What changed in this filing

/stocks — the workspaceLOADING

Item 2. Management’s Discussion and Analysis

2026-08-05 compared with 2026-05-06 · 203 added, 160 removed, 479 unchanged (43% of the section changed)

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These beliefs, assumptions and expectations can change as a result of many possible events or factors, not all of which are known to us.

We caution you not to rely unduly on any forward-looking statements and urge you to carefully consider the factors described under the headings “Risk Factors” and “Management’s Discussion and Analysis of Financial Condition and Results of Operations” and elsewhere in this Report and our Annual Report on Form 10-K.

We caution you not to rely unduly on any forward-looking statements and urge you to carefully consider the factors described under the headings “Risk Factors” and “Management’s Discussion and Analysis of Financial Condition and Results of Operations” in our Annual Report on Form 10-K for the year ended December 31, 2025 and this Report, which may be updated by subsequently filed quarterly reports on Form 10-Q or current reports on Form 8-K .

If a change occurs, our business, financial condition, liquidity and results of operations may vary materially from those expressed in our forward-looking statements.

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Our objective is to provide attractive risk-adjusted returns to our stockholders, primarily through dividends and secondarily through capital appreciation.

As of March 31, 2026, we were invested in:

As of June 30, 2026, we were invested in:

• residential mortgage-backed securities (“RMBS”) that are guaranteed by a U.S.

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Macroeconomic factors that affect our business include inflation, economic growth, employment conditions, public policy, fiscal and monetary policy, interest rates, interest rate volatility, financial conditions, spread premiums, residential and commercial real estate prices, credit availability, the health of the banking system, consumer spending, personal income and corporate earnings.

Of these macroeconomic factors, financial conditions, inflation, employment conditions, monetary policy, interest rates and interest rate volatility had the most direct impact on our performance and financial condition during the first quarter of 2026.

Following a strong recovery in the second half of 2025 and impressive start to the new year, financial conditions deteriorated in the latter half of the first quarter, initially weakening as market volatility rose amid signs of a softening labor market.

The decline accelerated following the outbreak of conflict in the Middle East toward the end of February to end the quarter notably weaker.

Against this backdrop of heightened geopolitical risk, equity markets reacted negatively with the S&P 500 and NASDAQ declining 4.6% and 7.1%, respectively.

Credit markets followed a similar trajectory, as valuations across investment-grade credit, high yield bonds and emerging market debt came under pressure amid the sharp increase in volatility.

Inflation readings trended mostly higher during the first quarter, remaining above the Federal Reserve’s 2% target.

The headline consumer price index (“CPI”) ended the quarter at 3.3%, up from 2.7% in December, reflecting a sharp rise in energy and commodity prices stemming from the outbreak of conflict in the Middle East.

Core CPI, which excludes food and energy, remained steady at 2.6%.

Amid heightened uncertainty around energy prices, investors revised inflation expectations higher, most clearly reflected in Treasury inflation-protected securities breakeven rates.

The two-year breakeven rose sharply higher to 3.25% at quarter-end, up from 2.30% at year-end, while the five-year breakeven increased to 2.60%.

The Federal Open Market Committee (“FOMC”) kept the benchmark Federal Funds target rate unchanged at both meetings during the quarter, citing a balance between the risks of a weakening labor market and persistently elevated inflation.

Expectations for future monetary policy action, as reflected in the Fed Funds futures market, were influenced by heightened volatility stemming from increased geopolitical risks related to the conflict in the Middle East.

The futures market began the quarter with expectations for two rate cuts by year-end, driven by signs of labor market softness.

However, as commodity and energy prices surged, those expectations reversed, with futures markets subsequently indicating that the FOMC is likely to maintain its current policy stance through the remainder of 2026.

Financial conditions improved during the second quarter of 2026 despite periodic bouts of volatility driven by geopolitical developments in the Middle East, elevated energy prices and shifting expectations for monetary policy.

Strong labor market conditions, resilient economic growth and moderating interest rate volatility supported risk assets, while investors navigated uncertainty surrounding inflation and energy prices.

Against this backdrop, equity markets generated strong returns during the quarter, with broad market indices recovering from periods of volatility and ending the quarter at or near record highs.

Credit markets also performed well, as risk premiums across investment grade, high yield and securitized bonds generally tightened amid improving investor confidence and continued demand for income-oriented assets.

Inflation remained notably above the Federal Reserve’s 2% target throughout the quarter.

The year-over-year increase in the headline consumer price index (“CPI”) increased during the quarter, rising from approximately 3.3% in March to 3.5% by quarter end, reflecting the impact of higher energy prices and broader inflationary pressures.

The year-over-year increase in core CPI, which excludes food and energy, was unchanged from the beginning of the quarter at 2.6%.

Despite uncertainty around energy prices, investors revised their inflation expectations lower, most clearly reflected in Treasury inflation-protected securities breakeven rates.

The two-year breakeven declined sharply to 2.00% at quarter end from 3.25% at the end of the first quarter, while the five-year breakeven decreased to 2.27% from 2.60%.

The Federal Open Market Committee (“FOMC”) maintained its target range for the Federal Funds rate at 3.50% to 3.75% throughout the second quarter, citing continued economic resilience, a strong labor market and inflation that remained above its long term objective.

Expectations for future monetary policy shifted meaningfully during the quarter.

Investors entered the period anticipating that moderating inflation and slowing economic growth would eventually lead to policy easing.

However, stronger than expected economic data, elevated energy prices and a modest reacceleration in inflation prompted market participants to reassess this outlook.

By quarter end, Federal Funds futures reflected growing expectations that the FOMC's next move would be a hike rather than a cut.

Interest rates increased across the U.S.

Treasury yield curve during the quarter, reflecting market expectations for higher inflation as elevated energy prices continued to work their way through the economy.

Treasury yield curve during the quarter as investors reassessed the outlook for inflation and monetary policy amid resilient economic growth, a strong labor market and elevated energy prices.

The two-year U.S.

Treasury yield increased by 37 basis points to 4.17%, the five-year yield rose by 29 basis points to 4.23% and the ten-year yield rose by 16 basis points to 4.47%.

Interest rate volatility also moved higher during the quarter, driven by rising concerns around a weakening labor market and increasing geopolitical risks.

Against this macroeconomic backdrop, Agency RMBS delivered mixed performance relative to interest rate hedges during the quarter, as lower coupons performed well while higher coupons underperformed.

Excess returns relative to U.S.

Treasuries were strong in January as the robust performance in the second half of 2025 carried over into the new year, supported by declining interest rate volatility and the announcement of a $200 billion Agency MBS purchase program by Fannie Mae and Freddie Mac.

