securities from certain of the Ellington-sponsored CLO Securitizations. During the nine-month period ended September 30, 2024, the Company purchased $ 1.2 million of various underperforming corporate debt and equity securities from certain of the Ellington-sponsored CLO Securitizations; no such purchases were made during the three-month period ended September 30, 2024. Such purchases are effected at market prices determined through the procedures set forth in the indentures of the respective Ellington-sponsored CLO Securitizations. Investment in Affiliate The Company has an investment in the common shares of Ellington Real Estate Income Trust, Inc. (the "Affiliated REIT"), which is an affiliate of the Company managed by an affiliate of Ellington (the "Affiliate REIT Manager"). The Company, Ellington, and various unrelated third parties (collectively, the "Affiliated REIT Founding Investors") entered into various agreements committing to invest in the common stock of the Affiliated REIT. The Company has contributed $ 25.0 million and has no remaining commitment to fund any additional capital calls of the Affiliated REIT. As of September 30, 2025 and December 31, 2024, the fair value of the Company's investment in the Affiliated REIT was $ 26.3 million and $ 19.1 million, respectively. In accordance with the management agreement between the Affiliated REIT and the Affiliate REIT Manager (the "REIT Management Agreement"), investors pay a quarterly base management fee and, if certain performance hurdles are met, a performance fee. In accordance with the Management Agreement, the Manager rebates to the Company the applicable portion of the management fee and performance fee payable to the Affiliated REIT Manager; for each of the three- and nine-month periods ended September 30, 2025, the amount of such management fee rebates was $ 0.5 million. In connection with the commitment to contribute capital to the Affiliated REIT, each of the Affiliated REIT Founding Investors entered into an agreement with the Affiliate REIT Manager whereby each of the Affiliated REIT Founding Investors participates in a net revenue share arrangement based on each Affiliated REIT Founding Investors’ pro rata share of the Affiliate REIT’s initial capital (the "Revenue Share Arrangement"). Under the terms of the Revenue Share Arrangement, each of the Affiliated REIT Founding Investors, including the Company, is entitled to receive from the Affiliate REIT Manager an 78 Table of Contents amount equal to the product of (i) a fixed percentage and (ii) the management and performance fees earned by, less certain expenses incurred by, the Affiliate REIT Manager. The Revenue Share Arrangement will continue in perpetuity for each Affiliated REIT Founding Investor given (i) such Affiliate REIT Founding Investor has not defaulted on its obligation to fund its capital calls, and (ii) the REIT Management Agreement has not been terminated or is not renewed. To the extent that the net revenue share received by the Company is less than the management fees and performance fees incurred by the Company with respect to its investment in the Affiliated REIT, the Manager will rebate to the Company such difference. The directors of the Affiliated REIT are currently: Michael Vranos, the Company's Co-Chief Investment Officer; Laurence Penn, the Company's Chief Executive Officer and President and a member of the Board of Directors; and Mark Tecotzky, the Company's Co-Chief Investment Officer. The Company has evaluated its interests in the Affiliated REIT, which is a VIE. Because the Company does not have the power to direct the activities that most significantly impact the Affiliated REIT's economic performance, the Company determined that it is not the primary beneficiary of the Affiliated REIT. 17. Long-Term Incentive Plan Units OP LTIP Units issued under the Company's incentive plans are generally exercisable by the holder at any time after vesting. Each OP LTIP Unit is convertible into an OP Unit on a one-for-one basis. Subject to certain conditions, the OP Units are redeemable by the holder for an equivalent number of shares of common stock of the Company or for the cash value of such shares of common stock, at the Company's election. Costs associated with the OP LTIP Units issued under the Company's incentive plans are measured as of the grant date and expensed ratably over the vesting period. Total expense associated with OP LTIP Units issued under the Company's incentive plans is presented in Compensation and benefits, on the Condensed Consolidated Statement of Operations. Total expense associated with OP LTIP Units issued under the Company's incentive plans for the three-month periods ended September 30, 2025 and 2024 was $ 1.0 million and $ 0.3 million, respectively. Total expense associated with OP LTIP Units issued under the Company's incentive plans for the nine-month periods ended September 30, 2025 and 2024 was $ 2.3 million, and $ 0.9 million, respectively. The below table details unvested OP LTIP Units as of September 30, 2025: Grant Recipient Number of Unvested OP LTIP Units Grant Date Vesting Date (1) Directors: 18,396 September 10, 2025 September 9, 2026 Dedicated or partially dedicated personnel: 17,538 December 14, 2023 December 14, 2025 39,740 March 19, 2024 December 31, 2025 30,443 December 12, 2024 December 12, 2025 18,383 December 12, 2024 December 12, 2026 178,230 March 19, 2025 March 19, 2026 62,172 March 19, 2025 December 31, 2026 Total unvested OP LTIP Units at September 30, 2025 364,902 (1) Date at which such OP LTIP Units will vest and become non-forfeitable. 79 Table of Contents The following tables summarize issuance and exercise activity of OP LTIP Units for the three- and nine-month periods ended September 30, 2025 and 2024: Three-Month Period Ended September 30, 2025 September 30, 2024 Manager Director/ Employee Total Manager Director/ Employee Total OP LTIP Units Outstanding (June 30, 2025 and 2024, respectively) 365,518 721,504 1,087,022 365,518 423,177 788,695 Granted — 18,396 18,396 — 33,512 33,512 Exercised — — — — ( 7,657 ) ( 7,657 ) OP LTIP Units Outstanding (September 30, 2025 and 2024, respectively) 365,518 739,900 1,105,418 365,518 449,032 814,550 OP LTIP Units Unvested and Outstanding (September 30, 2025 and 2024, respectively) — 364,902 364,902 — 127,633 127,633 OP LTIP Units Vested and Outstanding (September 30, 2025 and 2024, respectively) 365,518 374,998 740,516 365,518 321,399 686,917 Nine-Month Period Ended September 30, 2025 September 30, 2024 Manager Director/ Employee Total Manager Director/ Employee Total OP LTIP Units Outstanding (December 31, 2024 and 2023, respectively) 365,518 481,102 846,620 365,518 383,437 748,955 Granted — 258,798 258,798 — 73,252 73,252 Exercised — — — — ( 7,657 ) ( 7,657 ) OP LTIP Units Outstanding (September 30, 2025 and 2024, respectively) 365,518 739,900 1,105,418 365,518 449,032 814,550 OP LTIP Units Unvested and Outstanding (September 30, 2025 and 2024, respectively) — 364,902 364,902 — 127,633 127,633 OP LTIP Units Vested and Outstanding (September 30, 2025 and 2024, respectively) 365,518 374,998 740,516 365,518 321,399 686,917 There were an aggregate of 1,006,031 and 1,317,102 shares of common stock of the Company underlying awards, including OP LTIP Units, available for future issuance under the Company's 2017 Equity Incentive Plan as of September 30, 2025 and December 31, 2024, respectively. 18. Non-controlling Interests Operating Partnership Non-controlling interests include the Convertible Non-controlling Interests in the Operating Partnership owned by an affiliate of the Manager, members of the Board of Directors, and certain current and former Ellington employees and their related parties in the form of OP LTIP Units. Income allocated to Convertible Non-controlling Interests is based on the non-controlling interest owners' ownership percentage of the Operating Partnership during the period, calculated using a daily weighted average of all shares of common stock of the Company and Convertible Non-controlling Interests outstanding during the period. Holders of Convertible Non-controlling Interests are entitled to receive the same distributions that holders of shares of common stock of the Company receive. Convertible Non-controlling Interests are non-voting with respect to matters as to which holders of common stock of the Company are entitled to vote. As of September 30, 2025, the Convertible Non-controlling Interests consisted of the outstanding 1,105,418 OP LTIP Units and 46,360 OP Units, and represented an interest of approximately 0.9 % in the Operating Partnership. As of December 31, 2024, the Convertible Non-controlling Interests consisted of the outstanding 846,620 OP LTIP Units and 46,360 OP Units, and represented an interest of approximately 0.8 % in the Operating Partnership. As of September 30, 2025 and December 31, 2024, non-controlling interests related to all outstanding Convertible Non-controlling Interests was $ 15.6 million and $ 12.2 million, respectively. Joint Venture Interests Non-controlling interests also include the interests of joint venture partners in various consolidated subsidiaries of the Company. These subsidiaries hold the Company's investments in certain commercial mortgage loans and REO. The joint venture partners participate in the income, expense, gains and losses of such subsidiaries as set forth in the related operating 80 Table of Contents agreements of the subsidiaries. The joint venture partners make capital contributions to the subsidiaries as new approved investments are purchased by the subsidiaries, and are generally entitled to distributions when investments are sold or otherwise disposed of. As of September 30, 2025 and December 31, 2024, the joint venture partners' interests in subsidiaries of the Company were $ 14.4 million and $ 8.0 million, respectively. The joint venture partners' interests are not convertible into shares of common stock of the Company or OP Units, nor are the joint venture partners entitled to receive distributions that holders of shares of common stock of the Company receive. 19. Equity Preferred Stock The Company has authorized 100,000,000 shares of preferred stock, $ 0.001 par value per share. As of September 30, 2025 and December 31, 2024, the total amount of cumulative preferred dividends in arrears was $ 4.6 million and $ 4.7 million, respectively. As of September 30, 2025 and December 31, 2024, there were 4,600,000 shares of 6.750 % Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, $ 0.001 par value per share ("Series A Preferred Stock") outstanding. As of September 30, 2025 and December 31, 2024, there were 4,820,421 shares of 6.250 % Series B Fixed-Rate Reset Cumulative Redeemable Preferred Stock, $ 0.001 par value per share ("Series B Preferred Stock") outstanding. As of September 30, 2025 and December 31, 2024, there were 4,000,000 shares of 8.625 % Series C Fixed-Rate Reset Cumulative Redeemable Preferred Stock, $ 0.001 par value per share ("Series C Preferred Stock") outstanding. As of September 30, 2025 and December 31, 2024, there were 379,668 shares of 7.00 % Series D Cumulative Perpetual Redeemable Preferred Stock, $ 0.01 par value per share ("Series D Preferred Stock") outstanding. The Company has commenced an "at-the-market" offering for the Series A Preferred Stock and Series B Preferred Stock (the "Preferred ATM Program"), in connection with which it has entered into equity distribution agreements with sales agents under which it is authorized to offer and sell up to $ 100.0 million of Series A Preferred Stock and/or Series B Preferred Stock from time to time. The Company did not issue any shares of preferred stock under the Preferred ATM Program during either of the three-month periods ended September 30, 2025 or 2024. As of September 30, 2025, the Company had remaining authorization under the Preferred ATM Program of $ 99.5 million. The Company's Series A Preferred Stock, Series B Preferred Stock, Series C Preferred Stock, and Series D Preferred Stock (collectively the "Series Preferred Stock") rank senior to its common stock and Convertible Non-controlling Interests. Each Series Preferred Stock ranks on a parity with all other Series Preferred Stock with respect to the payment of dividends and the distribution of assets upon a voluntary or involuntary liquidation, dissolution, or winding up of the Company. Series A The Company's Series A Preferred Stock has no stated maturity and is not subject to any sinking fund or