What changed in this filing

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Item 2. Management’s Discussion and Analysis

2025-11-07 compared with 2025-08-05 · 320 added, 290 removed, 700 unchanged (47% of the section changed)

23 unchanged sentences

• changes in general economic conditions, in our industry and in the finance and real estate markets, including the impact on the value of our assets;

• changes in trade policies and tariffs, together with any future downturns in the global economy or market disruptions resulting therefrom;

• changes in trade policies and tariffs, and the impact of a prolonged U.S.

federal government shutdown, together with any future downturns in the global economy or market disruptions resulting therefrom;

• conditions in the market for residential mortgage investments and Agency RMBS;

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All forward-looking statements that we make, or that are attributable to us, are expressly qualified by this cautionary notice.

Second Quarter 2025 Executive Summary

Third Quarter 2025 Executive Summary

Financial Highlights

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• 14.9x GAAP Leverage Ratio and 1.7x Economic Leverage Ratio;

• $0.21 dividend per common share declared in the second quarter 2025;

◦ Increased our quarterly dividend from $0.20 per common share in the first quarter 2025, which represented a 5.0% increase.

• $0.21 dividend per common share declared in the third quarter 2025.

Investment Activity

• The table below summarizes the fair value of purchases and proceeds from sales of investments during the quarter ended June 30, 2025 (in thousands).

Investment Purchases Sales

• The table below summarizes the fair value of purchases of investments during the quarter ended September 30, 2025 (in thousands).

Investment Purchases

Agency-Eligible Loans $ 888,611

Home Equity Loans 830,877

Non-Agency RMBS — 558

Total $ 1,719,488

Financing Activity

• Executed a rated securitization of Agency-Eligible Loans with a total unpaid principal balance of $331.4 million.

• Subsequent to quarter end:

• On July 10, 2025, we co-sponsored a rated Non-Agency securitization, in which Home Equity Loans with a total unpaid principal balance of $301.3 million were securitized, converting recourse financing with mark-to-market margin calls to non-recourse financing without mark-to-market margin calls.

• On July 18, 2025, we paid off certain fixed-rate long-term financing arrangements which had an outstanding unpaid principal balance and accrued interest payable of $43.8 million.

The financing was collateralized by certain of our retained interests in securitizations acquired from WMC.

We pledged these assets under a recourse financing arrangement with mark-to-market margin calls with a balance of $82.9 million, providing us with net proceeds of $39.1 million.

• On July 29, 2025, we co-sponsored a rated Non-Agency securitization, in which Home Equity Loans with a total unpaid principal balance of $647.0 million were securitized.

• One Legacy WMC CMBS bond paid off at par for $15.0 million, returning capital of $10.7 million.

Acquisition of AG Arc LLC

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Upon closing of the transaction on August 1, 2025, and giving effect to our acquisition of the additional 21.4% interest, we have an approximate 66.0% interest in AG Arc.

Refer to “Item 5.

Other Information” for additional information related to the transaction.

Refer to Note 10 to the "Notes to Consolidated Financial Statements (unaudited)" for additional information related to the transaction.

Financing Activity

• The table below summaries the four rated securitizations executed during the quarter ended September 30, 2025 (in millions).

Collateral Month Unpaid Principal Balance

Home Equity Loans (1)

July 2025 $ 301.3

Home Equity Loans July 2025 647.0

Agency-Eligible Loans August 2025 347.0

Agency-Eligible Loans September 2025 417.1

Total $ 1,712.4

(1) Converted recourse financing with mark-to-market margin calls to non-recourse financing without mark-to-market margin calls.

• Paid off certain Legacy WMC fixed-rate long-term financing arrangements, which had an outstanding balance, including unpaid principal balance and accrued interest payable, of $43.8 million.

The financing was collateralized by certain retained interests in securitizations acquired from WMC.

◦ Pledged these assets under a recourse financing arrangement with mark-to-market margin calls;

◦ Issued an additional $56.6 million of securitized debt from the securitizations acquired from WMC;

◦ Generated net proceeds of $55.4 million for reinvestment through the payoff of the Legacy WMC fixed-rate long-term financing arrangements and subsequent issuance of securitized debt;

• Amended a financing arrangement to convert financing on our residential mortgage loans with a total borrowing capacity of $400 million from financing with mark-to-market margin calls to financing without mark-to-market margin calls;

• Pledged Home Equity Loans with a fair value of $54.0 million under a financing arrangement with the ability to draw on up to $50 million of available contractually committed financing at an advance rate of 87.5% of unpaid principal balance pledged as collateral, which was $50.9 million as of September 30, 2025.

We are a residential mortgage REIT with a focus on investing in a diversified risk-adjusted portfolio of residential mortgage-related assets in the U.S.

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We focus our investment activities primarily on acquiring and securitizing newly-originated residential mortgage loans within the non-agency segment of the housing market.

We obtain our assets through Arc Home, LLC ("Arc Home"), our residential mortgage loan originator in which we owned an approximate 44.6% interest as of June 30, 2025, and through other third-party origination partners.

We obtain our assets through Arc Home, LLC ("Arc Home"), our residential mortgage loan originator in which we owned an approximate 66.0% interest as of September 30, 2025, and through other third-party origination partners.

We finance our acquired loans through various financing lines on a short-term basis and utilize TPG Angelo Gordon's proprietary securitization platform to secure long-term, non-recourse, non-mark-to-market financing as market conditions permit.

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In addition, we may also invest in other types of residential mortgage loans and other mortgage related assets.

As of June 30, 2025, our investment portfolio consisted of the following Residential Investments and Agency RMBS:

As of September 30, 2025, our investment portfolio consisted of the following Residential Investments and Agency RMBS:

Asset Class Description

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Market Conditions

In the second quarter of 2025, financial markets generally delivered positive performance with equities rising modestly and bond prices increasing, particularly at the short end of the curve, though uncertainty around inflation, fiscal, and monetary policy persisted.

The 2-year U.S.

Treasury yield declined by 17 basis points to 3.72% and although the 10-year U.S.