Following the initial post-announcement surge of demand, however, performance languished, as profit-taking and uncertainty regarding the implementation of the purchase program emerged alongside a modest move higher in interest rate volatility.

Underperformance accelerated in March at the onset of the geopolitical turmoil in the Middle East, as interest rate volatility rose sharply given higher interest rates and increased expectations for tighter monetary policy.

Although lower coupon performance remained positive throughout the quarter, higher coupons were negatively impacted by rising prepayment concerns in the beginning of the quarter and their elevated sensitivity to increased interest rate volatility in the latter half of the quarter.

In addition, swap spreads tightened notably during the quarter, negatively impacting Agency RMBS hedged with swaps relative to those hedged with U.S.

Despite elevated market volatility, heightened geopolitical concerns and relatively elevated supply, Agency CMBS risk premiums contracted during the first quarter as issuance was met with continued investor demand, particularly from banks and money managers attracted to the sector’s high-quality collateral, stable cash flows and relative value versus other spread products.

March 31, 2026 December 31, 2025 September 30, 2025 June 30, 2025 March 31, 2025 One Quarter Change One Year Change

Interest rate volatility remained relatively well contained during the quarter despite periodic bouts of market uncertainty driven by geopolitical developments in the Middle East and evolving policy expectations.

Against this macroeconomic backdrop, Agency RMBS performance relative to interest rate hedges was mixed across the coupon stack.

Higher coupon securities, which benefitted from improving risk sentiment, declining interest rate volatility and favorable market technicals, generally outperformed lower coupon securities.

Demand from banks, asset managers, mortgage REITs and other institutional investors remained robust throughout the quarter, while net supply was readily absorbed despite elevated gross issuance activity, underscoring the sector's resilience amid elevated inflation and evolving monetary policy expectations.

Attractive carry, strong investor demand and favorable relative valuations versus other high-quality fixed-income sectors continued to support investor interest in Agency RMBS throughout the period.

During the quarter, Agency CMBS risk premiums remained relatively unchanged as supply was readily absorbed by continued institutional demand from banks, insurance companies and asset managers seeking high-quality spread assets.

Supported by stable cash flows and attractive risk-adjusted yields relative to other spread sectors, Agency CMBS remained well positioned within the fixed income market.

June 30, 2026 March 31, 2026 December 31, 2025 September 30, 2025 June 30, 2025 One Quarter Change One Year Change

Interest Rates

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Treasury 4.95 % 4.89 % 4.83 % 4.73 % 4.77 % 0.06 % 0.18 %

(in basis points) March 31, 2026 December 31, 2025 September 30, 2025 June 30, 2025 March 31, 2025 One Quarter Change One Year Change

(in basis points) June 30, 2026 March 31, 2026 December 31, 2025 September 30, 2025 June 30, 2025 One Quarter Change One Year Change

Swap Spreads (1)

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Treasury security with a similar maturity.

Risk sentiment has improved entering the second quarter, supported by a decline in interest rate volatility.

A further de‑escalation of the Middle East conflict would likely provide additional support for risk assets.

From a supply‑and‑demand perspective, Agency RMBS net issuance is expected to remain manageable, the GSEs continue to provide steady demand and bank participation is likely to increase, supported in part by recent Basel capital framework proposals that improve the relative capital efficiency of high-quality mortgage assets.

Together, these macro and technical factors create a more constructive backdrop for our Agency RMBS holdings, particularly as wider spread levels relative to the prior quarter offer more attractive entry points.

In addition, despite elevated supply, our Agency CMBS continues to offer attractive risk‑adjusted yields and diversification benefits, given its stable cash flow profile and lower sensitivity to interest rate fluctuations.

Our outlook for Agency RMBS and Agency CMBS remains constructive.

While uncertainty surrounding monetary policy and geopolitical developments persists, we believe valuations remain compelling as interest rate volatility and inflation expectations have moderated from their first quarter peaks.

Supply and demand dynamics remain favorable, as net issuance is expected to be contained, and broad-based investor demand remains supportive.

Agency CMBS is also well positioned, supported by its attractive risk-adjusted yields, relatively low sensitivity to interest rate fluctuations, and diversification benefits.

Taken together, these macroeconomic and market technical factors create a favorable backdrop for our investment strategy as we enter the second half of 2026.

Investment Activities

The table below shows the composition of our investment portfolio including TBAs as of March 31, 2026, December 31, 2025 and March 31, 2025.

The table below shows the composition of our investment portfolio including TBAs as of June 30, 2026, December 31, 2025 and June 30, 2025.

$ in thousands As of

March 31, 2026 December 31, 2025 March 31, 2025

June 30, 2026 December 31, 2025 June 30, 2025

30 year fixed-rate pass-through, at fair value 5,983,629 5,309,160 4,222,203

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Agency CMBS, at fair value 901,894 898,129 891,521

Non-Agency RMBS, at fair value — — 7,215

Subtotal 6,949,909 6,276,609 5,185,559

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For further information on how management evaluates our at-risk leverage, see Non-GAAP Financial Measures below.

As o f March 31, 2026, our holdings of 30 year fixed-rate Agency RMBS represented approximately 70% of our total investment portfolio including TBAs, compared to 85% as of December 31, 2025 and 84% as of March 31, 2025.

Our 30 year fixed-rate Agency RMBS holdings as of March 31, 2026, December 31, 2025 and March 31, 2025 consisted of specified pools with coupon distributions as shown in the table below.

March 31, 2026 December 31, 2025 March 31, 2025

As o f June 30, 2026, our holdings of 30 year fixed-rate Agency RMBS represented approximately 73% of our total investment portfolio including TBAs, compared to 85% as of December 31, 2025 and 81% as of June 30, 2025.

Our 30 year fixed-rate Agency RMBS holdings as of June 30, 2026, December 31, 2025 and June 30, 2025 consisted of specified pools with coupon distributions as shown in the table below.

June 30, 2026 December 31, 2025 June 30, 2025

$ in thousands Fair Value Percentage Period-end Weighted Average Yield Fair Value Percentage Period-end Weighted Average Yield Fair Value Percentage Period-end Weighted Average Yield

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We seek to capitalize on the impact of prepayments on our investment portfolio by purchasing specified pools with characteristics that optimize borrower incentive to prepay for both our premium and discount priced investments.

The table below shows the specified pool characteristics of our 30 year fixed-rate Agency RMBS holdings as of March 31, 2026, December 31, 2025 and March 31, 2025.

March 31, 2026 December 31, 2025 March 31, 2025

The table below shows the specified pool characteristics of our 30 year fixed-rate Agency RMBS holdings as of June 30, 2026, December 31, 2025 and June 30, 2025.