mandatory redemption. The Series A Preferred Stock became redeemable by the Company on October 30, 2024. Holders of the Company's Series A Preferred Stock generally do not have any voting rights. Holders of the Series A Preferred Stock are entitled to receive cumulative cash dividends (i) from and including the original issue date to, but excluding, October 30, 2024, at a fixed rate equal to 6.750 % per annum of the $ 25.00 per share liquidation preference and (ii) from and including October 30, 2024, at a floating rate equal to the sum of (i) the 3-month Secured Overnight Financing Rate and (ii) 5.457 %, per annum of the $ 25.00 per share liquidation preference. Dividends are payable quarterly in arrears on or about the 30th day of each January, April, July, and October. Series B The Company's Series B Preferred Stock has no stated maturity and is not subject to any sinking fund or mandatory redemption. The Series B Preferred Stock is not redeemable by the Company prior to January 30, 2027, except under circumstances where it is necessary to allow the Company to maintain its qualification as a REIT for U.S. federal income tax purposes and except in certain instances upon the occurrence of a change of control. Holders of the Company's Series B Preferred Stock generally do not have any voting rights. Holders of the Series B Preferred Stock are entitled to receive cumulative cash dividends from and including the original issue date to, but excluding, January 30, 2027 (the "Series B First Reset Date"), at a fixed rate equal to 6.250 % per annum of the $ 25.00 per share liquidation preference. The applicable fixed rate resets on the First Reset Date and again on the fifth anniversary of the preceding reset date (each a "Series B Reset Date"), at a rate equal to the five-year treasury rate as measured 81 Table of Contents three business days prior to the Series B Reset Date plus 4.99 % per annum of the $ 25.00 per share liquidation preference. Dividends are payable quarterly in arrears on or about the 30th day of each January, April, July, and October. Series C The Company's Series C Preferred Stock has no stated maturity and is not subject to any sinking fund or mandatory redemption. The Series C Preferred Stock is not redeemable by the Company prior to April 30, 2028, except under circumstances where it is necessary to allow the Company to maintain its qualification as a REIT for U.S. federal income tax purposes and except in certain instances upon the occurrence of a change of control. Holders of the Company's Series C Preferred Stock generally do not have any voting rights. Holders of the Series C Preferred Stock are entitled to receive cumulative cash dividends from and including the original issue date to, but excluding, April 30, 2028 (the "Series C First Reset Date"), at a fixed rate equal to 8.625 % per annum of the $ 25.00 per share liquidation preference. The applicable fixed rate resets on the First Reset Date and again on the fifth anniversary of the preceding reset date (each a "Series C Reset Date"), at a rate equal to the five-year treasury rate as measured three business days prior to the Series C Reset Date plus 5.13 % per annum of the $ 25.00 per share liquidation preference. Dividends are payable quarterly in arrears on or about the 30th day of each January, April, July, and October. Series D The Company's Series D Preferred Stock has no stated maturity and is not subject to any sinking fund. The Series D Preferred Stock is redeemable by the Company at its discretion upon not less than 30 nor more than 60 days’ notice. Holders of the Company's Series D Preferred Stock generally do not have any voting rights. Holders of the Series D Preferred Stock are entitled to receive cumulative cash dividends from and including, September 30, 2023, at a fixed rate equal to 7.000 % per annum of the $ 25.00 per share liquidation preference. Dividends are payable quarterly in arrears on or about the 30th day of each March, June, September, and December. Common Stock The Company has authorized 300,000,000 shares of common stock, $ 0.001 par value per share as of September 30, 2025. The Board of Directors may authorize the issuance of additional shares, subject to the approval of the holders of at least a majority of the shares of common stock then outstanding. As of September 30, 2025 and December 31, 2024, there were 106,066,429 and 90,678,492 shares of common stock outstanding, respectively. Included in shares of common stock outstanding as of September 30, 2025 and December 31, 2024, are 35,152 and 16,756 , respectively, of unvested restricted shares of common stock that are subject to forfeiture restrictions. Such common shares were issued to certain of the Company's directors in accordance with the Company's 2017 Equity Incentive Plan. Costs associated with restricted common stock issued under the Company's incentive plans are measured as of the grant date and expensed ratably over the vesting period. Such expenses are presented in Compensation and benefits, on the Condensed Consolidated Statement of Operations. Total expense associated with common stock issued under the Company's incentive plans for the three- and nine-month periods ended September 30, 2025 was $ 0.1 million and $ 0.2 million, respectively. The below table details unvested restricted common stock as of September 30, 2025: Grant Recipient Number of Shares of Unvested Restricted Common Stock Grant Date Vesting Date (1) Directors: 16,756 December 27, 2024 December 26, 2025 18,396 September 10, 2025 September 9, 2026 Total unvested restricted shares of common stock at September 30, 2025 35,152 (1) Date at which such common shares will vest and become non-forfeitable. The Company has an "at-the-market" offering program for shares of its common stock (the "Common ATM Program"), in connection with which it has entered into equity distribution agreements with sales agents. Under the current equity distribution agreements the Company is authorized to offer and sell up to $ 300.0 million of common stock from time to time. During the three-month period ended September 30, 2025, the Company issued 8,156,876 shares of common stock under the Common ATM Program which provided $ 110.0 million of net proceeds after $ 0.9 million of agent commissions and offering costs. During the three-month period ended September 30, 2024, the Company issued 5,612,166 shares of common stock under the Common ATM Program which provided $ 72.7 million of net proceeds after $ 1.1 million of agent commissions and offering 82 Table of Contents costs. During the nine-month period ended September 30, 2025, the Company issued 15,335,664 shares of common stock under the Common ATM Program which provided $ 205.4 million of net proceeds after $ 1.7 million of agent commissions and offering costs. During the nine-month period ended September 30, 2024, the Company issued 7,715,891 shares of common stock under the Common ATM Program which provided $ 99.6 million of net proceeds after $ 1.4 million of agent commissions and offering costs. As of September 30, 2025, the Company had a remaining authorization to issue $ 92.9 million of common shares. The following table summarizes issuance, repurchase, and other activity with respect to the Company's common stock for the three- and nine-month periods ended September 30, 2025 and 2024: Three-Month Period Ended Nine-Month Period Ended September 30, 2025 September 30, 2024 September 30, 2025 September 30, 2024 Shares of Common Stock Outstanding (as of June 30, 2025 and 2024 and December 31, 2024 and 2023, respectively) 97,891,157 85,041,913 90,678,492 83,000,488 Share Activity: Shares of common stock issued 8,156,876 5,612,166 15,335,664 7,715,891 Shares of common stock issued in connection with incentive fee payment — — 33,877 — Restricted common stock issued under equity incentive plan 18,396 — 18,396 — Shares of common stock repurchased — — — ( 62,300 ) OP Units exercised — 7,657 — 7,657 Shares of Common Stock Outstanding — Ending Balance 106,066,429 90,661,736 106,066,429 90,661,736 If all Convertible Non-controlling Interests that have been previously issued were to become fully vested and exchanged for shares of common stock as of September 30, 2025 and December 31, 2024, the Company's issued and outstanding shares of common stock would increase to 107,218,207 and 91,571,472 shares, respectively. In March 2023, the Board of Directors approved the adoption of a share repurchase program under which the Company is authorized to repurchase up to $ 50 million of the Company's common stock (the "2023 Repurchase Plan"), which extended the Company’s ability to repurchase common stock beyond the 1.55 million shares authorized under the previous plan. The 2023 Repurchase Plan is open-ended in duration and allow the Company to make repurchases from time to time on the open market or in negotiated transactions, including under Rule 10b5-1 plans. Repurchases under the 2023 Repurchase Plan are at the Company's discretion, subject to applicable law, share availability, price and financial performance, among other considerations. During the nine-month period ended September 30, 2024, the Company repurchased 62,300 shares at an average price per share of $ 11.00 and a total cost of $ 0.7 million. No shares were repurchased during the three- or nine-month periods ended September 30, 2025 or the three-month period ended September 30, 2024. As of September 30, 2025, the Company has authorization to repurchase an additional $ 45.1 million of the Company's common stock under the 2023 Repurchase Plan. Distributions to Stockholders The following table summarizes cash dividends accrued by the Company on its common and preferred stock during the three- and nine-month periods ended September 30, 2025 and 2024: (In thousands, except per share amounts) Three-Month Period Ended Nine-Month Period Ended September 30, 2025 September 30, 2024 September 30, 2025 September 30, 2024 Class of Stock Amount Per Share Amount Per Share Amount Per Share Amount Per Share Series A Preferred Stock $ 2,869 $ 0.62 $ 1,941 $ 0.42 $ 8,529 $ 1.85 $ 5,823 $ 1.27 Series B Preferred Stock 1,883 0.39 1,883 0.39 5,649 1.17 5,649 1.17 Series C Preferred Stock 2,156 0.54 2,156 0.54 6,468 1.62 6,468 1.62 Series D Preferred Stock 166 0.44 166 0.44 498 1.31 498 1.31 Series E Preferred Stock — — 688 0.72 — — 1,868 1.95 Common Stock 40,625 0.39 34,796 0.39 114,953 1.17 105,224 1.21 83 Table of Contents 20. Earnings Per Share The components of the computation of basic and diluted EPS are as follows: Three-Month Period Ended Nine-Month Period Ended (In thousands except share amounts) September 30, 2025 September 30, 2024 September 30, 2025 September 30, 2024 Net income (loss) attributable to common stockholders $ 29,504 $ 16,175 $ 104,076 $ 95,437 Add: Net income (loss) attributable to Convertible Non-controlling Interests (1) 330 156 1,158 925 Net income (loss) attributable to common stockholders and Convertible Non-controlling Interests 29,834 16,331 105,234 96,362 Dividends declared: Common stockholders ( 40,180 ) ( 34,468 ) ( 113,687 ) ( 104,223 ) Convertible Non-controlling Interests ( 445 ) ( 328 ) ( 1,266 ) ( 1,001 ) Total dividends declared to common stockholders and Convertible Non-controlling Interests ( 40,625 ) ( 34,796 ) ( 114,953 ) ( 105,224 ) Undistributed (Distributed in excess of) earnings: Common stockholders ( 10,676 ) ( 18,293 ) ( 9,611 ) ( 8,786 ) Convertible Non-controlling Interests ( 115 ) ( 172 ) ( 108 ) ( 76 ) Total undistributed (distributed in excess of) earnings attributable to common stockholders and Convertible Non-controlling Interests $ ( 10,791 ) $ ( 18,465 ) $ ( 9,719 ) $ ( 8,862 ) Weighted average shares outstanding (basic and diluted): Weighted average shares of common stock outstanding 101,588,583 87,198,435 96,387,264 85,576,158 Weighted average Convertible Non-controlling Interest Units outstanding 1,137,581 840,759 1,066,991 825,657 Weighted average shares of common stock and Convertible Non-controlling Interest Units outstanding 102,726,164 88,039,194 97,454,255 86,401,815 Basic earnings per share of common stock and Convertible Non-controlling Interest Unit: Distributed $ 0.39 $ 0.39 $ 1.17 $ 1.21 Undistributed (Distributed in excess of) ( 0.10 ) ( 0.20 ) ( 0.09 ) ( 0.09 ) $ 0.29 $ 0.19 $ 1.08 $ 1.12 Diluted earnings per share of common stock and Convertible Non-controlling Interest Unit: Distributed $ 0.39 $ 0.39 $ 1.17 $ 1.21 Undistributed (Distributed in excess of) ( 0.10 ) ( 0.20 ) ( 0.09 ) ( 0.09 ) $ 0.29 $ 0.19 $ 1.08 $ 1.12 (1) For the three-month periods ended September 30, 2025 and 2024, excludes net income (loss) of $ 0.9 million and $ 0.2 million, respectively, attributable to non-participating interests held by joint venture partners and with respect to 2024, non-participating interests held by executives of Longbridge; see Note 18 for additional details. For the nine-month periods ended September 30, 2025 and 2024, excludes net income (loss) of $ 1.8 million and $ 0.8 million, respectively, attributable to non-participating interests held by joint venture partners and with respect to 2024, non-participating interests held by executives of Longbridge. 