Treasury fluctuated, it ended the quarter relatively flat at 4.23%.

Overall, the yield spread between the 2-year and 10-year U.S.

Treasuries ended the quarter 51 basis points positive, steepening 19 basis points from the previous quarter end.

Markets experienced a notable bout of volatility in April as tariff announcements by the U.S.

presidential administration caused sharp declines in risk assets.

The policy shift sparked a temporary risk-off environment, driving credit spreads wider and mark-to-market losses across corporate and structured credit portfolios.

Although credit spreads tightened and asset prices partially recovered throughout the remainder of the quarter, geopolitical and trade policy risks continued to weigh on sentiment and forward visibility.

Throughout the second quarter of 2025, Federal Reserve Chair Jerome Powell emphasized a patient, data-dependent approach to monetary policy as inflation continued to moderate and labor market conditions gradually softened.

The Federal Reserve acknowledged meaningful progress on inflation, with headline Consumer Price Index (“CPI”) declining to 2.7% and core CPI holding near 2.9% by June, however, components of inflation remained somewhat sticky, warranting caution.

At the same time, the Federal Reserve observed certain signs of labor market cooling, with the unemployment rate at 4.2% and continuing weekly jobless claims remaining elevated.

While the Federal Open Market Committee held the federal funds rate steady at 4.25% to

4.50% at its July 2025 meeting, they indicated openness to rate cuts later in the year, assuming continued disinflation and no major re-acceleration in growth, with the June Summary of Economic Projections indicating a median expectation for two rate cuts totaling 50 basis points in 2025.

Changes in RMBS spreads were mixed for the second quarter of 2025 depending on product and priority within the capital structure.

Non-QM spreads were slightly wider for senior and mezzanine tranches while subordinate Non-QM tranches were wider by 35 basis points.

Senior prime jumbo spreads were wider by 5 basis points.

However, investment grade were more varied among the subordinate tranches as A and AA tranches were slightly tighter, BBB prime jumbo credit spreads widened moderately, and lower in the capital structure, non-rated tranches were roughly 35 basis points wider.

Throughout the third quarter of 2025, Federal Reserve Chair Jerome Powell maintained a data-dependent stance on monetary policy.

The Federal Reserve acknowledged progress on inflation, with both headline and core Consumer Price Index stabilizing around 3%.

Nevertheless, achieving the long-term inflation target of 2% remains a key objective.

Although the unemployment rate remained relatively low, ongoing labor market weakness supported the case for interest rate cuts.

In response, the Federal Open Market Committee reduced the Fed Funds rate by 25 basis points at both its September and October meetings, setting the target range at 3.75% to 4.00%.

Overall, the bond market experienced positive returns during the third quarter of 2025, and mortgage rates declined as the Federal Reserve delivered the September rate cut and signaled the potential for additional easing.

By quarter-end, the yield spread between 2-year and 10-year U.S.

Treasuries widened to 54 basis points, marking a slight steepening from the previous quarter.

On October 1, 2025, the U.S.

government shut down after Congress failed to pass a funding bill, resulting in delays to critical government data releases and increasing uncertainty for future monetary policy decisions and the broader economic outlook.

In the third quarter of 2025, RMBS spreads generally tightened.

Non-QM spreads tightened throughout the capital structure, with senior tranches by 20 to 25 basis points, mezzanine tranches by up to 15 basis points, and subordinate tranches by approximately 50 basis points.

Senior prime jumbo spreads were slightly tighter while the subordinate stack was more mixed, with investment grade tranches little changed and non-investment grade tranches tightening approximately 30 basis points.

Closed-end second lien spreads tightened by up to 25 basis points during the quarter led by higher tranches within the structure.

Trends in credit spreads on credit risk transfer ("CRT") assets can serve as a proxy for market participants evaluating credit-related assets given the observability of transactions.

CRT tranches were up to 20 basis points tighter with most of that coming higher in the capital structure.

The CRT sector has benefited from some scarcity value as the GSEs have opted to retain more of the capital structure for their newly issued transactions.

Compared to year-ago levels, residential credit spreads are mixed overall with CRT and senior prime jumbo up to 30 to 50 basis points tighter, Non-QM up to 20 basis points wider and below-investment grade prime jumbo up to 50 to 100 basis points wider.

Some credit curves were steeper during the quarter, but overall residential credit curves remained relatively flat as broad demand for residential credit continues to be robust.

Primary RMBS market activity edged higher during the second quarter of 2025 to $35 billion, a rise of 6% compared to year-ago levels but roughly 11% lower than the first quarter of 2025.

Compared to year-ago levels, primary activity for Non-QM rose 57% to almost $16 billion but was offset by declines across most of the remaining residential market.

Prime jumbo was relatively steady year-over-year at approximately $6 billion and the Second Lien and Home Equity Lines of Credit sector was marginally lower year-over-year at $2.8 billion.

Primary agency-eligible investor RMBS was approximately $1.7 billion and CRT totaled $1.8 billion in the second quarter of 2025.

On a year-to-date basis, primary RMBS activity totaled approximately $75 billion or 19% higher than year-ago levels.

Almost 40% of this activity was in Non-QM, followed by prime jumbo at 18% and home equity at 11%.

The home equity space has received a large amount of industry focus for its growth potential with estimates of $17 trillion tappable home equity, including $2 trillion belonging to conventional mortgage borrowers.

Lower rated CRT tranches were up to 10 basis points tighter as the CRT sector has benefitted from scarcity value as the GSEs have opted to retain more of the capital structure for their newly issued transactions amid favorable underlying collateral fundamentals.

Non-QM credit curves flattened during the quarter as the difference in yields for Non-QM BB and AAA tranches was only 165 basis points at the end of September 2025, amid robust demand for residential credit.

Primary RMBS market activity increased sharply during the third quarter of 2025, rising to $47 billion, an increase of 33% compared to the second quarter of 2025 and 23% against year-ago levels.

Non-QM drove the annual change, increasing approximately $9 billion, or 81%, to almost $21 billion, followed by gains in Home Equity which increased over $5 billion, or 156%.