June 30, 2026 December 31, 2025 June 30, 2025

$ in thousands Fair Value Percentage Fair Value Percentage Fair Value Percentage

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Low credit score 1,485,935 24.8 % 1,384,689 26.1 % 1,386,976 32.8 %

Investment property — — % — — % 57,800 1.4 %

Total 30 year fixed-rate Agency RMBS 5,983,629 100.0 % 5,309,160 100.0 % 4,222,203 100.0 %

As of March 31, 2026, our holdings of TBAs represented approximately 17% of our total investment portfolio.

We increased our allocation to TBAs during the first quarter of 2026 given attractive implied financing rates in the Agency RMBS TBA dollar roll market.

As of March 31, 2026, our holdings of TBAs consisted of 4.5% to 5.5% coupons in Ginnie Mae collateral.

As of March 31, 2026, our holdings of Agency CMBS represented approximately 12% of our total investment portfolio including TBAs, compared to 14% as of December 31, 2025 and 15% as of March 31, 2025.

As of June 30, 2026, our holdings of TBAs represented approximately 15% of our total investment portfolio.

We increased our allocation to TBAs during the first half of 2026 given attractive implied financing rates in the Agency RMBS TBA dollar roll market.

As of June 30, 2026, our holdings of TBAs consisted of 5.0% to 6.0% coupon securities.

As of June 30, 2026, our holdings of Agency CMBS represented approximately 11% of our total investment portfolio including TBAs, compared to 14% as of December 31, 2025 and 17% as of June 30, 2025.

These securities offer attractive risk-adjusted yields and diversification benefits.

Further, the hedging costs associated with these holdings are economical as Agency CMBS is less sensitive to interest rate risk given prepayment protection and scheduled balloon maturity payments.

As of March 31, 2026, approximately 80% of our Agency CMBS holdings were Fannie Mae DUS and 20% were Freddie Mac Multifamily Participation Certificates.

As of June 30, 2026, approximately 81% of our Agency CMBS holdings were Fannie Mae DUS and 19% were Freddie Mac Multifamily Participation Certificates.

We finance the majority of our investment portfolio through repurchase agreements.

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Maximum Balance (2)

March 31, 2025 5,354,561 4,930,237 5,354,561

June 30, 2025 4,635,881 4,577,566 4,635,881

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March 31, 2026 5,339,373 5,367,463 5,404,619

June 30, 2026 6,210,403 5,927,725 6,210,403

(1) Average quarterly balance for each period is based on month-end balances.

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We actively manage our interest rate swap portfolio as the size and composition of our investment portfolio changes.

During the three months ended March 31, 2026, we entered into interest rate swaps with a notional amount of $1.0 billion and terminated or settled interest rate swaps with a notional amount of $730.0 million.

During the six months ended June 30, 2026, we entered into interest rate swaps with a notional amount of $1.9 billion and terminated or settled interest rate swaps with a notional amount of $930.0 million.

We also use U.S.

Treasury futures contracts as an alternative way to help mitigate the potential impact of changes in interest rates on our performance.

During the three months ended March 31, 2026, we entered into U.S.

During the six months ended June 30, 2026, we entered into U.S.

Treasury futures contracts with a notional amount of $2.7 billion and terminated or settled U.S.

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Capital Activities

As of March 31, 2026, we had 36,840,411 shares of our common stock remaining available for sale from time to time in at-the-market or privately negotiated transactions under our equity distribution agreement with placement agents.

The table below shows issuances of our common stock under equity distribution agreements during the three months ended March 31, 2026 and 2025.

Three Months Ended March 31,

As of June 30, 2026, we had 21,992,905 shares of our common stock remaining available for sale from time to time in at-the-market or privately negotiated transactions under our equity distribution agreement with placement agents.

The table below shows issuances of our common stock under equity distribution agreements during the three and six months ended June 30, 2026 and 2025.

Three Months Ended June 30, Six Months Ended June 30,

Shares in ones, $ in thousands 2026 2025 2026 2025

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Cash proceeds, net of fees paid to placement agents (1)

For information on dividends declared during the three months ended March 31, 2026 and 2025, see Note 10 - “Stockholders' Equity” of our condensed consolidated financial statements in Part I.

118,109 2,163 251,741 38,231

(1) During the three and six months ended June 30, 2026, we also paid other costs of $139,000 related to issuances of common stock.

For information on dividends declared during the three and six months ended June 30, 2026 and 2025, see Note 10 - “Stockholders' Equity” of our condensed consolidated financial statements in Part I.

Item 1 of this quarterly report on Form 10-Q.

During the three months ended March 31, 2026, we did not repurchase any shares of our common stock.

During the six months ended June 30, 2026, we did not repurchase any shares of our common stock.

In May 2022, our board of directors approved a share repurchase program for our Series C Preferred Stock.

During the three months ended March 31, 2026, we repurchased and retired 64,688 of Series C Preferred Stock (three months ended March 31, 2025:

90,146 shares).

As of March 31, 2026, we had authority to repurchase 289,443 additional shares of our Series C Preferred Stock under the current preferred stock share repurchase program.

During the three and six months ended June 30, 2026, we repurchased and retired 47,222 and 111,910 of Series C Preferred Stock, respectively (three and six months ended June 30, 2025:

96,803 and 186,949 shares).

As of June 30, 2026, we had authority to repurchase 242,221 additional shares of our Series C Preferred Stock under the current preferred stock share repurchase program.

Book Value per Common Share

We calculate book value per common share as follows:

In thousands except per share amounts March 31, 2026 December 31, 2025

In thousands except per share amounts June 30, 2026 December 31, 2025

Numerator (adjusted equity):

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Book value per common share 8.03 8.72

Our book value per common share decreased 7.3% as of March 31, 2026 compared to December 31, 2025.

Our book value per common share decreased 7.9% as of June 30, 2026 compared to December 31, 2025.

The decrease in our book value per common share was primarily due to unrealized losses on investments, dividends declared and expenses, which were partially offset by net interest income and gains on derivative instruments.

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Results of Operations

The table below presents information from our condensed consolidated statements of comprehensive income (loss) for the three months ended March 31, 2026 and 2025.

Three Months Ended March 31,

The table below presents information from our condensed consolidated statements of comprehensive income (loss) for the three and six months ended June 30, 2026 and 2025.

Three Months Ended June 30, Six Months Ended June 30,

$ in thousands, except share data 2026 2025 2026 2025

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Interest Income and Average Earning Asset Yields

The table below presents information related to our average earning assets and earning asset yields for the three months ended March 31, 2026 and 2025.

Three Months Ended March 31,

The table below presents information related to our average earning assets and earning asset yields for the three and six months ended June 30, 2026 and 2025.