21. Restricted Cash Restricted cash represents cash that the Company can use only for specific purposes. As of September 30, 2025 and December 31, 2024, the Company had $ 20.8 million and $ 16.6 million of restricted cash including cash balances that are restricted under a warehouse line of credit agreement and cash held in securitization reserve funds. 22. Offsetting of Assets and Liabilities The Company generally records financial instruments at fair value as described in Note 2. Financial instruments are generally recorded on a gross basis on the Condensed Consolidated Balance Sheet. In connection with the vast majority of its derivative, reverse repurchase and repurchase agreements, and the related trading agreements, the Company and its counterparties are required to pledge collateral. Cash or other collateral is exchanged as required with each of the Company's counterparties in connection with open derivative positions, and reverse repurchase and repurchase agreements. 84 Table of Contents The Company has not entered into master netting agreements with any of its counterparties. Certain of the Company's reverse repurchase and repurchase agreements and financial derivative transactions are governed by underlying agreements that generally provide a right of net settlement, as well as a right of offset in the event of default or in the event of a bankruptcy of either party to the transaction. The following tables present information about certain assets and liabilities representing financial instruments as of September 30, 2025 and December 31, 2024. September 30, 2025: Description Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet (1) Financial Instruments Available for Offset Financial Instruments Transferred or Pledged as Collateral (2)(3) Cash Collateral (Received) Pledged (2)(3) Net Amount (In thousands) Assets Financial derivatives–assets $ 151,155 $ ( 53,269 ) $ — $ ( 25,460 ) $ 72,426 Reverse repurchase agreements 365,716 ( 24,351 ) ( 341,365 ) — — Liabilities Financial derivatives–liabilities ( 60,763 ) 53,269 — 7,380 ( 114 ) Repurchase agreements ( 2,800,964 ) 24,351 2,769,584 7,029 — (1) In the Company's Condensed Consolidated Balance Sheet, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. (2) For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of September 30, 2025 was $ 3.5 billion. As of September 30, 2025, total cash collateral on financial derivative assets and liabilities excludes excess net cash collateral pledged (received) of $ 7.6 million and $ 10.4 million, respectively. (3) When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a particular asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows. December 31, 2024: Description Amount of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheet (1) Financial Instruments Available for Offset Financial Instruments Transferred or Pledged as Collateral (2)(3) Cash Collateral (Received) Pledged (2)(3) Net Amount (In thousands) Assets Financial derivatives–assets $ 184,395 $ ( 70,064 ) $ — $ ( 50,200 ) $ 64,131 Reverse repurchase agreements 336,743 ( 161,956 ) ( 174,787 ) — — Liabilities Financial derivatives–liabilities ( 71,024 ) 70,064 — 956 ( 4 ) Repurchase agreements ( 2,584,040 ) 161,956 2,416,773 5,311 — (1) In the Company's Condensed Consolidated Balance Sheet, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. (2) For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of December 31, 2024 was $ 3.3 billion. As of December 31, 2024, total cash collateral on financial derivative assets and liabilities excludes excess net cash collateral pledged of $ 4.0 million and $( 0.1 ) million, respectively. (3) When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a particular asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows. 85 Table of Contents 23. Counterparty Risk The Company is exposed to concentrations of counterparty risk. It seeks to mitigate such risk by diversifying its exposure among various counterparties, when appropriate. The following table summarizes the Company's exposure to counterparty risk as of September 30, 2025 and December 31, 2024. September 30, 2025: Amount of Exposure Number of Counterparties with Exposure Maximum Percentage of Exposure to a Single Counterparty (1) (In thousands) Cash and cash equivalents $ 184,809 11 29.2 % Collateral on repurchase agreements held by dealers (2) 3,525,668 24 13.6 % Due from brokers 40,714 19 29.7 % Receivable for securities sold (3) 9,329 3 81.0 % (1) Each counterparty is a financial institution that the Company believes to be creditworthy as of September 30, 2025. (2) Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements. (3) Included in Investment related receivables on the Condensed Consolidated Balance Sheet. December 31, 2024: Amount of Exposure Number of Counterparties with Exposure Maximum Percentage of Exposure to a Single Counterparty (In thousands) Cash and cash equivalents $ 192,387 7 55.4 % Collateral on repurchase agreements held by dealers (1) 3,271,047 24 18.1 % Due from brokers 22,186 17 25.5 % Receivable for securities sold (2) 3,836 5 75.2 % (1) Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements. (2) Included in Investment related receivables on the Condensed Consolidated Balance Sheet. 24. Commitments and Contingencies The Company provides current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Company. In the normal course of business the Company may also enter into contracts that contain a variety of representations, warranties, and general indemnifications. The Company's maximum exposure under these arrangements, including future claims that may be made against the Company that have not yet occurred, is unknown. The Company has not incurred any costs to defend lawsuits or settle claims related to these indemnification agreements. As of both September 30, 2025 and December 31, 2024, the Company has no liabilities recorded for these agreements. The Company's maximum risk of loss from credit events on its securities (excluding Agency securities, which are guaranteed by the issuing government agency or government-sponsored enterprise), loans, and investments in unconsolidated entities is limited to the amount paid for such investment. Commitments and Contingencies Related to Investments in Residential Mortgage Loans In connection with certain of the Company's investments in residential mortgage loans, the Company has unfunded commitments in the amount of $ 223.1 million and $ 288.4 million as of September 30, 2025 and December 31, 2024, respectively. Loan Purchase Commitments The Company is party to mortgage loan purchase and sale flow agreements with various loan originators ("MLPAs"). As of September 30, 2025, the Company had commitments, with a fair value of $ 10 thousand, to purchase residential mortgage loans with a principal balance of $ 669.6 million, subject to completion of satisfactory due diligence and other terms of the respective MLPAs. This includes commitments, with a fair value of $ 48 thousand, to purchase residential mortgage loans with a principal balance of $ 135.6 million, from loan originators in which the Company holds an equity interest. This compares to total commitments as of December 31, 2024, with a fair value of $( 1.6 ) million, to purchase residential mortgage loans with a principal balance of $ 352.7 million; which includes commitments, with a fair value of $( 0.9 ) million, to purchase residential mortgage loans with a principal balance of $ 136.0 million, from loan originators in which the Company holds an equity interest. 86 Table of Contents The Company's loan purchase commitments are included in Other Assets or Accrued expenses and other liabilities, respectively, on the Condensed Consolidated Balance Sheet. Commitments and Contingencies Related to Investments in Loan Originators In connection with certain of its investments in mortgage and consumer loan originators, the Company has outstanding commitments and contingencies as described below. As described above in — Loan Purchase Commitments , the Company has entered into various MLPAs, including the Related-Party MLPA, as described in Note 16, under which it commits to purchase non-QM loans from a certain mortgage loan originator. As of September 30, 2025 and December 31, 2024, the Company had commitments, subject to the terms of the Related-Party MLPA, to purchase non-QM loans with a principal balance of $ 49.1 million and $ 25.6 million, respectively. As of September 30, 2025 and December 31, 2024, the fair value of such loan purchase commitments was $ 0.1 million and $( 0.2 ) million, respectively, which is included in Other assets and Accrued expenses and other liabilities, respectively, on the Condensed Consolidated Balance Sheet. The Company has also entered into agreements whereby it guarantees the performance of this mortgage loan originator under master repurchase agreements. The Company's maximum guarantees were capped at $ 15.0 million as of both September 30, 2025 and December 31, 2024 and there were no such borrowings outstanding as of either date. The Company's obligations under these arrangements are deemed to be guarantees under ASC 460-10. The Company has elected the FVO for its guarantees, which are included in Accrued expenses and other liabilities on the Condensed Consolidated Balance Sheet. As of September 30, 2025 and December 31, 2024, the estimated fair value of such guarantee was insignificant. As described above in — Loan Purchase Commitments , the Company has entered into various MLPAs, including the Related Party Loan Purchase Agreement, as described in Note 16, under which it commits to purchase RTL and non-QM loans from a certain mortgage loan originator. As of September 30, 2025 and December 31, 2024, the Company had commitments, subject to the terms of the Related Party Loan Purchase Agreement, to purchase non-QM loans with a principal balance of $ 35.4 million and $ 52.4 million, respectively. As of September 30, 2025 and December 31, 2024, the fair value of such loan purchase commitments was $( 0.1 ) million and $( 0.4 ) million, respectively, which is included in Other assets and Accrued expenses and other liabilities, respectively, on the Condensed Consolidated Balance Sheet. As described in Note 16, the Company entered into various secured promissory notes with certain mortgage loan originators in which it also holds equity interests. As of September 30, 2025 and December 31, 2024, the Company had unfunded commitments related to such secured promissory notes of $ 30.5 million and $ 5.6 million, respectively. Commitments and Contingencies Related to Investments in Unconsolidated Entities The Company has entered into agreements whereby it guarantees the performance of a securitization-related risk retention vehicle, in which it has an equity investment, under a promissory note. The Company's maximum guarantees are capped at $ 15.5 million. No such amounts were outstanding as of September 30, 2025 or December 31, 2024. As discussed in Note 16, under the terms of the RTL Commitment Agreement, the Company committed to purchase at least $ 500 million of eligible loans originated by the RTL Originator. As of September 30, 2025 and December 31, 2024, the Company has unfunded commitments under the RTL Commitment Agreement of $ 359.5 million and $ 369.0 million, respectively. Commitments and Contingencies Related to Corporate Loans The Company has investments in certain corporate loans (including a loan to an entity accumulating U.K. residential mortgages) whereby the borrowers can request additional funds under the respective agreements. As of September 30, 2025 and December 31, 2024, the Company had unfunded commitments related to such investments in the amount of $39.0 million and $ 2.6 million, respectively. As detailed in Note 16, in January 2025, the Company had extended a line of credit to the Consumer Loan Originator whereby the borrower can draw funds up to $ 1.0 million. As of September 30, 2025, the Company had unfunded commitments related to such line of credit in the amount of $ 0.8 million. Commitments to Extend Credit The Company enters into loan commitment arrangements with borrowers who have applied for reverse mortgage loans that have not yet closed. As of September 30, 2025 and December 31, 2024, the fair value of such commitments was $ 8.8 million and $ 6.7 million, respectively, which is reflected in Loan commitments on the Condensed Consolidated Balance Sheet. 