Prime Jumbo decreased by almost $2 billion to $6.5 billion, and the remainder of the cohorts within the residential market experienced relatively minor changes.

On a year-to-date basis, primary RMBS activity totaled approximately $122 billion, or 23% more than year-ago levels driven by activity in Non-QM, Prime Jumbo, and Home Equity loans.

As we have noted previously, the home equity sector has received significant industry focus for its growth potential with estimates of $17 trillion tappable home equity, including $2 trillion belonging to conventional mortgage borrowers.

The S&P CoreLogic Case-Shiller U.S.

National Home Price Index was 2.3% higher year-over-year in May 2025, the latest data available, establishing a new peak nationally amid decelerating growth overall.

Regional price variations continued to exist, and on an annual basis, regions in the Northeast and Midwest continued to lead gains while regions in Florida, Texas and the Mountain West have been weaker.

New York City area home prices grew over 7% from May 2024 to May 2025, with Chicago, Cleveland and Detroit following in the high-4% to 6% area.

However, regions in California were weaker, with Los Angeles rising by 1.1% and San Francisco lower by 0.6% year-over-year.

Denver was unchanged, Dallas declined 0.6%, and Tampa fell by 2.4% compared to May 2024 levels.

Overall, home price growth and available for-sale inventory have had a relatively strong inverse relationship as regions with inventory growth since 2019 have had weak performance, and vice versa.

During the second quarter of 2025, prevailing mortgage rates were steady in the high-6% area ending the quarter at 6.77%, according to the Freddie Mac Primary Mortgage Market Survey.

Amid market volatility following the April 2nd “Liberation Day” tariff announcements, mortgage rate locks fell to as low as 6.5% before quickly resetting near 7% through most of the remainder of the quarter, based on third party data.

After a slow climb throughout 2023 and 2024, the effective mortgage rate outstanding held steady at 4.05% as of the first quarter of 2025, the latest data available.

National Home Price Index was 1.7% higher year-over-year in July 2025, the latest data available, near the peak established in June 2025.

Regional price variations continued to exist, and on an annual basis, metropolitan areas in the Northeast and Midwest continued to lead gains while regions in Florida, Texas and the Mountain West have been weaker.

New York City area home prices led annual gains, rising 6.4% from July 2024 to July 2025, with Chicago following nearby at 6.2%.

Cleveland, Detroit and Boston rose 4 to 4.5% as well.

Meanwhile, regions in California were mixed with Los Angeles roughly flat and other areas up to 2% lower.

Additionally, Denver fell by 0.6% and Dallas by 1.2%.

In Florida, Miami and Tampa were 1.3% and 2.8% lower, respectively, against July 2024 readings.

Overall, home price growth and available for-sale inventory have had a relatively strong inverse relationship as regions with inventory growth since 2019 have had weaker home price gains, and vice versa.

During the third quarter of 2025, prevailing mortgage rates fell over 30 basis points to end the quarter at approximately 6.3%, according to the Freddie Mac Primary Mortgage Market Survey.

Prevailing mortgage rates were last at this level in the fourth quarter of 2024 after touching the low 6% range in September 2024.

After a slow climb throughout 2023 and 2024, the effective mortgage rate outstanding has just inched higher to 4.11% as of the second quarter of 2025, the latest data available, up from only 4.03% to end 2024.

This rate, which measures the rate on outstanding mortgage debt, is 80 basis points higher than the low established at the end of the first quarter of 2022 but remains well below prevailing rates, underscoring the stickiness of the “lock-in effect” or disincentive for existing homeowners to sell their homes because their current mortgage rate is well below current market rates.

Total existing home inventory continues to grow, reaching 1.54 million units in May 2025, the latest data available.

This is the largest level of inventory since June 2020 but only just approaches the typical inventory levels of 1.5 to 2 million units from 2016 through 2019 and well below the range of 1.7 to 2.5 million units from 2000 through 2004.

When evaluating new listings, which are a timelier barometer of activity, year-to-date inventory is just 3% higher year-over-year and is 16% below average year-to-date listings through May from 2015 through 2022.

Total existing home inventory steadied during the third quarter of 2025, sitting at 1.53 million units in August 2025, the latest data available, little changed since May 2025.

This is the highest level of inventory since June 2020 but hardly breaches the typical inventory levels of 1.5 to 2 million units from 2016 to 2019 and well below the range of 1.7 to 2.5 million units from 2000 to 2004, periods with a smaller count of U.S.

When evaluating new listings, which are a timelier barometer of

activity, year-to-date inventory is 1% lower year-over-year and is 22% below average year-to-date listings through August 2025 from 2015 through 2022.

This reduced level of activity follows an annual shortage of over 1 million new listings in each of 2023 and 2024 compared to annual activity in 2015 through 2019 as well as pandemic-affected 2020 through 2022, underscoring the limited supply theme.

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◦ "Residential mortgage loans" or "Loans" refer to our Non-Agency Loans, Agency-Eligible Loans, Home Equity Loans, and Re/Non-Performing Loans (exclusive of retained tranches from unconsolidated securitizations).

◦ "Non-Agency RMBS" refer to the retained tranches from unconsolidated securitizations of Non-Agency Loans and Re/Non-Performing Loans issued under the GCAT shelf, as well as Non-Agency RMBS issued by third-parties.

◦ "Non-Agency RMBS" refer to the retained tranches from unconsolidated securitizations of Non-QM Loans, Agency-Eligible Loans, Home Equity Loans, Prime Jumbo Loans, and Re/Non-Performing Loans issued either under the Gold Creek Asset Trust ("GCAT") shelf or from third-parties.

• "Real estate securities" refers to our Non-Agency RMBS and Agency RMBS, inclusive of TBAs, as well as Legacy WMC CMBS that were acquired in the WMC acquisition.

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Per share amounts for book value are calculated using all outstanding common shares in accordance with GAAP as of quarter-end.

June 30, 2025 December 31, 2024

September 30, 2025 December 31, 2024

Stockholders’ Equity $ 559,843 $ 543,423

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Our primary source of net income or loss available to common stockholders is our net interest income, inclusive of our cost or benefit of hedging, which represents the difference between the interest earned on our investment portfolio and the costs of financing and economic hedges in place on our investment portfolio, as well as any income or losses from our equity investments in affiliates.