Three Months Ended June 30, Six Months Ended June 30,

$ in thousands 2026 2025 2026 2025

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All yields are annualized.

Average earning assets increased $523.9 million for the three months ended March 31, 2026 compared to the same period in 2025.

Average earning assets increased $1.6 billion and $1.0 billion for the three and six months ended June 30, 2026, respectively, compared to the same periods in 2025.

Changes in our average earning assets are a factor of our total stockholders' equity, our desired leverage levels and our allocation to TBAs.

Average earning asset yields decreased 9 basis points for the three months ended March 31, 2026 compared to the same period in 2025.

Average earning asset yields decreased 41 and 25 basis points for the three and six months ended June 30, 2026, respectively, compared to the same periods in 2025.

Changes in our average earning asset yields are driven by the composition of our investments, amortized cost of our securities and prepayment rates.

Our interest income includes coupon interest and net (premium amortization) discount accretion as shown in the table below.

Three Months Ended March 31,

Three Months Ended June 30, Six Months Ended June 30,

$ in thousands 2026 2025 2026 2025

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Total interest income 85,408 70,624 165,049 144,470

Our interest income increased $5.8 million for the three months ended March 31, 2026 compared to the same period in 2025 due to an increase in average earning assets, which was partially offset by a decrease in average earning asset yields.

Our interest income increased $14.8 million and $20.6 million for the three and six months ended June 30, 2026, respectively, compared to the same periods in 2025 due to an increase in average earning assets, which was partially offset by lower average earning asset yields.

Prepayment Speeds

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Conversely, faster prepayment rates on securities purchased at a discount relative to par value result in higher discount accretion and an increase in interest income.

The following table presents net (premium amortization) discount accretion recognized for the three months ended March 31, 2026 and 2025.

Three Months Ended March 31,

The following table presents net (premium amortization) discount accretion recognized for the three and six months ended June 30, 2026 and 2025.

Three Months Ended June 30, Six Months Ended June 30,

$ in thousands 2026 2025 2026 2025

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Net (premium amortization) discount accretion (880) (356) (1,478) (144)

The change in net (premium amortization) discount accretion for the three months ended March 31, 2026 compared to the same period in 2025 was the result of an increase in the amortized costs of our securities relative to par value and faster prepayment rates on higher-coupon, premium-priced securities, which was partially offset by the acceleration of discount accretion on certain Agency CMBS that fully repaid during the period.

The increase in net premium amortization for the three and six months ended June 30, 2026 compared to the same periods in 2025 was due to changes in the size and composition of our investment portfolio, including the purchase price of the securities relative to par value, and faster prepayment speeds on higher-coupon securities.

Net premium amortization for the three and six months ended June 30, 2026 was partially offset by our rotation out of 6.5% coupon Agency RMBS and, solely with respect to the six months ended June 30, 2026, the acceleration of discount accretion on Agency CMBS that fully repaid during the first quarter of 2026.

Interest Expense and Cost of Funds

The table below presents information related to our borrowings and cost of funds for the three months ended March 31, 2026 and 2025.

Three Months Ended March 31,

The table below presents information related to our borrowings and cost of funds for the three and six months ended June 30, 2026 and 2025.

Three Months Ended June 30, Six Months Ended June 30,

$ in thousands 2026 2025 2026 2025

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(3) Average cost of funds is calculated by dividing annualized interest expense by our average borrowings.

Average borrowings increased $437.2 million for the three months ended March 31, 2026 compared to the same period in 2025.

Average borrowings increased $1.4 billion and $896.2 million for the three and six months ended June 30, 2026, respectively, compared to the same periods in 2025.

Changes in our average borrowings are a factor of our total stockholders' equity, our desired leverage levels and our allocation to TBAs.

Cost of funds decreased 54 basis points for the three months ended March 31, 2026 compared to the same period in 2025.

Changes in our cost of funds are substantially driven by the Federal Funds target rate, which was set at a range of 3.50% to 3.75% during the three months ended March 31, 2026 and a range of 4.25% to 4.50% during the three months ended March 31, 2025 .

The table below presents the components of interest expense for the three months ended March 31, 2026 and 2025.

Three Months Ended March 31,

Cost of funds decreased 89 and 72 basis points for the three and six months ended June 30, 2026, respectively, compared to the same periods in 2025.

Changes in our cost of funds are substantially driven by the Federal Funds target rate, which was set at a range of 3.50% to 3.75% during the six months ended June 30, 2026 and a range of 4.25% to 4.50% during the six months ended June 30, 2025 .

The table below presents the components of interest expense for the three and six months ended June 30, 2026 and 2025.

Three Months Ended June 30, Six Months Ended June 30,

$ in thousands 2026 2025 2026 2025

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Interest expense on repurchase agreement borrowings 55,308 52,895 107,901 107,920

Our interest expense decreased $2.4 million for three months ended March 31, 2026 compared to the same period in 2025 due to a lower cost of funds, which was partially offset by an increase in average borrowings.

Our interest expense increased $2.4 million for three months ended June 30, 2026 compared to the same period in 2025 due to an increase in average borrowings, which was partially offset by a lower cost of funds.

Our interest expense was relatively unchanged for the six months ended June 30, 2026 compared to the same period in 2025 as a lower cost of funds was offset by an increase in average borrowings.

Net Interest Income

The table below presents the components of net interest income for the three months ended March 31, 2026 and 2025.

Three Months Ended March 31,

The table below presents the components of net interest income for the three and six months ended June 30, 2026 and 2025.

Three Months Ended June 30, Six Months Ended June 30,

$ in thousands 2026 2025 2026 2025

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Net interest rate margin 1.42 % 0.94 % 1.43 % 0.96 %

Our net interest income, which equals total interest income less total interest expense, increased for the three months ended March 31, 2026 compared to the same period in 2025 due to a lower cost of funds and higher average earning assets, which were partially offset by higher average borrowings and lower average earning asset yields.

Our net interest rate margin, which equals the yield on our average earning assets for the period less the average cost of funds, increased for the three months ended March 31, 2026 compared to the same period in 2025 due to a lower cost of funds, which was partially offset by lower average earning asset yields.

Our net interest income, which equals total interest income less total interest expense, increased for the three and six months ended June 30, 2026 compared to the same periods in 2025 due to higher average earning assets and a lower cost of funds, which were partially offset by higher average borrowings and lower average earning asset yields.

Our net interest rate margin, which equals the yield on our average earning assets for the period less the average cost of funds, increased for the three and six months ended June 30, 2026 compared to the same periods in 2025 due to a lower cost of funds, which was partially offset by lower average earning asset yields.