87 Table of Contents The Company is required to fund further borrower advances for loans where the borrower has not fully drawn down all of the reverse mortgage loan proceeds available to them. As of September 30, 2025 and December 31, 2024, the Company had unfunded commitments related to such reverse mortgage loans of $ 2.2 billion and $ 2.1 billion, respectively. Additionally, the Company has the obligation to advance various other reverse mortgage loan-related amounts such as the borrowers' property taxes and, in the case of HECM reverse mortgage loans, monthly insurance premiums to FHA. Mandatory Repurchase Obligations As detailed in Note 13, the Company is required to purchase from HMBS pools any HECM loan that has reached 98% of the MCA. For active loans, the Company subsequently assigns such loan to HUD, which then reimburses the Company up to the MCA. For inactive loans, following resolution of the loan, the Company files a claim with HUD for any recoverable remaining principal and advance balances. Lease Commitments Longbridge, a consolidated subsidiary of the Company, leases office space and office equipment, under various operating lease arrangements, which expire on various dates through January 2035. Additionally, as a result of the Arlington Merger, the Company assumed the remaining lease for Arlington's principal office space which expired in October 2024. As discussed in Note 2, the Company makes various assumptions and estimates in recognizing the operating lease ROU assets and corresponding lease liabilities, including the e xpected lease term, incremental borrowing rate, and identifying lease and non-lease components. Total expense under all operating leases amounted to $ 0.3 million and $ 0.4 million for the three-month periods ended September 30, 2025 and 2024, respectively, and $ 0.9 million and $ 1.1 million for the nine-month periods ended September 30, 2025 and 2024, respectively. Such expense is included in Other expenses on the Condensed Consolidated Statement of Operations. The following table provides details of the Company's outstanding leases as of September 30, 2025 and December 31, 2024. ($ in thousands) September 30, 2025 December 31, 2024 ROU assets $ 4,118 $ 5,161 Lease liabilities 4,630 5,704 Weighted average remaining term (in years) 7.2 7.2 Weighted average discount rate 9.19 % 8.87 % The following table details contractual future minimum lease payments as of September 30, 2025. Minimum Payments (In thousands) Year ended December 31, 2025 $ 234 Year ended December 31, 2026 954 Year ended December 31, 2027 964 Year ended December 31, 2028 957 Year ended December 31, 2029 948 Thereafter 2,519 Total 6,576 Less: implied interest payments ( 1,946 ) Lease Liability $ 4,630 25. Segment Reporting An operating segment is defined as a component of an entity that (i) engages in business activities from which revenues are recognized and expenses incurred, (ii) has discrete financial information available, and (iii) is evaluated on a regular basis by the Chief Operating Decision Maker (the "CODM") for decision-making purposes, including investment and operating decisions, such as capital and resource allocation decisions; and communicates results, strategy, and other relevant information to the Board of Directors and shareholders. The Company's CODM is, collectively, its Chief Executive Officer and President and its Co-Chief Investment Officers. The Company has determined that it has two reportable segments, the Investment Portfolio Segment and the Longbridge Segment. The Company’s CODM assesses each segment’s performance and makes investment and operating decisions, based on each segment's contribution of net income, among other metrics. 88 Table of Contents As discussed in Note 1, the Investment Portfolio Segment includes a diverse array of the Company's financial assets, as well as associated financing, hedging, and various allocable expenses. The Longbridge Segment is primarily focused on the origination and servicing of, and investment in, reverse mortgage loans, including associated financial assets, financing, hedging, and allocated expenses. Income and expense items that are not directly allocable to either segment are included in Corporate/Other as reconciling items to the Company's consolidated financial statements. These unallocable items include: (i) all income and expense items related to the Company's Unsecured borrowings, at fair value and preferred stock outstanding, including any hedges related thereto; (ii) management and incentive fees; (iii) income tax expense (benefit); (iv) certain compensation and benefits expenses and various other expenses; and (v) interest income (expense) on cash margin. The following tables present the Company's results of operations by reportable segment for the three- and nine-month periods ended September 30, 2025 and 2024, and various reconciling items to the Company's results of operations overall. Other segment expenses may include professional, administrative and custody fees, technology- and data-related expenses, marketing expenses, licensing fees, rent and miscellaneous office expenses, and non-cash equity compensation. Three-Month Period Ended September 30, 2025 (In thousands) Investment Portfolio Segment Longbridge Segment Corporate/ Other Total Interest income $ 90,790 $ 30,467 $ 1,589 $ 122,846 Total other income (loss) ( 2,077 ) 38,455 ( 3,342 ) 33,036 Significant expenses: Interest expense ( 46,585 ) ( 22,576 ) ( 3,965 ) ( 73,126 ) Base management fee to affiliate (net of fee rebates) — — ( 6,173 ) ( 6,173 ) Investment related expenses—Servicing expense ( 1,499 ) ( 5,699 ) — ( 7,198 ) Investment related expenses—Other ( 4,178 ) ( 6,437 ) — ( 10,615 ) Compensation and benefits ( 1,828 ) ( 18,583 ) ( 1,305 ) ( 21,716 ) Other expenses — ( 7,003 ) ( 4,307 ) ( 11,310 ) Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities 34,623 8,624 ( 17,503 ) 25,744 Income tax expense (benefit) — — 1,060 1,060 Earnings (losses) from investments in unconsolidated entities 13,074 — — 13,074 Net Income (Loss) 47,697 8,624 ( 18,563 ) 37,758 Net income (loss) attributable to non-controlling interests 846 — 334 1,180 Dividends on preferred stock — — 7,074 7,074 Net Income (Loss) Attributable to Common Stockholders $ 46,851 $ 8,624 $ ( 25,971 ) $ 29,504 Non-cash items: Amortization and depreciation expense $ — $ 286 $ — $ 286 89 Table of Contents Three-Month Period Ended September 30, 2024 (In thousands) Investment Portfolio Segment Longbridge Segment Corporate/ Other Total Interest income $ 91,158 $ 14,600 $ 1,523 $ 107,281 Total other income (loss) 6,542 30,621 ( 3,812 ) 33,351 Significant expenses: Interest expense ( 55,302 ) ( 13,861 ) ( 4,491 ) ( 73,654 ) Base management fee to affiliate (net of fee rebates) — — ( 6,031 ) ( 6,031 ) Investment related expenses—Servicing expense ( 1,465 ) ( 4,869 ) — ( 6,334 ) Investment related expenses—Other ( 2,681 ) ( 6,669 ) — ( 9,350 ) Compensation and benefits ( 1,418 ) ( 16,122 ) ( 1,447 ) ( 18,987 ) Other expenses — ( 6,151 ) ( 4,071 ) ( 10,222 ) Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities 36,834 ( 2,451 ) ( 18,329 ) 16,054 Income tax expense (benefit) — — 12 12 Earnings (losses) from investments in unconsolidated entities 7,281 — — 7,281 Net Income (Loss) 44,115 ( 2,451 ) ( 18,341 ) 23,323 Net income (loss) attributable to non-controlling interests 116 39 160 315 Dividends on preferred stock — — 6,833 6,833 Net Income (Loss) Attributable to Common Stockholders $ 43,999 $ ( 2,490 ) $ ( 25,334 ) $ 16,175 Non-cash items: Amortization and depreciation expense $ — $ 314 $ — $ 314 Nine-Month Period Ended September 30, 2025 (In thousands) Investment Portfolio Segment Longbridge Segment Corporate/ Other Total Interest income $ 273,806 $ 75,453 $ 4,971 $ 354,230 Total other income (loss) 17,331 108,796 ( 4,241 ) 121,886 Significant expenses: Interest expense ( 146,968 ) ( 58,526 ) ( 12,416 ) ( 217,910 ) Base management fee to affiliate (net of fee rebates) — — ( 18,535 ) ( 18,535 ) Incentive fee to affiliate — — ( 4,533 ) ( 4,533 ) Investment related expenses—Servicing expense ( 4,586 ) ( 16,851 ) — ( 21,437 ) Investment related expenses—Other ( 9,377 ) ( 19,274 ) — ( 28,651 ) Compensation and benefits ( 6,124 ) ( 49,954 ) ( 3,912 ) ( 59,990 ) Other expenses — ( 21,332 ) ( 11,583 ) ( 32,915 ) Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities 124,082 18,312 ( 50,249 ) 92,145 Income tax expense (benefit) — — 2,439 2,439 Earnings (losses) from investments in unconsolidated entities 38,449 — — 38,449 Net Income (Loss) 162,531 18,312 ( 52,688 ) 128,155 Net income (loss) attributable to non-controlling interests 1,764 — 1,170 2,934 Dividends on preferred stock — — 21,145 21,145 Net Income (Loss) Attributable to Common Stockholders $ 160,767 $ 18,312 $ ( 75,003 ) $ 104,076 Non-cash items: Amortization and depreciation expense $ — $ 881 $ — $ 881 90 Table of Contents Nine-Month Period Ended September 30, 2024 (In thousands) Investment Portfolio Segment Longbridge Segment Corporate/ Other Total Interest income $ 271,352 $ 32,606 $ 5,314 $ 309,272 Total other income (loss) 44,203 98,658 ( 7,465 ) 135,396 Significant expenses: Interest expense ( 166,241 ) ( 31,034 ) ( 13,718 ) ( 210,993 ) Base management fee to affiliate (net of fee rebates) — — ( 17,572 ) ( 17,572 ) Investment related expenses—Servicing expense ( 3,940 ) ( 13,865 ) — ( 17,805 ) Investment related expenses—Other ( 6,485 ) ( 15,718 ) — ( 22,203 ) Compensation and benefits ( 3,594 ) ( 41,876 ) ( 4,513 ) ( 49,983 ) Other expenses — ( 18,260 ) ( 11,741 ) ( 30,001 ) Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities 135,295 10,511 ( 49,695 ) 96,111 Income tax expense (benefit) — — 214 214 Earnings (losses) from investments in unconsolidated entities 21,549 — — 21,549 Net Income (Loss) 156,844 10,511 ( 49,909 ) 117,446 Net income (loss) attributable to non-controlling interests 684 76 937 1,697 Dividends on preferred stock — — 20,312 20,312 Net Income (Loss) Attributable to Common Stockholders $ 156,160 $ 10,435 $ ( 71,158 ) $ 95,437 Non-cash items Amortization and depreciation expense $ — $ 1,156 $ — $ 1,156 The following tables present the Company's balance sheet by reportable segment as of September 30, 2025 and December 31, 2024 which reconciles to the Company's financial position overall. September 30, 2025 (In thousands) Investment Portfolio Segment Longbridge Segment Corporate/ Other Total Total Assets $ 5,510,102 $ 12,145,764 $ 188,682 $ 17,844,548 Total Liabilities 3,863,656 11,853,616 331,456 16,048,728 Total Equity 1,646,446 292,148 ( 142,774 ) 1,795,820 December 31, 2024 (In thousands) Investment Portfolio Segment Longbridge Segment Corporate/ Other Total Total Assets $ 5,628,583 $ 10,493,971 $ 194,474 $ 16,317,028 Total Liabilities 4,076,568 10,270,289 379,349 14,726,206 Total Equity 1,552,015 223,682 ( 184,875 ) 1,590,822 91 Table of Contents 26. Subsequent Events Issuance of Senior Unsecured Debt On October 6, 2025, the Company issued $ 400.0 million in aggregate principal amount of unsecured long-term debt, bearing interest at a rate of 7.375 %, which is structured as a joint and several co-issuance by certain of the Company's consolidated subsidiaries and fully guaranteed by the Company (the "7.375% Senior Notes"). Interest on the 7.375% Senior Notes is payable semi-annually in arrears. The 7.375% Senior Notes mature on September 30, 2030. Prior to September 30, 2027, the Company may redeem the 7.375% Senior Notes, at its option, in whole or in part, at a price equal to 100 % of the principal amount, plus accrued and unpaid interest and the applicable "make-whole" premium. On or after September 30, 2027, the Company may redeem the 7.375% Senior Notes, in whole or in part, at the following redemption prices (expressed as percentages of principal amount), together with accrued and unpaid interest, if any, up to, but excluding, the date of redemption: 103.688 % for the twelve-month period beginning September 30, 2027; 101.844 % for the twelve-month period beginning September 30, 2028; and 100.000 % (par) on or after September 30, 2029. Dividends Declared On October 7, 2025 , the Board of Directors approved a dividend in the amount of $ 0.13 per share of common stock payable on November 28, 2025 to stockholders of record as of October 31, 2025. Issuance of Common Shares Subsequent to September 30, 2025, the Company issued 1,250,000 shares of common stock under the Common ATM Program which provided $ 16.8 million of net proceeds after $ 0.1 million of agent commissions and offering costs. 