Three Months Ended June 30, 2025 compared to the Three Months Ended June 30, 2024

The table below presents certain information from our consolidated statements of operations for the three months ended June 30, 2025 and 2024 (in thousands).

Three Months Ended September 30, 2025 compared to the Three Months Ended September 30, 2024

The table below presents certain information from our consolidated statements of operations for the three months ended September 30, 2025 and 2024 (in thousands).

Three Months Ended

June 30, 2025 June 30, 2024 Change

September 30, 2025 September 30, 2024 Change

Statement of Operations Data:

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Equity in earnings/(loss) from affiliates 1,645 (849) 2,494

Income/(Loss) before Income Taxes 20,650 16,656 3,994

Income tax expense 689 16 673

Net Income/(Loss) 19,961 16,640 3,321

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Interest income is calculated using the effective interest method for our GAAP investment portfolio.

Interest income increased from the three months ended June 30, 2024 to the three months ended June 30, 2025 primarily as a result of purchases of residential mortgage loans and non-agency RMBS during the period and an increase in the weighted average yield of our investment portfolio.

Interest income increased from the three months ended September 30, 2024 to the three months ended September 30, 2025 primarily due to a higher weighted average amortized cost of our GAAP investment portfolio as a result of purchases of residential mortgage loans and Non-Agency RMBS and an increase in the weighted average yield of our investment portfolio.

The following table presents a summary of the weighted average amortized cost of and the weighted average yield on our GAAP investment portfolio ($ in millions).

Three Months Ended

June 30, 2025 June 30, 2024 Change

September 30, 2025 September 30, 2024 Change

Weighted average amortized cost of our GAAP investment portfolio

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Interest expense is inclusive of our financing cost related to our financing arrangements on our GAAP investment portfolio, securitized debt, Senior Unsecured Notes, and, for 2024, Legacy WMC Convertible Notes.

Interest expense increased from the three months ended June 30, 2024 to the three months ended June 30, 2025 due to an increase in the GAAP financing balance outstanding resulting from the issuance of securitized debt and Senior Unsecured Notes during the period, offset by the repayment of the Legacy WMC Convertible Notes upon maturity in September 2024.

Interest expense increased from the three months ended September 30, 2024 to the three months ended September 30, 2025 due to a higher weighted average GAAP financing balance outstanding resulting from the issuance of securitized debt during the period, offset by the repayment of the Legacy WMC Convertible Notes upon maturity in September 2024.

Additionally, there was an increase in the weighted average financing rate.

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Three Months Ended

June 30, 2025 June 30, 2024 Change

September 30, 2025 September 30, 2024 Change

Weighted average GAAP financing balance

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Net interest component of interest rate swaps represents the net interest income received or expense paid on our interest rate swaps.

We recorded income on the net interest component of interest rate swaps during the three months ended June 30, 2025 and 2024 as a result of our swap portfolio being in a net receive position during the periods.

The decrease in income from the three months ended June 30, 2024 to the three months ended June 30, 2025 was the result of a decrease in the notional balance outstanding during the period and a decrease in the weighted average receive rate.

The following table presents a summary of our interest rate swap portfolio as of June 30, 2025 and 2024 ($ in millions).

June 30, 2025 June 30, 2024 Change

Interest rate swap notional value

$ 345 $ 818 $ (473)

Weighted average receive-variable rate

We recorded income on the net interest component of interest rate swaps during the three months ended September 30, 2025 and 2024 as a result of our swap portfolio being in a net receive position during the periods.

The decrease in income from the three months ended September 30, 2024 to the three months ended September 30, 2025 was the result of a decrease in the weighted average receive rate and weighted average notional balance.

The following table presents a summary of our interest rate swap portfolio as of September 30, 2025 and 2024 ($ in millions).

Three Months Ended

September 30, 2025 September 30, 2024 Change

Net weighted average interest rate swap notional value

$ 425 $ 522 $ (97)

Weighted average pay-fix rate 3.34 % 3.95 % (0.61) %

Net weighted average (pay)/receive rate

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Net realized gain/(loss)

The following table presents a summary of Net realized gain/(loss) for the three months ended June 30, 2025 and 2024 (in thousands).

During the three months ended June 30, 2025, net realized losses primarily related to unwinding certain pay-fix, receive-float interest rate swap agreements which were held at unrealized losses.

The following table presents a summary of Net realized gain/(loss) for the three months ended September 30, 2025 and 2024 (in thousands).

During the three months ended September 30, 2025, net realized losses primarily related to short TBAs and unwinding certain pay-fix, receive-float interest rate swap agreements, which were held at unrealized losses.

Three Months Ended

June 30, 2025 June 30, 2024

September 30, 2025 September 30, 2024

Sales of residential mortgage loans and loans transferred to or sold from Other assets $ (240) $ 124

Loan purchase commitment 356 —

Sales of real estate securities — 10,297

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Net unrealized gain/(loss)

The following table presents a summary of Net unrealized gain/(loss) for the three months ended June 30, 2025 and 2024 (in thousands).

During the three months ended June 30, 2025, we recognized unrealized gains on our securitized debt, CMBS, and loan purchase commitments which were offset by unrealized losses on residential mortgage loans, commercial loans, and interest rate swaps.

The following table presents a summary of Net unrealized gain/(loss) for the three months ended September 30, 2025 and 2024 (in thousands).

During the three months ended September 30, 2025, we recognized unrealized gains on residential mortgage loans and Non-Agency RMBS, offset by unrealized losses on securitized debt, CMBS, commercial loans, short TBAs, interest rate swaps, and loan purchase commitments.