Our cost of funds is generally more sensitive to changes in interest rates than the yield on our investment portfolio, which is largely comprised of 30 year fixed-rate Agency RMBS.

Gain (Loss) on Investments, net

The table below summarizes the components of gain (loss) on investments, net for the three months ended March 31, 2026 and 2025.

Three Months Ended March 31,

The table below summarizes the components of gain (loss) on investments, net for the three and six months ended June 30, 2026 and 2025.

Three Months Ended June 30, Six Months Ended June 30,

$ in thousands 2026 2025 2026 2025

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Total gain (loss) on investments, net (21,226) (5,268) (76,166) 76,890

During the three months ended March 31, 2026, we sold our holdings of 6.5% coupon Agency RMBS and realized net gains of $443,000.

Net realized losses of $5.5 million during the three months ended March 31, 2025 reflect sales of 4.0% coupon Agency RMBS.

During the six months ended June 30, 2026, we sold our holdings of 6.5% coupon Agency RMBS and realized net gains of $443,000.

During the three and six months ended June 30, 2025 we realized net gains of $1.8 million and net losses of $3.6 million, respectively.

Net realized gains during the three months ended June 30, 2025 primarily reflect sales of Agency RMBS during the period of heightened market volatility experienced early in the second quarter.

Net realized losses during the six months ended June 30, 2025 primarily reflect sales of lower-coupon Agency RMBS during the first quarter.

Under the fair value option, changes in fair value are recognized in income on the condensed consolidated statements of comprehensive income (loss).

As of March 31, 2026 and December 31, 2025, all of our MBS were accounted for under the fair value option.

We recorded net unrealized losses of $55.4 million on our MBS during the three months ended March 31, 2026 due to an increase in interest rates and wider spreads.

We recorded net unrealized gains of $87.6 million on our MBS portfolio accounted for under the fair value option during the three months ended March 31, 2025 due to a sharp decline in interest rates.

As of June 30, 2026 and December 31, 2025, all of our MBS were accounted for under the fair value option.

We recorded net unrealized losses of $21.2 million and $76.6 million during the three and six months ended June 30, 2026, respectively, due to an increase in interest rates.

We recorded net unrealized losses on our MBS portfolio accounted for under the fair value option of $7.1 million in the three months ended June 30, 2025 as the heightened market volatility that negatively impacted valuations in April 2025 largely subsided prior to quarter end.

We recorded net unrealized gains on our MBS portfolio accounted for under the fair value option of $80.5 million in the six months ended June 30, 2025 primarily due to a sharp decline in interest rates during the first quarter.

Gain (Loss) on Derivative Instruments, net

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$ in thousands

Three months ended March 31, 2026

Three months ended June 30, 2026

Derivative Instruments Realized Gain (Loss) on Derivative Instruments, Net Contractual Net

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$ in thousands

Three months ended March 31, 2025

Three months ended June 30, 2025

Derivative Instruments Realized Gain (Loss) on Derivative Instruments, Net Contractual Net

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Total (47,608) 28,631 (11,939) (30,916)

As of March 31, 2026 and December 31, 2025, we held the following interest rate swaps whereby we pay fixed interest rates and receive floating interest rates based upon SOFR.

$ in thousands As of March 31, 2026 As of December 31, 2025

$ in thousands

Six months ended June 30, 2026

Derivative Instruments Realized Gain (Loss) on Derivative Instruments, Net Contractual Net

Interest Income (Expense) Unrealized

Gain (Loss), Net Gain (Loss) on Derivative Instruments, Net

Interest rate swaps (1,412) 42,335 6,680 47,603

Treasury futures contracts 4,581 — 3,071 7,652

TBAs (12,257) — 1,465 (10,792)

Total (9,088) 42,335 11,216 44,463

$ in thousands

Six months ended June 30, 2025

Derivative Instruments Realized Gain (Loss) on Derivative Instruments, Net Contractual Net

Interest Income (Expense) Unrealized

Gain (Loss), Net Gain (Loss) on Derivative Instruments, Net

Interest rate swaps (112,575) 56,710 (7,943) (63,808)

Treasury futures contracts (38,516) — (7,844) (46,360)

TBAs 1,967 — 606 2,573

Total (149,124) 56,710 (15,181) (107,595)

As of June 30, 2026 and December 31, 2025, we held the following interest rate swaps whereby we pay fixed interest rates and receive floating interest rates based on SOFR:

$ in thousands As of June 30, 2026 As of December 31, 2025

Derivative Instruments Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity

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We use interest rate swaps to manage our exposure to changing interest rates and add stability to our borrowing costs.

During the three months ended March 31, 2026, we entered into interest rate swaps with a notional amount of $1.0 billion and terminated or settled existing interest rate swaps with a notional amount of $730.0 million.

We recorded net gains of $17.5 million on interest rate swaps for the three months ended March 31, 2026 (three months ended March 31, 2025:

net losses of $47.6 million).

Net gains during the three months ended March 31, 2026 were due to an increase in swap rates.

As of March 31, 2026 and December 31, 2025, we held the following U.S.

During the six months ended June 30, 2026, we entered into interest rate swaps with a notional amount of $1.9 billion and terminated or settled existing interest rate swaps with a notional amount of $930.0 million.

We recorded net gains of $30.1 million and $47.6 million on interest rate swaps for the three and six months ended June 30, 2026, respectively (three and six months ended June 30, 2025:

net losses of $16.2 million and $63.8 million).

Net gains during the three and six months ended June 30, 2026 were due to an increase in swap rates.

As of June 30, 2026 and December 31, 2025, we held the following U.S.

Treasury futures contracts:

March 31, 2026 December 31, 2025

June 30, 2026 December 31, 2025

$ in thousands Notional Amount - Short Notional Amount - Short

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Treasury futures contracts as an alternative way to help mitigate the potential impact of changes in interest rates on our performance.

During the three months ended March 31, 2026, we entered into U.S.

During the six months ended June 30, 2026, we entered into U.S.

Treasury futures contracts with a notional amount of $2.7 billion and terminated or settled existing U.S.

Treasury futures contracts with a notional amount of $2.5 billion.

We recognized net gains of $4.3 million on U.S.

Treasury futures contracts during the three months ended March 31, 2026 (three months ended March 31, 2025:

net losses of $32.9 million).

Net gains during the three months ended March 31, 2026 were due to an increase in interest rates.

We primarily use TBAs in long positions as an alternative means of investing in and financing Agency RMBS.

Additionally, we have used and may in the future use short positions in TBAs to manage risk and economically hedge a portion of our exposure to changes in Agency RMBS valuations.

We recorded net losses of $9.0 million on TBAs during the three months ended March 31, 2026 (three months ended March 31, 2025:

net gains of $3.8 million).