92 Table of Contents Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations Except where the context suggests otherwise, references in this Quarterly Report on Form 10-Q to "EFC," "we," "us," and "our" refer to Ellington Financial Inc. and its consolidated subsidiaries, including Ellington Financial Operating Partnership LLC, our operating partnership subsidiary, which we refer to as our "Operating Partnership." References in this Quarterly Report on Form 10-Q to (1) "common shares" refer to shares of our common stock, $0.001 par value per share and (2) "common stockholders" refer to holders of shares of our common stock. We conduct all of our operations and business activities through our Operating Partnership. Our "Manager" refers to Ellington Financial Management LLC, our external manager, "Ellington" refers to Ellington Management Group, L.L.C. and its affiliated investment advisory firms, including our Manager, and "Manager Group" refers collectively to officers and directors of EFC, and partners and affiliates of Ellington (including families and family trusts of the foregoing). In certain instances, references to our Manager and services to be provided to us by our Manager may also include services provided by Ellington and its other affiliates from time to time . Special Note Regarding Forward-Looking Statements When used in this Quarterly Report on Form 10-Q, in future filings with the Securities and Exchange Commission (the "SEC") or in press releases or other written or oral communications, statements which are not historical in nature, including those containing words such as "believe," "expect," "anticipate," "estimate," "project," "plan," "continue," "intend," "should," "would," "could," "goal," "objective," "will," "may," "seek," or similar expressions or their negative forms or references to strategy, plans or intentions, are intended to identify "forward-looking statements" within the meaning of Section 27A of the Securities Act of 1933, as amended (the "Securities Act") and Section 21E of the Securities Exchange Act of 1934, as amended (the "Exchange Act") and, as such, may involve known and unknown risks, uncertainties, and assumptions. Forward-looking statements are based on our beliefs, assumptions, and expectations of our future operations, business strategies, performance, financial condition, liquidity and prospects, taking into account information currently available to us. These beliefs, assumptions, and expectations are subject to risks and uncertainties and can change as a result of many possible events or factors, not all of which are known to us. If a change occurs, our business, financial condition, liquidity, results of operations and strategies may vary materially from those expressed or implied in our forward-looking statements. The following factors are examples of those that could cause actual results to vary from our forward-looking statements: changes in interest rates and the market value of our securities or our investments; market volatility; changes in the prepayment rates on the mortgage loans owned by us, or underlying the securities owned by us; increased rates of default and/or decreased recovery rates on our assets; our ability to borrow to finance our assets and the available terms for such borrowings; changes in government regulations affecting our business; our ability to maintain our exclusion from registration under the Investment Company Act of 1940, as amended (the "Investment Company Act"); our ability to maintain our qualification as a real estate investment trust ("REIT"); and risks associated with investing in real estate assets, including changes in business conditions and the general economy such as changes to fiscal or monetary policy, heightened inflation, slower growth or recession, and currency fluctuations. These and other risks, uncertainties and factors, including the risk factors described under Item 1A of this Annual Report on Form 10-K, could cause our actual results to differ materially from those projected or implied in any forward-looking statements we make. All forward-looking statements speak only as of the date on which they are made. New risks and uncertainties arise over time, and it is not possible to predict those events or how they may affect us. Except as required by law, we are not obligated to, and do not intend to, update or revise any forward-looking statements, whether as a result of new information, future events, or otherwise. Executive Summary Our primary objective is to generate attractive, risk-adjusted total returns for our stockholders. We seek to attain this objective by utilizing an opportunistic strategy to make investments, without restriction as to ratings, structure, or position in the capital structure, that we believe compensate us appropriately for the risks associated with them rather than targeting a specific yield. At any particular point in time, depending on how we perceive the market's pricing of risk both generally and across sectors, we may favor higher-risk assets or we may favor lower-risk assets, or a combination of the two, in the interests of portfolio diversification or other considerations. We conduct all of our operations and business activities through the Operating Partnership. As of September 30, 2025, we had an ownership interest of approximately 99.1% in the Operating Partnership. The remaining ownership interest of approximately 0.9% in the Operating Partnership represents the interests in the Operating Partnership that are owned by an affiliate of our Manager, our current and certain former directors, and certain current and former Ellington employees and their related parties, and is reflected in our financial statements as a non-controlling interest. We are externally managed and advised by our Manager, an affiliate of Ellington. Ellington is a registered investment adviser with a 30-year history of investing in the Agency and credit markets. We have elected to be taxed as a REIT under the Internal Revenue Code of 1986, as amended (the "Code"). Provided that we maintain our qualification as a REIT, we generally will not be subject to U.S. federal, state, and local income tax on our 93 Table of Contents REIT taxable income that is currently distributed to our stockholders. Any taxes paid by a domestic taxable REIT subsidiary ("TRS") will reduce the cash available for distribution to our stockholders. REITs are subject to a number of organizational and operational requirements, including a requirement that they currently distribute at least 90% of their annual REIT taxable income excluding net capital gains. On December 14, 2023, we completed a merger between Arlington Asset Investment Corp., a Virginia corporation ("Arlington"), and our subsidiary EF Merger Sub Inc., a Virginia corporation (such transaction, the "Arlington Merger"). We have two reportable segments, the Investment Portfolio Segment and the Longbridge Segment. In our Investment Portfolio Segment, we invest in a diverse array of financial assets, including residential and commercial mortgage loans; residential mortgage-backed securities ("RMBS"), including RMBS for which the principal and interest payments are guaranteed by a U.S. government agency or a U.S. government-sponsored entity ("Agency RMBS"); commercial mortgage-backed securities ("CMBS"); consumer loans and asset-backed securities ("ABS") including ABS backed by consumer loans; investments referencing mortgage servicing rights on traditional forward mortgage loans ("Forward MSR-related investments"); collateralized loan obligations ("CLOs"); non-mortgage- and mortgage-related derivatives; debt and equity investments in loan origination companies; and other strategic investments. We refer to the portion of our investment portfolio excluding Agency RMBS as our credit portfolio. Our Longbridge Segment is focused on the origination and servicing of, and investment in, reverse mortgage loans, including associated financial assets, financing, hedging, and allocated expenses. Longbridge Financial, LLC ("Longbridge") originates home equity conversion mortgage loans ("HECM loans"), which are insured by the Federal Housing Administration ("FHA"), and non-FHA-insured reverse mortgage loans, which we refer to as "proprietary reverse mortgage loans." HECM loans are generally eligible for securitization into HECM-backed MBS ("HMBS"), which are guaranteed by the Government National Mortgage Association ("GNMA"). The strategies that we employ are intended to capitalize on opportunities in the current market environment. Subject to maintaining our qualification as a REIT and our exclusion from registration as an investment company under the Investment Company Act, we intend to adjust our strategies to changing market conditions by shifting our asset allocations across various asset classes as credit and liquidity trends evolve over time. We believe that this flexibility, combined with Ellington's experience, will help us generate more consistent returns on our capital throughout changing market cycles. Additionally, subject to maintaining our qualification as a REIT, we opportunistically hedge our credit risk, interest rate risk, yield spread risk, and foreign currency risk; however, at any point in time we may choose not to hedge all or a portion of these risks, and we will generally not hedge those risks that we believe are appropriate for us to take at such time, or that we believe would be impractical or prohibitively expensive to hedge. For more information on our targeted assets, see "—Our Targeted Asset Classes" below. 94 Table of Contents Our Targeted Asset Classes Our targeted asset classes currently include investments in the U.S. and Europe (as applicable) in the categories listed below. Subject to maintaining our qualification as a REIT, we expect to continue to invest in these targeted asset classes. Also, we expect to continue to hold certain of our targeted assets through one or more TRSs. As a result, a portion of the income from such assets will be subject to U.S. federal and certain state corporate income taxes, as applicable. Asset Class Principal Assets Agency RMBS . Whole pool pass-through certificates; . Partial pool pass-through certificates; . Agency collateralized mortgage obligations ("CMOs"), including interest only securities ("IOs"), principal only securities ("POs"), and inverse interest only securities ("IIOs"). CMBS and Commercial Mortgage Loans . CMBS; . CLOs backed by commercial mortgage loans ("CRE CLOs"); and . Commercial mortgage loans and other commercial real estate debt. Consumer Loans and ABS . Consumer loans; . ABS backed by consumer loans; . ABS backed by Small Business Administration ("SBA") loans, including IOs backed by SBA loans; and . Retained tranches from securitizations to which we have contributed assets. Corporate CLOs . Corporate CLO debt and equity tranches; and . Investments in CLO loan accumulation facilities. Mortgage-Related Derivatives . To-Be-Announced mortgage pass-through certificates ("TBAs"); . Credit default swaps ("CDS") on individual RMBS, on the ABX, CMBX and PrimeX indices and on other mortgage-related indices; and . Other mortgage-related derivatives. Non-Agency RMBS . RMBS backed by prime jumbo, Alt-A, non-QM, manufactured housing, and subprime mortgages; . RMBS backed by fixed rate mortgages, Adjustable rate mortgages ("ARMs"), Option-ARMs, and Hybrid ARMs; . RMBS backed by mortgages on single-family-rental properties; . RMBS backed by first-lien and second-lien mortgages; . RMBS backed by performing and non-performing mortgages; . Investment grade and non-investment grade securities; . Senior and subordinated securities; . IOs, POs, IIOs, and inverse floaters; . Collateralized debt obligations ("CDOs"); . RMBS backed by European residential mortgages ("European RMBS"); . Retained tranches from securitizations in which we have participated; and . Credit risk transfer securities ("CRTs"). 