Three Months Ended

June 30, 2025 June 30, 2024

September 30, 2025 September 30, 2024

Residential mortgage loans $ 66,980 $ 192,918

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Securitized debt (45,710) (172,421)

Loan purchase commitments 424 —

Loan purchase commitment (834) —

Derivatives (1,827) (4,977)

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In connection with the WMC acquisition, we and our Manager entered into the MITT Management Agreement Amendment pursuant to which the base management fee was reduced by $0.6 million for the first four quarters following the transaction closing, beginning with the fiscal quarter in which the transaction closing occurred (i.e., resulting in an aggregate $2.4 million waiver of base management fees).

During the three months ended June 30, 2024, the base management fee was reduced by $0.6 million.

During the three months ended September 30, 2024, the base management fee was reduced by $0.6 million.

Non-investment related expenses

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Three Months Ended

June 30, 2025 June 30, 2024

September 30, 2025 September 30, 2024

Affiliate reimbursement (1) $ 1,544 $ 1,636

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Directors' fees and equity based compensation 253 259

Tax expense (2) (20) 17

Excise tax expense 34 —

Other 143 163

Total Non-investment related expenses $ 2,603 $ 2,734

(1) For the three months ended June 30, 2024, the Manager agreed to waive its right to receive expense reimbursements of $0.3 million pursuant to the MITT Management Agreement Amendment executed in connection with the WMC acquisition.

(2) Estimated excise tax benefit of $(46) thousand was recognized during the three months ended June 30, 2025 which included $0.1 million related to an excise tax refund.

We did not recognize any excise tax during the three months ended June 30, 2024.

(1) For the three months ended September 30, 2024, the Manager agreed to waive its right to receive expense reimbursements of $0.3 million pursuant to the MITT Management Agreement Amendment executed in connection with the WMC acquisition.

Investment related expenses

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We are required to reimburse our Manager or its affiliates for operating expenses incurred by our Manager or its affiliates on our behalf associated with our investment portfolio.

These expenses increased from the three months ended September 30, 2024 to the three months ended September 30, 2025 primarily due to an increase in our GAAP residential mortgage loan portfolio.

The following table presents a summary of our investment related expenses (in thousands).

Three Months Ended

June 30, 2025 June 30, 2024

September 30, 2025 September 30, 2024

Affiliate reimbursement $ 256 $ 194

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Transaction related expenses primarily include expenses associated with purchasing and securitizing residential mortgage loans.

Transaction related expenses increased from the three months ended June 30, 2024 to the three months ended June 30, 2025 primarily due to increased expenses associated with securitizations.

During the three months ended September 30, 2025, the expenses primarily consisted of $0.8 million related to refinancing our fixed-rate long-term financing arrangements and $0.9 million related to our acquisition of an additional 21.4% interest in AG Arc.

During the three months ended September 30, 2024, transaction related expenses were related to one rated securitization.

Equity in earnings/(loss) from affiliates

3 unchanged sentences

Three Months Ended

June 30, 2025 June 30, 2024

September 30, 2025 September 30, 2024

MATT Non-QM Securities $ (581) $ (1,070)

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Equity in earnings/(loss) from affiliates

(1) For the three months ended June 30, 2025, the earnings/(loss) generated from our investment in MATT Non-QM Securities consisted of interest income of $0.7 million, net unrealized losses of $(0.3) million, and expenses of $(0.1) million.

For the three months ended June 30, 2024, the earnings/(loss) generated from our investment in MATT Non-QM Securities consisted of interest income of $0.8 million and net unrealized losses of $(1.6) million.

(2) Refer to the table below for additional detail on the earnings/(loss) generated from our investment in AG Arc.

The below table further disaggregates our "Equity in earnings/(loss) from affiliates" line item on our consolidated statements of operations (in thousands).

$ 1,645 $ (849)

(1) Effective August 1, 2025, our allocation of AG Arc’s earnings is 66.0%.

For all prior periods, our allocation of AG Arc’s earnings was 44.6%.

The below table breaks out the components in the "Equity in earnings/(loss) from affiliates" line item on our consolidated statements of operations (in thousands).

Three Months Ended

June 30, 2025 June 30, 2024

Net Interest Income

September 30, 2025 September 30, 2024

Interest income $ 594 $ 924

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Total Net Interest Income (1) 594 852

Other Income/(Loss)

Net unrealized gain/(loss) (1,156) (1,883)

AG Arc Earnings/(Loss)

After-tax earnings/(loss) at AG Arc (1) (37) 278

Net unrealized gain/(loss) on investment in AG Arc (2) — 1,655

Elimination of gains on loans sold to MITT (3) — (405)

Total AG Arc Earnings/(Loss) (37) 1,528

Other operating expenses (1) 36 33

Total MATT Non-QM Securities and Re/Non Performing Securities (2) (598) (1,064)

Net operating income/(loss) from AG Arc (1) (3) 1,204 (154)

Other income/(loss) from AG Arc (3) (118) (32)

Unrealized gain/(loss) on investment in AG Arc (4) 1,251 760

Elimination of gains on loans sold from AG Arc to MITT (1) (5) (94) (359)

Total AG Arc Earnings/(Loss) 2,243 215

Equity in earnings/(loss) from affiliates

(1) The earnings/(loss) at AG Arc during the three months ended June 30, 2025 were primarily the result of changes in the fair value of the MSR portfolio held by Arc Home.

The earnings/(loss) at AG Arc during the three months ended June 30, 2024 were primarily the result of $0.6 million related to changes in the fair value of the MSR portfolio held by Arc Home, offset by $(0.3) million of losses related to Arc Home's lending and servicing operations.

(2) As of June 30, 2025, the fair value of our investment in Arc Home was calculated using a valuation multiple of 1.00x of book value, which was consistent with the valuation multiple as of March 31, 2025.

As of June 30, 2024, the fair value of our investment in Arc Home was calculated using a valuation multiple of 0.94x of book value which increased from 0.89x of book value as of March 31, 2024.

$ 1,645 $ (849)

(1) Represents items included in Earnings Available for Distribution.

Refer to the “Earnings Available for Distribution” section below for further detail.

(2) Primarily represents earnings from our investment in MATT Non-QM Securities.

(3) Net operating income/(loss) from AG Arc represents income/(loss) related to Arc Home's lending and servicing operations, net of operating expenses and related current tax expense or benefit.