Net losses on TBAs during the three months ended March 31, 2026 were due to an increase in interest rates and widening spreads.

We incurred management fees of $3.0 million for the three months ended March 31, 2026 (three months ended March 31, 2025:

$3.0 million).

We recognized net gains of $3.3 million and $7.7 million on U.S.

Treasury futures contracts during the three and six months ended June 30, 2026, respectively (three and six months ended June 30, 2025:

net losses of $13.5 million and $46.4 million).

Net gains during the three and six months ended June 30, 2026 were due to an increase in interest rates.

We primarily use long positions in TBAs as an alternative means of investing in and financing Agency RMBS.

Additionally, during the second quarter of 2025, we used short positions in TBAs in response to heightened market volatility to manage risk and economically hedge a portion of our exposure to changes in Agency RMBS valuations.

We recorded net losses of $1.8 million and $10.8 million on TBAs during the three and six months ended June 30, 2026, respectively (three and six months ended June 30, 2025:

net losses of $1.2 million and net gains of $2.6 million).

Net losses on TBAs during the three and six months ended June 30, 2026 were due to an increase in interest rates.

We incurred management fees of $3.3 million and $6.3 million for the three and six months ended June 30, 2026, respectively (three and six months ended June 30, 2025:

$2.8 million and $5.8 million).

Our management fees are determined by our average stockholders' equity.

Refer to Note 9 – “Related Party Transactions” of our condensed consolidated financial statements for a discussion of our relationship with our Manager and a description of how our fees are calculated.

Our general and administrative expenses not covered under our management agreement amounted to $1.9 million for the three months ended March 31, 2026 (three months ended March 31, 2025:

$1.7 million).

Our general and administrative expenses not covered under our management agreement amounted to $2.1 million and $4.0 million for the three and six months ended June 30, 2026, respectively (three and six months ended June 30, 2025:

$2.0 million and $3.7 million).

General and administrative expenses not covered under our management agreement primarily consist of directors and officers insurance, legal costs, accounting, auditing and tax services, filing fees and miscellaneous general and administrative costs.

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In May 2022, our board of directors approved a share repurchase program for our Series C Preferred Stock.

During the three months ended March 31, 2026, we repurchased and retired 64,688 shares of Series C Preferred Stock (three months ended March 31, 2025:

90,146 shares).

During the three and six months ended June 30, 2026, we repurchased and retired 47,222 and 111,910 shares of Series C Preferred Stock, respectively (three and six months ended June 30, 2025:

96,803 and 186,949 shares).

Gains and losses on repurchases and retirements of preferred stock represent the difference between the consideration transferred and the carrying value of the preferred stock.

Net Income (Loss) Attributable to Common Stockholders

For the three months ended March 31, 2026, our net loss attributable to common stockholders was $23.1 million (three months ended March 31, 2025:

net income of $16.3 million) or $0.28 basic and diluted net loss per average share available to common stockholders (three months ended March 31, 2025:

$0.26 net income per share).

For the three months ended June 30, 2026, our net income attributable to common stockholders was $31.8 million (three months ended June 30, 2025:

net loss of $26.6 million) or $0.34 basic and diluted net income per average share available to common stockholders (three months ended June 30, 2025:

$0.40 net loss per share).

The change in net income (loss) attributable to common stockholders was primarily due to (i) net losses on investments of $21.2 million in the 2026 period compared to net losses on investments of $5.3 million in the 2025 period;

(ii) net gains on derivative instruments of $31.6 million in the 2026 period compared to net losses on derivatives of $30.9 million in the 2025 period;

and (iii) a $12.4 million increase in net interest income.

For the six months ended June 30, 2026, our net income attributable to common stockholders was $8.7 million (six months ended June 30, 2025:

net loss of $10.3 million) or $0.10 basic and diluted net income per average share available to common stockholders (six months ended June 30, 2025:

$0.16 net loss per share).

The change in net income (loss) attributable to common stockholders was primarily due to (i) net losses on investments of $76.2 million in the 2026 period compared to net gains on investments of $76.9 million in the 2025 period;

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Furthermore, gains and losses have not been accounted for consistently under U.S.

GAAP, certain gains and losses may be reflected in net income whereas other gains and losses may be reflected in other comprehensive

GAAP, certain gains and losses may be reflected in net income whereas other gains and losses may be reflected in other comprehensive income.

For example, a portion of our mortgage-backed securities were historically classified as available-for-sale securities, and changes in the valuation of these securities were recorded in other comprehensive income on our condensed consolidated balance sheets.

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GAAP net income (loss) attributable to common stockholders to earnings available for distribution for the following periods:

Three Months Ended March 31,

Three Months Ended June 30, Six Months Ended June 30,

$ in thousands, except per share data 2026 2025 2026 2025

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Unrealized (gain) loss on derivative instruments, net (1)

(43,239) 11,939 (11,216) 15,181

TBA dollar roll income (2)

4,857 — 9,023 1,147

(Gain) loss on repurchase and retirement of preferred stock (3) (57) 24 (46)

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Earnings available for distribution per common share (3)

0.50 0.58 1.04 1.21

GAAP gain (loss) on derivative instruments, net on the condensed consolidated statements of comprehensive income (loss) includes the following components:

Three Months Ended March 31,

Three Months Ended June 30, Six Months Ended June 30,

$ in thousands 2026 2025 2026 2025

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The table below shows the components of earnings available for distribution for the following periods:

Three Months Ended March 31,

Three Months Ended June 30, Six Months Ended June 30,

$ in thousands 2026 2025 2026 2025

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(1) See below for a reconciliation of net interest income to effective net interest income, a non-GAAP measure.

Earnings available for distribution increased during the three months ended March 31, 2026 compared to the same period in 2025 due to higher effective net interest income and an increase in our allocation to TBAs.

Earnings available for distribution increased during the three and six months ended June 30, 2026 compared to the same periods in 2025 due to higher effective net interest income and an increase in our allocation to TBAs.

See below for details on the change in effective net interest income.

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GAAP financial measures, provides information that is useful to investors in understanding our borrowing costs and operating performance.

The following table reconciles total interest expense to effective interest expense and cost of funds to effective cost of funds for the following periods.

Three Months Ended March 31,

The following tables reconcile total interest expense to effective interest expense and cost of funds to effective cost of funds for the following periods:

Three Months Ended June 30,

$ in thousands Reconciliation Cost of Funds / Effective Cost of Funds Reconciliation Cost of Funds / Effective Cost of Funds

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Effective interest expense 34,551 2.33 % 24,264 2.12 %

Our effective interest expense increased in the three months ended March 31, 2026 compared to the same period in 2025 due to a decrease in contractual net interest income on interest rate swaps and an increase in average borrowings, which were partially offset by a lower cost of funds.