95 Table of Contents Asset Class Principal Assets (continued) Residential Mortgage Loans . Residential mortgage loans that are not deemed "qualified mortgage" loans under the rules of the Consumer Financial Protection Bureau ("non-QM loans"); . Residential "transition loans," such as residential bridge loans and residential "fix-and-flip" loans; . Residential non-performing mortgage loans ("NPLs"); . Re-performing loans ("RPLs"), which generally are loans that were modified and/or formerly NPLs where the borrower has resumed making payments in some form or amount; . Retained tranches from securitizations to which we have contributed assets; . Reverse mortgage loans . Closed-end second lien mortgage loans; and . Home equity line of credit loans ("HELOCs"). Strategic Investments in Loan Originators . Strategic equity and/or debt investments in loan originators and mortgage-related entities; Other . Mortgage servicing rights ("MSRs") and MSR-related investments; . Real estate, including commercial and residential real property; . Strategic equity and/or debt investments in entities related to our business; . Corporate debt and equity securities and corporate loans; . Other non-mortgage-related derivatives; and . Confirmation of originator fee certificates. Agency RMBS Our Agency RMBS assets consist primarily of whole pool (and to a lesser extent, partial pool) pass-through certificates, the principal and interest of which are guaranteed by a federally chartered corporation, such as the Federal National Mortgage Association ("Fannie Mae"), the Federal Home Loan Mortgage Corporation ("Freddie Mac"), or the Government National Mortgage Association, within the U.S. Department of Housing and Urban Development ("Ginnie Mae") and which are backed by ARMs, Hybrid ARMs, or fixed-rate mortgages. In addition to investing in pass-through certificates which are backed by traditional mortgages, we have also invested in Agency RMBS backed by reverse mortgages. Reverse mortgages are mortgage loans for which neither principal nor interest is due until the borrower dies, the home is sold, or other trigger events occur. Mortgage pass-through certificates are securities representing undivided interests in pools of mortgage loans secured by real property where payments of both interest and principal, plus prepaid principal, on the securities are made monthly to holders of the security, in effect "passing through" monthly payments made by the individual borrowers on the mortgage loans that underlie the securities, net of fees paid to the issuer/guarantor and servicers of the securities. Whole pool pass-through certificates are mortgage pass-through certificates that represent the entire ownership of (as opposed to merely a partial undivided interest in) a pool of mortgage loans. Our Agency RMBS assets are typically concentrated in specified pools. Specified pools are fixed-rate Agency pools consisting of mortgages with special characteristics, such as mortgages with low loan balances, mortgages backed by investor properties, mortgages originated through the government-sponsored "Making Homes Affordable" refinancing programs, and mortgages with various other characteristics. Our Agency strategy also includes RMBS that are backed by ARMs or Hybrid ARMs and reverse mortgages, and CMOs, including IOs, POs, and IIOs. CLOs CLOs are a form of asset-backed security typically collateralized by syndicated corporate loans or commercial mortgage loans. Our CLO holdings may include both debt and equity interests. Some of our CLOs include retained tranches from CLO securitizations for which we participated in the accumulation of the underlying assets. CMBS We acquire CMBS, which are securities collateralized by mortgage loans on commercial properties. The majority of CMBS issued are fixed rate securities backed by fixed rate loans made to multiple borrowers on a variety of property types, though single-borrower CMBS and floating rate CMBS have also been issued. The majority of CMBS utilize senior/subordinate structures, similar to those found in non-Agency RMBS. Subordination 96 Table of Contents levels vary so as to provide for one or more AAA credit ratings on the most senior classes, with less senior securities rated investment grade and non-investment grade, including a first loss component which is typically unrated. This first loss component is commonly referred to as the "B-piece," which is the most subordinated (and therefore highest yielding and riskiest) tranche of a CMBS securitization. We acquire investment grade, non-investment grade, and non-rated CMBS. Our target assets also include single-asset single-borrower CMBS ("SASB CMBS"). SASB CMBS can be collateralized by single properties or by a portfolio of properties. Commercial Mortgage Loans and Other Commercial Real Estate Debt We directly originate and participate in the origination of commercial mortgage "bridge" loans, which are loans secured by liens on commercial properties, and which have shorter terms and higher interest rates than more traditional commercial mortgage loans. Bridge loans are often secured by properties in transition, where the borrower is in the process of either re-developing or stabilizing operations at the property. We also acquire seasoned commercial mortgage bridge loans, as well as longer-term commercial mortgage loans. Some of the seasoned commercial mortgage loans that we acquire may be non-performing, underperforming, or otherwise distressed; these loans are typically acquired at a discount both to their unpaid principal balances and to the value of the underlying real estate. Our commercial mortgage loans may be fixed or floating rate and will generally have maturities ranging from one to two years. We typically originate and acquire first-lien loans but may also originate and acquire subordinated loans. As of September 30, 2025, all of our commercial mortgage loans were first-lien loans. Commercial real estate debt typically limits the borrower's right to freely prepay for a period of time through provisions such as prepayment fees, lockout, yield maintenance, or defeasance provisions. Within both our loan origination and acquisition strategies, we often focus on smaller balance loans and/or loan packages that are less-competitively-bid. These loans typically have balances that are less than $30 million, and are secured by real estate and, in some cases, a personal guarantee from the borrower. Consumer Loans and ABS We acquire U.S. consumer whole loans and ABS, including ABS backed by U.S. consumer loans. Our U.S. consumer loan portfolio consists of unsecured loans and secured auto loans. We purchase newly originated consumer loans under flow agreements with certain originators and may also purchase seasoned consumer loans in the secondary market, and we continue to evaluate new opportunities. MSRs and MSR-Related Investments An MSR represents the right to service one or more mortgage loans in exchange for a specified revenue stream, typically a portion of the interest payments due on such mortgage loans together with certain other ancillary revenue. While the owner of an MSR is ultimately responsible for servicing the underlying loans in accordance with applicable regulations, the actual loan servicing functions are often subcontracted out to third-party licensed subservicers. The mortgages underlying MSRs can either be traditional "forward" mortgage loans ("Forward MSRs") or reverse mortgage loans ("Reverse MSRs"). The revenue stream associated with an MSR is often bifurcated into two components: a "base servicing fee," representing the actual or approximate cost of performing the loan servicing functions; and the remaining revenue, or "excess servicing spread." We have in the past acquired, and, may in the future acquire, excess servicing spread from mortgage loan servicers. As a result of the Arlington Merger, we, through certain of our subsidiaries, are party to various agreements that enable us to participate in the economic returns of a portfolio of forward MSRs. The mortgage loans underlying such Forward MSR-related investments consist solely of residential mortgage loans guaranteed by Fannie Mae or Freddie Mac. Non-Agency RMBS We acquire non-Agency RMBS backed by prime jumbo, Alt-A, non-QM, manufactured housing, subprime residential, and single-family-rental mortgage loans. The loans backing our non-Agency RMBS can be performing or non-performing. Our non-Agency RMBS holdings can include investment-grade and non-investment grade classes, including non-rated classes. Non-Agency RMBS are generally debt obligations issued by private originators of, or investors in, residential mortgage loans. Non-Agency RMBS generally are issued as CMOs and are backed by pools of whole mortgage loans or by mortgage pass-through certificates. Non-Agency RMBS generally are securitized in senior/subordinated structures, or in excess spread/over-collateralization structures. In senior/subordinated structures, the subordinated tranches generally absorb all losses on the underlying mortgage loans before any losses are borne by the senior tranches. In excess spread/over-collateralization structures, losses are first absorbed by any existing over-collateralization, then borne by subordinated tranches and excess spread, which 97 Table of Contents represents the difference between the interest payments received on the mortgage loans backing the RMBS and the interest due on the RMBS debt tranches, and finally by senior tranches and any remaining excess spread. We also have acquired, and may acquire in the future, both Agency-issued and non-Agency-issued CRTs, which have credit risks similar to those of subordinated RMBS tranches, as well as RMBS backed by non-QM and CES loans, including retained tranches from loan securitizations in which we have participated. We also have acquired, and may acquire in the future, European RMBS, including retained tranches from European RMBS securitizations in which we have participated. Residential Mortgage Loans Our residential mortgage loans include newly originated non-QM loans, residential transition loans, as well as legacy residential NPLs and RPLs. A non-QM loan is not necessarily high-risk, or subprime, but is instead a loan that does not conform to the complex Qualified Mortgage ("QM") rules of the Consumer Financial Protection Bureau. For example, many non-QM loans are made to creditworthy borrowers who cannot provide traditional documentation for income, such as borrowers who are self-employed. There is also demand from certain creditworthy borrowers for loans above the QM 43% debt-to-income ratio limit that still meet all ability-to-repay standards. We hold equity investments in various non-QM originators, and to date we have purchased the majority of our non-QM loans from these originators, although we could potentially purchase a greater share of non-QM loans from other sources in the future. The residential transition loans that we purchase are typically newly originated loans and include: (i) "fix and flip" loans, which are made to real estate investors for the purpose of acquiring residential homes, making value-add improvements to such homes, and reselling the newly rehabilitated homes for a potential profit, and (ii) loans made to real estate investors for a "business purpose," such as purchasing a rental investment property, financing or refinancing a fully rehabilitated home awaiting sale, or securing short-term financing pending qualification for longer-term lower-rate financing. Our residential transition loans are secured by non-owner occupied properties, and are typically structured as fixed-rate, interest-only loans with terms to maturity between 6 and 24 months. Our underwriting guidelines focus on both the "as is" and "as repaired" property values, borrower experience as a real estate investor, and asset verification. We are also active in the market for residential NPLs and RPLs. The market for large residential NPL and RPL pools has remained highly concentrated, with the great majority having traded to only a handful of large players who typically securitize the residential NPLs and RPLs that they purchase. As a result, we have continued to focus our acquisitions on less-competitively-bid, and more attractively-priced mixed legacy pools sourced from motivated sellers. We also acquire HELOCs and closed-end second lien loans, which are loans made to homeowners collateralized