Other income/(loss) from AG Arc represents realized and unrealized changes in the fair value of Arc Home's mortgage servicing rights, transaction related expenses, and other asset impairments, net of related tax expense or benefit.

(4) As of September 30, 2025, the fair value of our investment in Arc Home was calculated using a valuation multiple of 1.025x of book value, which increased from 1.00x of book value as of June 30, 2025.

As of September 30, 2024, the fair value of our investment in Arc Home was calculated using a valuation multiple of 0.95x of book value which increased from 0.94x of book value as of June 30, 2024.

(5) The earnings recognized by AG Arc do not include our portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to us.

Refer to Note 10 to the "Notes to Consolidated Financial Statements (unaudited)" for more information on this accounting policy.

Income tax expense

Income tax expense for the three months ended September 30, 2025 resulted from an increase in taxable income within our taxable REIT subsidiary primarily related to gains on residential mortgage loan securitization activity.

During the three months ended September 30, 2024, income tax expense represented minimum state and local tax filing fees.

Dividends on Preferred Stock

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On and after September 17, 2024, dividends on the Series C Preferred Stock accumulate at an annual floating rate of three-month CME Term SOFR (plus a tenor spread adjustment of 0.26161%) plus a spread of 6.476%.

Six Months Ended June 30, 2025 compared to the Six Months Ended June 30, 2024

The table below presents certain information from our consolidated statements of operations for the six months ended June 30, 2025 and 2024 (in thousands).

Six Months Ended

June 30, 2025 June 30, 2024 Increase/(Decrease)

Nine Months Ended September 30, 2025 compared to the Nine Months Ended September 30, 2024

The table below presents certain information from our consolidated statements of operations for the nine months ended September 30, 2025 and 2024 (in thousands).

Nine Months Ended

September 30, 2025 September 30, 2024 Change

Statement of Operations Data:

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Equity in earnings/(loss) from affiliates 3,061 2,099 962

Income/(Loss) before Income Taxes 36,126 41,513 (5,387)

Income tax expense 743 58 685

Net Income/(Loss) 35,383 41,455 (6,072)

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Interest income

Interest income increased from the six months ended June 30, 2024 to the six months ended June 30, 2025 primarily as a result of purchases of residential mortgage loans and non-agency RMBS during the period and an increase in the weighted average yield of our investment portfolio.

Interest income increased from the nine months ended September 30, 2024 to the nine months ended September 30, 2025 primarily due to a higher weighted average amortized cost of our GAAP investment portfolio as a result of purchases of residential mortgage loans and Non-Agency RMBS and an increase in the weighted average yield of our investment portfolio.

The following table presents a summary of the weighted average amortized cost of and the weighted average yield on our GAAP investment portfolio ($ in millions).

Six Months Ended

June 30, 2025 June 30, 2024 Increase/(Decrease)

Nine Months Ended

September 30, 2025 September 30, 2024 Change

Weighted average amortized cost of our GAAP investment portfolio

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Interest expense

Interest expense increased from the six months ended June 30, 2024 to the six months ended June 30, 2025 due to an increase in the GAAP financing balance outstanding resulting from the issuance of securitized debt and Senior Unsecured Notes during the period, offset by the repayment of the Legacy WMC Convertible Notes upon maturity in September 2024.

Interest expense increased from the nine months ended September 30, 2024 to the nine months ended September 30, 2025 due to a higher weighted average GAAP financing balance outstanding resulting from the issuance of securitized debt and Senior Unsecured Notes during the period, offset by the repayment of the Legacy WMC Convertible Notes upon maturity in September 2024.

Additionally, there was an increase in the weighted average financing rate.

The following table presents a summary of the weighted average financing balance and the weighted average financing rate on our GAAP investment portfolio ($ in millions).

Six Months Ended

June 30, 2025 June 30, 2024 Increase/(Decrease)

Nine Months Ended

September 30, 2025 September 30, 2024 Change

Weighted average GAAP financing balance

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Net interest component of interest rate swaps

We recorded income on the net interest component of interest rate swaps during the six months ended June 30, 2025 and 2024 as a result of our swap portfolio being in a net receive position.

The decrease in income from the six months ended June 30, 2024 to the six months ended June 30, 2025 was the result of a decrease in the notional balance outstanding during the period and a decrease in the weighted average receive rate.

The following table presents a summary of our interest rate swap portfolio as of June 30, 2025 and 2024 ($ in millions).

June 30, 2025 June 30, 2024 Increase/(Decrease)

Interest rate swap notional value

$ 345 $ 818 $ (473)

Weighted average receive-variable rate

We recorded income on the net interest component of interest rate swaps during the nine months ended September 30, 2025 and 2024 as a result of our swap portfolio being in a net receive position.

The decrease in income from the nine months ended September 30, 2024 to the nine months ended September 30, 2025 was the result of a decrease in the weighted average receive rate and weighted average notional balance.

The following table presents a summary of our interest rate swap portfolio as of September 30, 2025 and 2024 ($ in millions).

Nine Months Ended

September 30, 2025 September 30, 2024 Change

Net weighted average interest rate swap notional value

$ 388 $ 527 $ (139)

Weighted average pay-fix rate 3.34 % 3.95 % (0.61) %

Net weighted average (pay)/receive rate

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Net realized gain/(loss)

The following table presents a summary of Net realized gain/(loss) for the six months ended June 30, 2025 and 2024 (in thousands).

The net realized loss during the six months ended June 30, 2025 was primarily driven by losses from unwinding certain pay-fix, receive-float interest rate swap agreements which were held at unrealized losses and losses recognized on the sale of non-agency loans and re- and non-performing loans.

Six Months Ended

June 30, 2025 June 30, 2024

The following table presents a summary of Net realized gain/(loss) for the nine months ended September 30, 2025 and 2024 (in thousands).

The net realized loss during the nine months ended September 30, 2025 was primarily driven by losses from unwinding certain pay-fix, receive-float interest rate swap agreements and short TBAs, which were held at unrealized losses, and losses recognized on the sale of non-agency loans and re- and non-performing loans.