Our effective cost of funds increased in the three months ended March 31, 2026 compared to the same period in 2025 due to a decrease in contractual net interest income on interest rate swaps, which was partially offset by a lower cost of funds.

Six Months Ended June 30,

$ in thousands Reconciliation Cost of Funds / Effective Cost of Funds Reconciliation Cost of Funds / Effective Cost of Funds

Total interest expense 107,901 3.82 % 107,920 4.54 %

Contractual net interest expense (income) on interest rate swaps recorded as gain (loss) on derivative instruments, net (42,335) (1.50) % (56,710) (2.39) %

Effective interest expense 65,566 2.32 % 51,210 2.15 %

Our effective interest expense increased in the three and six months ended June 30, 2026 compared to the same periods in 2025 due to a decrease in contractual net interest income on interest rate swaps and an increase in average borrowings, which were partially offset by a lower cost of funds.

Our effective cost of funds increased in the three and six months ended June 30, 2026 compared to the same periods in 2025 due to a decrease in contractual net interest income on interest rate swaps, which was partially offset by a lower cost of funds.

In addition to changes caused by the underlying floating rate index, the amount of contractual net interest income or expense on interest rate swaps that we recognize has changed based on changes in the size and composition of our interest rate swap portfolio.

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Treasury futures contracts, which do not earn or incur contractual interest, in lieu of certain interest rate swaps as an alternative way to help mitigate the potential impact of changing interest rates on our performance.

preceding discussion under “Gain (Loss) on Derivative Instruments, net” for details of our interest rate swap portfolio as of March 31, 2026 and December 31, 2025.

The following table reconciles net interest income to effective net interest income and net interest rate margin to effective interest rate margin for the following periods.

Three Months Ended March 31,

See preceding discussion under “Gain (Loss) on Derivative Instruments, net” for details of our interest rate swap portfolio as of June 30, 2026 and December 31, 2025.

The following tables reconcile net interest income to effective net interest income and net interest rate margin to effective interest rate margin for the following periods:

Three Months Ended June 30,

$ in thousands Reconciliation Net Interest Rate Margin / Effective Interest Rate Margin Reconciliation Net Interest Rate Margin / Effective Interest Rate Margin

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Effective net interest income 50,857 2.82 % 46,360 3.44 %

Our effective net interest income increased in the three months ended March 31, 2026 compared to the same period in 2025 due to higher average earning assets and a lower cost of funds, which were partially offset by a decrease in contractual net interest income on interest rate swaps, higher average borrowings and lower average earning asset yields.

Our effective net interest rate margin decreased in the three months ended March 31, 2026 compared to the same period in 2025 due to a decrease in contractual net interest income on interest rate swaps and lower average earning asset yields, which were partially offset by a lower cost of funds.

Six Months Ended June 30,

$ in thousands Reconciliation Net Interest Rate Margin / Effective Interest Rate Margin Reconciliation Net Interest Rate Margin / Effective Interest Rate Margin

Net interest income 57,148 1.43 % 36,550 0.96 %

Contractual net interest income (expense) on interest rate swaps recorded as gain (loss) on derivative instruments, net 42,335 1.50 % 56,710 2.39 %

Effective net interest income 99,483 2.93 % 93,260 3.35 %

Our effective net interest income increased in the three and six months ended June 30, 2026 compared to the same periods in 2025 due to higher average earning assets and a lower cost of funds, which were partially offset by a decrease in contractual net interest income on interest rate swaps, higher average borrowings and lower average earning asset yields.

Our effective net interest rate margin decreased in the three and six months ended June 30, 2026 compared to the same periods in 2025 due to a decrease in contractual net interest income on interest rate swaps and lower average earning asset yields, which were partially offset by a lower cost of funds.

Economic Debt-to-Equity Ratio

The table below shows our debt-to-equity ratio and our economic debt-to-equity ratio as of March 31, 2026 and December 31, 2025.

The table below shows our debt-to-equity ratio and our economic debt-to-equity ratio as of June 30, 2026 and December 31, 2025.

Our debt-to-equity ratio is calculated in accordance with U.S.

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GAAP financial measure of debt-to-equity ratio, provides information that is useful to investors in understanding how management evaluates our at-risk leverage and gives investors a comparable statistic to those of other mortgage REITs who also invest in TBAs and present a similar non-GAAP measure of leverage.

$ in thousands March 31,

$ in thousands June 30,

2026 December 31,

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(1) Debt-to-equity ratio is calculated as the ratio of total repurchase agreements to total stockholders' equity.

(2) Economic debt-to-equity ratio is calculated as the ratio of total repurchase agreements and TBAs at implied cost basis ($1.2 billion as of March 31, 2026;

(2) Economic debt-to-equity ratio is calculated as the ratio of total repurchase agreements and TBAs at implied cost basis ($1.2 billion as of June 30, 2026;

none as of December 31, 2025) to total stockholders' equity.

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However, there can be no assurance that we will maintain sufficient levels of liquidity to meet any margin calls.

We held cash, cash equivalents and restricted cash of $190.9 million as of March 31, 2026 (March 31, 2025:

We held cash, cash equivalents and restricted cash of $240.5 million as of June 30, 2026 (June 30, 2025:

$190.5 million).

Our cash, cash equivalents and restricted cash change due to normal fluctuations in cash balances related to the timing of principal and interest payments, repayments of debt, and asset purchases and sales.

Our operating activities provided net cash of approximately $26.7 million for the three months ended March 31, 2026 (March 31, 2025:

Our operating activities provided net cash of approximately $68.9 million for the six months ended June 30, 2026 (June 30, 2025:

$60.0 million).

Our investing activities provided net cash of $195.0 million for the three months ended March 31, 2026 compared to net cash used by investing activities of $516.5 million for the three months ended March 31, 2025.

We used cash of $228.9 million to purchase MBS for the three months ended March 31, 2026 (March 31, 2025:

Our investing activities used net cash of $752.5 million for the six months ended June 30, 2026 (June 30, 2025:

provided net cash of $191.5 million).

We used cash of $1.4 billion to purchase MBS for the six months ended June 30, 2026 (June 30, 2025:

$1.1 billion).

Principal payments on MBS provided cash of $420.1 million (June 30, 2025:

$234.0 million).We also generated $211.5 million in proceeds from sales of MBS for the six months ended June 30, 2026 (June 30, 2025:

$1.2 billion) and used net cash of $9.1 million to settle derivative contracts for the six months ended June 30, 2026 (June 30, 2025:

$149.1 million).