by the existing equity in their homes. Closed-end second lien loans allow the borrower to take a one-time lump sum and are subordinate to the rights of the first lien mortgage holder as well as other potential senior liens. A HELOC is a line of credit that allows the borrower to draw down on their available line of credit as needed, and is subordinate to the rights of the first lien mortgage holder and to the rights of any other lien-holder on the home. Longbridge also originates HELOCs designed for homeowners aged 62 or older. These loans are typically interest only, first or second lien loans that do not require principal payments as long as the borrower remains in compliance with specific terms of the loan such as related to owner-occupancy, payment of property taxes, and keeping insurance coverage and interest payments current. They differ from traditional HELOCs in that the principal is deferred until the borrower dies, sells the home, or becomes delinquent on property taxes or homeowners insurance. We also acquire residential mortgage loans that have been originated in compliance with U.S government Agency or government-sponsored enterprise ("GSE") guidelines that are eligible for sale to or securitization by the GSEs ("Agency-eligible residential mortgage loans"). Such loans may be collateralized by owner-occupied or non-owner occupied properties. Reverse Mortgage Loans, Reverse MSRs Reverse mortgage loans are residential mortgage loans for which neither principal nor interest is due until the borrower dies, the home is sold, or other trigger events occur. Reverse mortgage loans can have either fixed interest rates or adjustable interest rates. In the case of most fixed-rate reverse mortgage loans, the borrower must draw the loan proceeds up front in one lump sum, while many adjustable-rate mortgage loans provide the borrower with a line of credit that can be drawn over time. We consolidate Longbridge, which acquires reverse mortgage loans both through its origination activities and through secondary market purchases. Historically, the majority of loans acquired by Longbridge have been home equity conversion mortgage loans ("HECMs"), which are insured by FHA and eligible for inclusion in GNMA-guaranteed HECM-backed MBS ("HMBS"). Longbridge is an approved issuer of HMBS, and it pools and securitizes the majority of its HECM loans into HMBS, which it then sells in the secondary market while retaining the servicing rights on the underlying HECM loans. In 98 Table of Contents addition, Longbridge opportunistically acquires, in the secondary market, HECM loans that have been mandatorily repurchased from HMBS pools ("HECM Buyout Loans") by other HECM servicers upon the outstanding principal balance of such loans reaching 98% of their respective maximum claim amount. Depending on their status, HECM Buyout Loans are either eligible to be assigned to HUD in connection with an FHA insurance claim ("assignable buyout loans," or "ABOs"), or ineligible to be assigned to HUD ("non-assignable buyout loans," or "NABOs"). Longbridge also originates and purchases proprietary reverse mortgage loans, which typically carry loan balances or credit lines that exceed FHA limits or have other characteristics that make them ineligible for FHA insurance. The majority of Longbridge's existing MSRs relate to HECM loans that Longbridge pooled and securitized into HMBS and then sold into the secondary market with servicing rights retained. In accordance with U.S. GAAP, so long as Longbridge retains such mortgage servicing rights and the obligations relating thereto, such HECM loans do not meet the requirement for sale accounting and remain on Longbridge's balance sheet. The sold HMBS securities are accounted for as secured borrowings. In addition, Longbridge opportunistically acquires, in the secondary market or otherwise, MSRs associated with either proprietary reverse mortgage loans, HECMs or HECM buyout loans. Strategic Equity Investments in Loan Originators We have made, and in the future may make additional, equity investments in loan originators and other related entities; historically, our investments have generally represented non-controlling interests, although we are not restricted from holding controlling interests in such entities. We have also acquired debt investments and/or warrants in certain of these loan originators. We have also entered into various other arrangements, such as entering into flow agreements or providing guarantees or financing lines, with certain of the loan originators in which we have invested. TBAs and Other Mortgage-Related Derivatives In addition to investing in specified pools of Agency RMBS, we utilize TBA transactions, whereby we agree to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. TBAs are liquid, have quoted market prices, and represent the most actively traded class of mortgage-backed securities ("MBS"). TBA trading is based on the assumption that mortgage pools that are eligible to be delivered at TBA settlement are fungible and thus the specific mortgage pools to be delivered do not need to be explicitly identified at the time a trade is initiated. We generally engage in TBA transactions for purposes of managing certain risks associated with our investment strategies. Other than with respect to TBA transactions entered into by our TRSs, most of our TBA transactions are treated for tax purposes as hedging transactions used to hedge indebtedness incurred to acquire or carry real estate assets ("qualifying liability hedges"). The principal risks that we use TBAs to mitigate are interest rate and yield spread risks. For example, we may hedge the interest rate and/or yield spread risk inherent in our long Agency RMBS by taking short positions in TBAs that are similar in character. Alternatively, we may opportunistically engage in TBA transactions because we find them attractive in their own right, from a relative value perspective or otherwise. For accounting purposes, in accordance with generally accepted accounting principles in the United States of America ("U.S. GAAP") we classify TBA transactions as derivatives. We also take long and short positions in various other mortgage-related derivative instruments, including mortgage-related credit default swaps. A credit default swap is a credit derivative contract in which one party (the protection buyer) pays an ongoing periodic premium (and often an upfront payment as well) to another party (the protection seller) in return for compensation for default (or similar credit event) by a reference entity. In this case, the reference entity can be an individual MBS or an index of several MBS, such as a CMBX index. Payments from the protection seller to the protection buyer typically occur if a credit event takes place. A credit event can be triggered by, among other things, the reference entity's failure to pay its principal obligations or a severe ratings downgrade of the reference entity. Other Investment Assets Our other investment assets include real estate, including residential and commercial real property, strategic equity and/or debt investments in entities related to our business, corporate debt and equity securities, corporate loans, which can include litigation finance loans, and other non-mortgage-related derivatives. We do not typically purchase real property directly; rather, our real estate ownership usually results from foreclosure activity with respect to our acquired residential and commercial loans. Hedging Instruments Interest Rate Hedging We opportunistically hedge our interest rate risk by using various hedging strategies, subject to maintaining our qualification as a REIT. The interest rate hedging instruments that we use and may use in the future include, without limitation: 99 Table of Contents • TBAs; • interest rate swaps (including floating-to-fixed, fixed-to-floating, floating-to-floating, or more complex swaps such as floating-to-inverse floating, callable or non-callable); • CMOs; • U.S. Treasury securities; • swaptions, caps, floors, and other derivatives on interest rates; • futures and forward contracts; and • options on any of the foregoing. Because fluctuations in short-term interest rates may expose us to fluctuations in the spread between the interest we earn on certain of our investments and the interest we pay on certain of our borrowings, we may seek to manage such exposure by entering into short positions in interest rate swaps. An interest rate swap is an agreement to exchange interest rate cash flows, calculated on a notional principal amount, at specified payment dates during the life of the agreement. Typically, one party pays a fixed interest rate and receives a floating interest rate and the other party pays a floating interest rate and receives a fixed interest rate. Each party's payment obligation is computed using a different interest rate. In an interest rate swap, the notional principal is generally not exchanged. We generally enter into these transactions to offset the potential adverse effects of rising interest rates on short-term repurchase agreements. Our repurchase agreements generally have maturities of up to 364 days and carry interest rates that are determined by reference to a benchmark rate such as the Secured Overnight Financing Rate ("SOFR"). As each then-existing fixed-rate repurchase agreement ("repo") borrowing matures, it will generally be replaced with a new fixed-rate repo borrowing based on market interest rates established at that future date. In the case of interest rate swaps, most of our agreements are structured such that we receive payments based on a variable interest rate and make payments based on a fixed interest rate. The variable interest rate on which payments are received is generally calculated based on various reset mechanisms for a benchmark rate such as SOFR. To the extent that the benchmark rates used to calculate the payments we receive on our interest rate swaps continue to be highly correlated with our repo borrowing costs, our interest rate swap contracts should help to reduce the variability of our overall repo borrowing costs, thus reducing risk to the extent we hold fixed-rate assets that are financed with repo borrowings. Credit Risk Hedging We enter into credit-hedging positions in order to protect against adverse credit events with respect to our credit investments, subject to maintaining our qualification as a REIT. Our credit hedging portfolio can vary significantly from period to period, and can encompass a wide variety of financial instruments, including corporate debt or equity-related instruments, RMBS- or CMBS-related instruments, or instruments involving other markets. Our hedging instruments can include both "single-name" instruments (i.e., instruments referencing one underlying entity or security) and hedging instruments referencing indices. Our credit hedges consist of financial instruments tied to corporate credit, such as CDS on corporate bond indices, short positions in and CDS on corporate bonds, and positions involving exchange traded funds ("ETFs") of corporate bonds. They also include put contracts on certain equity indices, as well as CDS tied to individual MBS or an index of several MBS, such as CDS on CMBS indices ("CMBX"). Foreign Currency Hedging To the extent that we hold instruments denominated in currencies other than U.S. dollars, we may enter into transactions to offset the potential adverse effects of changes in currency exchange rates, subject to maintaining our qualification as a REIT. In particular, we may use currency forward contracts and other currency-related derivatives to mitigate this risk. Trends and Recent Market Developments Market Overview Federal Reserve Policy • The U.S. Federal Reserve (the "Federal Reserve") maintained the target range for the federal funds rate at 4.25%–4.50% at its July meeting. However, at its September meeting, the Federal Reserve cut rates for the first time in 2025, reducing the target range by 25 basis points to 4.00%–4.25%, with one member preferring a larger 50 basis point rate cut. In its September announcement, the Federal Reserve noted: “In considering additional adjustments to the target range for the federal funds rate, the Committee will carefully assess incoming data, the evolving outlook, and the balance of risks.” 