Nine Months Ended

September 30, 2025 September 30, 2024

Sales of residential mortgage loans and loans transferred to or sold from Other assets $ (1,947) $ 323

Loan purchase commitment 356 —

Sales of real estate securities 169 13,024

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Net unrealized gain/(loss)

The following table presents a summary of Net unrealized gain/(loss) for the six months ended June 30, 2025 and 2024 (in thousands).

During the six months ended June 30, 2025, we recognized unrealized gains on our residential mortgage loans, CMBS, and non-agency RMBS, which were offset by unrealized losses on securitized debt, interest rate swaps, and commercial loans.

Six Months Ended

June 30, 2025 June 30, 2024

The following table presents a summary of Net unrealized gain/(loss) for the nine months ended September 30, 2025 and 2024 (in thousands).

During the nine months ended September 30, 2025, we recognized unrealized gains on our residential mortgage loans, non-agency RMBS, and CMBS, which were offset by unrealized losses on securitized debt, interest rate swaps, and commercial loans.

Nine Months Ended

September 30, 2025 September 30, 2024

Residential mortgage loans $ 163,237 $ 207,250

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Management fee to affiliate

During the six months ended June 30, 2024, the base management fee was reduced by $1.2 million in connection with the WMC acquisition.

During the nine months ended September 30, 2024, the base management fee was reduced by $1.8 million in connection with the WMC acquisition.

Non-investment related expenses

The following table presents a summary of our non-investment related expenses (in thousands).

Six Months Ended

June 30, 2025 June 30, 2024

Nine Months Ended

September 30, 2025 September 30, 2024

Affiliate reimbursement (1) $ 4,687 $ 4,936

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Directors' fees and equity based compensation 866 903

Tax expense (2) 97 42

Excise tax expense (2) 77 —

Other 751 597

Total Non-investment related expenses $ 8,390 $ 8,552

(1) For the six months ended June 30, 2024, the Manager agreed to waive its right to receive expense reimbursements of $0.6 million pursuant to the MITT Management Agreement Amendment executed in connection with the WMC acquisition.

(2) Estimated excise tax expense of $43 thousand was recognized during the six months ended June 30, 2025, which included $0.1 million related to an excise tax refund.

We did not recognize any excise tax during the six months ended June 30, 2024.

(1) For the nine months ended September 30, 2024, the Manager agreed to waive its right to receive expense reimbursements of $0.9 million pursuant to the MITT Management Agreement Amendment executed in connection with the WMC acquisition.

(2) During the nine months ended September 30, 2025, we recorded a reduction in excise tax expense of $0.1 million related to an excise tax refund.

Investment related expenses

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We are required to reimburse our Manager or its affiliates for operating expenses incurred by our Manager or its affiliates on our behalf associated with our investment portfolio.

These expenses increased from the nine months ended September 30, 2024 to the nine months ended September 30, 2025 primarily due to an increase in our GAAP residential mortgage loan portfolio.

The following table presents a summary of our investment related expenses (in thousands).

Six Months Ended

June 30, 2025 June 30, 2024

Nine Months Ended

September 30, 2025 September 30, 2024

Affiliate reimbursement $ 551 $ 395

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Transaction related expenses

Transaction related expenses increased from the six months ended June 30, 2024 to the six months ended June 30, 2025 primarily due to increased expenses associated with securitizations.

Transaction related expenses increased from the nine months ended September 30, 2024 to the nine months ended September 30, 2025 primarily due to increased expenses associated with securitizations in 2025 compared with 2024, along with expenses of $0.8 million related to refinancing our fixed-rate long-term financing arrangements and $0.9 million related to our acquisition of an additional 21.4% interest in AG Arc.

Equity in earnings/(loss) from affiliates

The below tables summarize the components of the "Equity in earnings/(loss) from affiliates" line item on our consolidated statements of operations (in thousands).

Six Months Ended

June 30, 2025 June 30, 2024

Nine Months Ended

September 30, 2025 September 30, 2024

MATT Non-QM Securities $ (384) $ 307

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$ 3,061 $ 2,099

(1) For the six months ended June 30, 2025, the earnings/(loss) generated from our investment in MATT Non-QM Securities consisted of interest income of $1.3 million, net unrealized losses of $(1.0) million, and other expenses of $(0.1) million.

For the six months ended June 30, 2024, the earnings/(loss) generated from our investment in MATT Non-QM Securities consisted of interest income of $1.6 million, net unrealized losses of $(0.1) million, and other expenses of $(0.1) million.

(2) Refer to the table below for additional detail on the earnings/(loss) generated from our investment in AG Arc.

The below table further disaggregates our "Equity in earnings/(loss) from affiliates" line item on our consolidated statements of operations (in thousands).

Six Months Ended

June 30, 2025 June 30, 2024

(1) Effective August 1, 2025, our allocation of AG Arc’s earnings is 66.0%.

For all prior periods, our allocation of AG Arc’s earnings was 44.6%.

The below table breaks out the components in the "Equity in earnings/(loss) from affiliates" line item on our consolidated statements of operations (in thousands).

Nine Months Ended

September 30, 2025 September 30, 2024

Interest income $ 1,920 $ 3,055

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Net unrealized gain/(loss) (2,305) (2,061)

After-tax earnings/(loss) at AG Arc (1) 24 162

Net unrealized gain/(loss) on investment in AG Arc (2) 1,403 1,699

Elimination of gains on loans sold to MITT (3) (88) (606)

Total AG Arc Earnings/(Loss) 1,339 1,255

Other operating expenses (1) 133 149

Total MATT Non-QM Securities and Re/Non Performing Securities (2) (521) 629

Net operating income/(loss) from AG Arc (1) (3) 1,184 (1,591)

Other income/(loss) from AG Arc (3) (74) 1,567

Unrealized gain/(loss) on investment in AG Arc (4) 2,654 2,459

Elimination of gains on loans sold from AG Arc to MITT (1) (5) (182) (965)

Total AG Arc Earnings/(Loss) 3,582 1,470

Equity in earnings/(loss) from affiliates

$ 3,061 $ 2,099

(1) The earnings/(loss) at AG Arc during the six months ended June 30, 2025 were primarily the result of $0.2 million of income related to Arc Home's lending and servicing operations, offset by $(0.2) million related to changes in the fair value of the MSR portfolio held by Arc Home.