We posted cash variation margin of $25.0 million on TBAs for the three months ended March 31, 2026 (March 31, 2025:

received net cash of $525,000).

Principal payments on MBS provided cash of $214.0 million (March 31, 2025:

$95.3 million).We also generated $211.5 million in proceeds from sales of MBS for the three months ended March 31, 2026 (March 31, 2025:

$373.6 million) and received net cash of $23.3 million to settle derivative contracts for the three months ended March 31, 2026 (March 31, 2025:

cash used of $101.5 million).

Our financing activities used net cash of $197.2 million for the three months ended March 31, 2026 compared to net cash provided of $467.8 million for the three months ended March 31, 2025.

During the three months ended March 31, 2026, we used net cash for repayments on our repurchase agreements of $279.9 million (March 31, 2025:

received net cash from repurchase agreements of $460.6 million).

Proceeds from issuance of common stock provided $133.6 million for the three months ended March 31, 2026 (March 31, 2025:

$36.1 million).We also paid dividends of $48.6 million for the three months ended March 31, 2026 (March 31, 2025:

Our financing activities provided net cash of $757.7 million for the six months ended June 30, 2026 (June 30, 2025:

used net cash of $271.8 million).

During the six months ended June 30, 2026, we received net cash proceeds on our repurchase agreements of $591.1 million (June 30, 2025:

used net cash for repayments on our repurchase agreements of $258.1 million).

Net proceeds from issuance of common stock provided $251.6 million for the six months ended June 30, 2026 (June 30, 2025:

$38.2 million).We also paid dividends of $85.0 million for the six months ended June 30, 2026 (June 30, 2025:

$53.8 million).

As of March 31, 2026, the average margin requirement (weighted by borrowing amount), or the haircut, under our repurchase agreements was 4.3% for Agency RMBS and 4.9% for Agency CMBS.

As of June 30, 2026, the average margin requirement (weighted by borrowing amount), or the haircut, under our repurchase agreements was 4.3% for Agency RMBS and 4.9% for Agency CMBS.

The haircuts ranged from a low of 3% to a high of 5% for Agency RMBS and a low of 4% to a high of 5% for Agency CMBS.

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Forward-Looking Statements Regarding Liquidity

As of March 31, 2026, we held $5.6 billion of Agency securities that are financed by repurchase agreements.

We also had approximately $440.5 million of unencumbered investments and unrestricted cash of $52.6 million as of March 31, 2026.

As of March 31, 2026, our known contractual obligations primarily consisted of $5.3 billion of repurchase agreement borrowings with a weighted average remaining maturity of 30 days.

As of June 30, 2026, we held $6.5 billion of Agency securities that are financed by repurchase agreements.

We also had approximately $474.9 million of unencumbered investments and unrestricted cash of $73.4 million as of June 30, 2026.

As of June 30, 2026, our known contractual obligations primarily consisted of $6.2 billion of repurchase agreement borrowings with a weighted average remaining maturity of 25 days.

We generally intend to refinance the majority of our repurchase agreement borrowings at market rates upon maturity.

Repurchase agreement borrowings that are not refinanced upon maturity are typically repaid through the use of cash on hand or proceeds from sales of securities.

Additionally, we had TBAs with an implied cost basis of $1.2 billion as of March 31, 2026.

Additionally, we had TBAs with an implied cost basis of $1.2 billion as of June 30, 2026.

Under certain market conditions, it may be uneconomical for us to roll our TBA long positions into future months.

This may result in us being required to take delivery of the underlying securities and fund those securities using cash or other financing sources, potentially reducing our liquidity.

Based upon our current portfolio and existing borrowing arrangements, we believe that cash flow from operations and available borrowing capacity will be sufficient to enable us to meet anticipated short-term (one year or less) liquidity requirements to fund our investment activities, pay fees under our management agreement, fund our required distributions to stockholders and fund other general corporate expenses.

Based on our current portfolio and existing borrowing arrangements, we believe that cash flow from operations and available borrowing capacity will be sufficient to enable us to meet anticipated short-term (one year or less) liquidity requirements to fund our investment activities, pay fees under our management agreement, fund our required distributions to stockholders and fund other general corporate expenses.

Our ability to meet our long-term (greater than one year) liquidity and capital resource requirements will be subject to obtaining ongoing debt financing.

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If a counterparty were to default on its obligations, we would be exposed to potential losses to the extent the fair value of collateral pledged by us to the counterparty, including any accrued interest receivable on such collateral, exceeded the amount loaned to us by the counterparty plus interest due to the counterparty.

As of March 31, 2026, no counterparty held collateral that exceeded the amounts borrowed under the related repurchase agreements by more than 5% of our stockholders' equity.

The following table summarizes our exposure to counterparties by geographic concentration as of March 31, 2026.

As of June 30, 2026, no counterparty held collateral that exceeded the amounts borrowed under the related repurchase agreements by more than 5% of our stockholders' equity.

The following table summarizes our exposure to counterparties by geographic concentration as of June 30, 2026.

The information is based on the geographic headquarters of the counterparty or counterparty's parent company.

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Other Matters

We believe that we satisfied each of the asset tests in Section 856(c)(4) of the Internal Revenue Code of 1986, as amended (the "Code") for the period ended March 31, 2026, and that our proposed method of operation will permit us to satisfy the asset tests, gross income tests, and distribution and stock ownership requirements for our taxable year that will end on December 31, 2026.

We believe that we satisfied each of the asset tests in Section 856(c)(4) of the Internal Revenue Code of 1986, as amended (the "Code") for the period ended June 30, 2026, and that our proposed method of operation will permit us to satisfy the asset tests, gross income tests, and distribution and stock ownership requirements for our taxable year that will end on December 31, 2026.

At all times, we intend to conduct our business so that neither we nor our Operating Partnership nor the subsidiaries of our Operating Partnership are required to register as an investment company under the 1940 Act.

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of the Operating Partnership’s other subsidiaries that we may form in the future rely upon the exclusion from the definition of “investment company” under the 1940 Act provided by Section 3(c)(5)(C) of the 1940 Act, which is available for entities “primarily engaged in the business of purchasing or otherwise acquiring mortgages and other liens on and interests in real estate.” This exclusion generally requires that at least 55% of each subsidiary’s portfolio be comprised of qualifying assets and at least 80% be comprised of qualifying assets and real estate-related assets (and no more than 20% comprised of miscellaneous assets).

We calculate that as of March 31, 2026, we conducted our business so as not to be regulated as an investment company under the 1940 Act.

We calculate that as of June 30, 2026, we conducted our business so as not to be regulated as an investment company under the 1940 Act.

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 2. Management’s Discussion and Analysis