100 Table of Contents • In the third quarter, the Federal Reserve continued to reinvest only principal payments that exceeded $35 billion on Agency RMBS and $5 billion on U.S. Treasury securities. Government Shutdown • A partial U.S. government shutdown began on October 1, 2025, following a lapse in federal appropriations due to disagreements over spending levels. Essential government functions continued to operate, but many agencies temporarily furloughed employees. The shutdown contributed to short-term uncertainty in financial markets and weighed modestly on near-term economic sentiment. Tariff Policy • In the third quarter, the U.S. administration continued to amend the broad-based tariffs announced in early April and introduced additional tariffs affecting various countries and industries. Several trading partners, including the United Kingdom, the European Union, Japan, South Korea, and others, reportedly reached agreements with the U.S. to reduce tariff levels, although many details of these trade agreements have not yet been implemented. The administration also extended the pause on higher tariffs for Chinese imports, leaving the reduced minimum tariff rate in place. Interest Rates • Interest rates trended lower in the third quarter as expectations for potential additional Federal Reserve rate cuts, a weakening labor market, and the looming threat of a government shutdown put downward pressure on yields despite a modest rise in inflation. The yield on the 2-year U.S. Treasury security traded within a 47-basis point range before ending the quarter down 11 basis points at 3.61%. The yield on the 10-year U.S. Treasury traded within a similar range before ending the quarter down 8 basis points at 4.15%. • Interest rate volatility, as measured by the MOVE Index, declined quarter over quarter and reached its lowest level since December 2021 in mid-September. • Mortgage rates also declined, with the Freddie Mac survey 30-year mortgage rate falling from 6.77% on June 26th to 6.30% on September 25th. • Secured Overnight Financing Rates (“SOFR”) declined quarter over quarter. The one-month SOFR rate fell 19 basis points to 4.13%, while the three-month SOFR rate decreased 32 basis points to 3.98%. SOFR rates drive many of our financing costs. Housing and Economic Indicators • The S&P CoreLogic Case-Shiller U.S. National Home Price NSA Index rose by 2.1% year to date through August. Meanwhile, the National Association of Realtors Housing Affordability Index increased by 3.5% year to date through September. • The Mortgage Bankers Association’s Refinance Index remained relatively low for most of the third quarter before spiking near quarter end and reaching its highest level since March 2022, ending up 68% quarter over quarter. • Mortgage prepayment speeds remained low with the Fannie Mae 30-year MBS registering CPRs of 7.4, 7.3, and 7.9, in July, August, and September, respectively. • The U.S. government shutdown delayed key data releases, including the third-quarter U.S. real GDP estimate and September unemployment. U.S. real GDP contracted by an estimated annualized rate of 0.6% in the first quarter before expanding by an estimated annualized rate of 3.8% in the second quarter. Meanwhile, the unemployment rate increased moderately during the first two months of the third quarter registering 4.2% in July and 4.3% in August. • Inflation, as measured by the 12-month change in the Consumer Price Index for All Urban Consumers ("CPI-U"), not seasonally adjusted, increased during the quarter, registering 2.7% July, 2.9% August, and 3.0% in September. This compares to the 12-month changes of 2.3% in April, 2.4% in May, and 2.7% in June 2025. Fixed Income Performance • For the third quarter, the Bloomberg U.S. MBS Index posted a return of 2.53% and an excess return (on a duration-adjusted basis) of 0.86% relative to the Bloomberg U.S. Treasury Index. • The Bloomberg U.S. Corporate Bond Index generated a return of 2.70% and an excess return of 1.02% for the quarter, while the Bloomberg U.S. Corporate High Yield Bond Index generated a return of 2.65% and an excess return of 1.36%. Corporate credit spreads were tighter quarter over quarter, with spreads on the Markit CDX North America Investment Grade and High Yield Indices falling by 3 and 17 basis points, respectively. 101 Table of Contents Equity Markets • U.S. equity markets rose steadily during the third quarter, with several major indices hitting record highs. Overall, the NASDAQ rose by 11.2%, the S&P 500 rose by 7.8%, and the Dow Jones Industrial Average rose by 5.2%. Meanwhile, London's FTSE 100 index rose by 6.7%, while the MSCI World global equity index increased by 7.0%. • Equity volatility was relatively low throughout the third quarter. Portfolio Overview and Outlook—Investment Portfolio Segment Investment Portfolio—Credit (1) The following tables summarize the long investments in our credit portfolio as of September 30, 2025 and June 30, 2025. September 30, 2025 June 30, 2025 (2) ($ in thousands) Fair Value % of Total Fair Value % of Total Dollar Denominated: CLOs $ 72,456 1.5 % $ 37,168 0.8 % CMBS 31,115 0.6 % 35,328 0.8 % Commercial mortgage loans (3)(5) 661,271 13.7 % 582,085 12.8 % Consumer loans and ABS backed by consumer loans (6) 97,346 2.0 % 89,984 2.0 % Corporate debt and equity and corporate loans 26,444 0.5 % 24,189 0.5 % Debt and equity investments in loan origination entities (7) 84,229 1.7 % 73,842 1.6 % Forward MSR-related investments 74,694 1.5 % 81,256 1.8 % HELOC and CES loans and retained RMBS (6)(8) 313,548 6.5 % 322,721 7.1 % Non-Agency RMBS 90,383 1.9 % 112,949 2.5 % Non-QM loans and retained RMBS (3)(6)(8) 2,372,070 49.0 % 2,186,350 48.1 % Other investments (9)(10) 60,840 1.3 % 57,326 1.3 % Residential transition loans and other residential mortgage loans (3)(4) 905,397 18.7 % 877,421 19.3 % Non-Dollar Denominated: CLOs 9,969 0.2 % 6,993 0.2 % Corporate debt and equity 186 — % 207 — % RMBS (11)(12) 13,626 0.3 % 14,138 0.3 % Other residential mortgage loans 29,761 0.6 % 38,725 0.9 % Total Long Credit Portfolio $ 4,843,335 100.0 % $ 4,540,682 100.0 % Adjustments: Less: Non-retained tranches of consolidated securitization trusts 1,281,857 1,319,037 Total adjusted long credit portfolio $ 3,561,478 $ 3,221,645 (1) This information does not include U.S. Treasury securities, securities sold short, or financial derivatives. (2) Conformed to current period presentation. (3) Includes related REO. In accordance with U.S. GAAP, REO is not considered a financial instrument and, as a result, is included at the lower of cost or fair value, as discussed in Note 2 of the notes to consolidated financial statements. (4) Other residential mortgage loans include Agency-eligible mortgage loans and secondary market purchases of non-performing and re-performing mortgage loans. (5) Includes equity investments in unconsolidated entities holding commercial mortgage loans and REO and corporate loans secured by commercial mortgage loans. (6) Includes equity investments in securitization-related vehicles. (7) Includes corporate loans to certain loan origination entities in which we hold an equity investment. (8) Retained RMBS represents RMBS issued by non-consolidated Ellington-sponsored loan securitization trusts, and interests in entities holding such RMBS. (9) Includes equity investment in Ellington affiliate. (10) Includes equity investment in an unconsolidated entity which purchases certain other loans for eventual securitization. (11) Includes loan to an entity which purchases residential mortgage loans for eventual securitization. (12) Includes investment in an unconsolidated entity holding European RMBS. Our total adjusted long credit portfolio increased by 11% to $3.56 billion as of September 30, 2025, compared to $3.22 billion as of June 30, 2025. The increase was driven by net purchases of non-QM loans, commercial mortgage bridge loans, other residential mortgage loans, and CLOs; and a larger portfolio of retained non-QM RMBS. These increases were partially offset by the impact of loans sold into securitizations, net sales of non-Agency RMBS, and a smaller residential transition loan portfolio, with principal paydowns in that portfolio exceeding new purchases. 102 Table of Contents Overall positive performance was driven by higher net interest income in the credit portfolio, and net realized and unrealized gains from residential transition loans and other loans and ABS. We also benefitted from strong credit performance across our loan businesses and positive results from our equity investments in loan originators. Partially offsetting higher net interest income were net realized and unrealized losses on non-QM retained tranches, CLOs, forward MSR-related investments, and residential REO. The percentage of delinquent loans in our residential mortgage loan portfolio decreased quarter over quarter, while the percentage of delinquent loans in our commercial mortgage loan portfolio (including loans accounted for as equity method investments) increased during the quarter. Both of these portfolios continue to experience low levels of realized credit losses and strong overall credit performance, though we continue to work out several non-performing assets. During the quarter, the net interest margin on our credit portfolio increased to 3.65% from 3.11%, driven by an increase in asset yields and a lower cost of funds. We continued to benefit from positive carry on our interest rate swap hedges, where we overall receive a higher floating rate and pay a lower fixed rate. Supplemental Credit Portfolio Information: The following tables provide supplemental information to, and should be read in conjunction with, the notes to our financial statements. See Note 5— Investments in Loans , Note 7— Forward MSR-related Investments , and Note 8— Investments in Unconsolidated Entities, of the Notes to Condensed Consolidated Financial Statements included in Item 8 of this Quarterly Report on Form 10-Q. The table below details certain information regarding our investments in commercial mortgage loans as of September 30, 2025: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield (1) Life (Years) (2) Commercial mortgage loans (3)(4) $ 826,940 $ (1,078) $ 825,862 $ 154 $ (1,217) $ 824,799 10.02 % 9.91 % 1.09 (1) Excludes commercial mortgage loans in non-accrual status, with a fair value of $103.7 million. (2) Expected average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. (3) Includes our allocable portion of commercial mortgage loans, based on our ownership percentage, held in variable interest entities. Our equity investments in such variable interest entities are included in Investments in unconsolidated entities, at fair value on the Condensed Consolidated Balance Sheet. (4) As of September 30, 2025, all of our commercial mortgage loans were first-lien mortgages. The table (1)(2) below summarizes our interests in commercial mortgage loans by payment status of the loan as of September 30, 2025: September 30, 2025 (In thousands) Unpaid Principal Balance Fair Value Performing $ 722,237 $ 721,062 Non-performing 104,703 103,737 Total $ 826,940 $ 824,799 (1) Includes our allocable portion of commercial mortgage loans, based on our ownership percentage, held in variable interest entities. Our equity investments in such variable interest entities are included in Investments in unconsolidated entities, at fair value on the Condensed Consolidated Balance Sheet. (2) As discussed in Note 2 and Note 5 of the Notes to Condensed Consolidated Financial Statements, commercial loans that are 90 days or more delinquent are considered non-performing. As of September 30, 2025, we held two commercial REO properties with a fair value of $17.5 million. Additionally, as of September 30, 2025, an unconsolidated variable interest entity in which we co-invest with other Ellington affiliates held a commercial REO property; the fair value of our allocable portion of such REO was approximately $39.1 million. 103 Table of Contents The table below summarizes our interests in commercial mortgage loans by property type of the underlying real estate collateral, as a percentage of total outstanding unpaid principal balance, as of September 30, 2025: Property Type (1) September 30, 2025 Multifamily 56.3 % Hotel 13.5 % Retail 10.0 % Industrial 8.6 % Commercial Mixed Use 6.7 % Office 2.8 % Mobile Home Community 1.4 % Self Storage 0.7 % 100.0 % (1) Includes our allocable portion of commercial mortgage loans, based on our ownership percentage, held in variable interest entities. Our equity investments in such variable interest entities are included in Investments in unconsolidated entities, at fair value on the Condensed Consolidated