The earnings/(loss) at AG Arc during the six months ended June 30, 2024 were primarily the result of $0.7 million related to changes in the fair value of the MSR portfolio held by Arc Home, offset by $(0.5) million of losses related to Arc Home's lending and servicing operations.

(2) As of June 30, 2025, the fair value of our investment in Arc Home was calculated using a valuation multiple of 1.00x of book value, which increased from 0.95x of book value as of December 31, 2024.

As of June 30, 2024, the fair value of our investment in Arc Home was calculated using a valuation multiple of 0.94x of book value, which increased from 0.89x of book value as of December 31, 2023.

(1) Represents items included in Earnings Available for Distribution.

Refer to the “Earnings Available for Distribution” section below for further detail.

(2) Primarily represents earnings from our investment in MATT Non-QM Securities.

(3) Net operating income/(loss) from AG Arc represents income/(loss) related to Arc Home's lending and servicing operations, net of operating expenses and related current tax expense or benefit.

(4) As of September 30, 2025, the fair value of our investment in Arc Home was calculated using a valuation multiple of 1.025x of book value, which increased from 0.95x of book value as of December 31, 2024.

As of September 30, 2024, the fair value of our investment in Arc Home was calculated using a valuation multiple of 0.95x of book value, which increased from 0.89x of book value as of December 31, 2023.

(5) The earnings recognized by AG Arc do not include our portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to us.

Refer to Note 10 to the "Notes to Consolidated Financial Statements (unaudited)" for more information on this accounting policy.

Income tax expense

Income tax expense for the nine months ended September 30, 2025 resulted from an increase in taxable income within our taxable REIT subsidiary primarily related to gains on residential mortgage loan securitization activity.

During the nine months ended September 30, 2024, tax expense represented minimum state and local tax filing fees.

Dividends on Preferred Stock

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Our GAAP financial results and the reconciliations from these results should be carefully evaluated.

expenses incurred in connection with the WMC acquisition, (iii) accrued deal-related performance fees payable to third party operators to the extent the primary component of the accrual relates to items that are excluded from EAD, such as unrealized and realized gains/(losses), (iv) realized and unrealized changes in the fair value of Arc Home's net mortgage servicing rights and the derivatives intended to offset changes in the fair value of those net mortgage servicing rights, (v) deferred taxes recognized at our taxable REIT subsidiaries, if any, (vi) any bargain purchase gains recognized, and (vii) certain other nonrecurring gains or losses.

We define EAD, a non-GAAP financial measure, as Net Income/(loss) available to common stockholders excluding (i) (a) unrealized gains/(losses) on loans, real estate securities, derivatives and other investments, inclusive of our investment in AG Arc, and (b) net realized gains/(losses) on the sale or termination of such instruments, (ii) any transaction related expenses incurred in connection with the acquisition, disposition, or securitization of our investments as well as transaction related expenses incurred in connection with the WMC acquisition, (iii) accrued deal-related performance fees payable to third party operators to the extent the primary component of the accrual relates to items that are excluded from EAD, such as unrealized and realized gains/(losses), (iv) realized and unrealized changes in the fair value of Arc Home's net mortgage servicing rights and the derivatives intended to offset changes in the fair value of those net mortgage servicing rights, (v) deferred taxes recognized at our taxable REIT subsidiaries, if any, (vi) any bargain purchase gains recognized, and (vii) certain other nonrecurring gains or losses.

Items (i) through (vii) above include any amount related to those items held in affiliated entities.

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Management excludes all deferred taxes because it believes deferred taxes are not representative of current operations.

EAD includes the net interest income and other income earned on our investments on a yield adjusted basis, including TBA dollar roll income/(loss) or any other investment activity that may earn or pay net interest or its economic equivalent.

A reconciliation of "Net Income/(loss) available to common stockholders" to EAD for three and six months ended June 30, 2025 and 2024 is set forth below (in thousands, except per share data).

EAD includes the net interest income and other income earned on our investments on a yield adjusted basis, including the net interest component of interest rate swaps, TBA dollar roll income/(loss), or any other investment activity that may earn or pay net interest or its economic equivalent.

Additionally, EAD includes the net operating income/(loss) from Arc Home.

A reconciliation of "Net Income/(loss) available to common stockholders" to EAD for three and nine months ended September 30, 2025 and 2024 is set forth below (in thousands, except per share data).

Three Months Ended

Six Months Ended

June 30, 2025 June 30, 2024 June 30, 2025 June 30, 2024

Nine Months Ended

September 30, 2025 September 30, 2024 September 30, 2025 September 30, 2024

Net Income/(loss) available to common stockholders $ 14,617 $ 11,924 $ 19,414 $ 27,567

8 unchanged sentences

Earnings available for distribution, per Diluted Share $ 0.23 $ 0.17 $ 0.61 $ 0.59

(1) For the three months ended June 30, 2025 and 2024, total transaction related expenses and deal related performance fees included $3.0 million and $0.5 million, respectively, recorded within the "Transaction related expenses" line item and $61 thousand and $22 thousand, respectively, recorded within the "Interest expense" line item, which relates to the amortization of deferred financing costs.

For the six months ended June 30, 2025 and 2024, total transaction related expenses and deal related performance fees included $4.1 million and $1.5 million, respectively, recorded within the "Transaction related expenses" line item and $0.1 million and $46 thousand, respectively, recorded within the "Interest expense" line item, which relates to the amortization of deferred financing costs.

(2) For the three months ended June 30, 2025 and 2024, $0.1 million or $0.00 per share and $0.7 million or $0.02 per share, respectively;

and for the six months ended June 30, 2025 and 2024, $44 thousand or $0.00 per share and $1.6 million or $0.05 per share, respectively, of realized and unrealized changes in the fair value of Arc Home's mortgage servicing rights, transaction related expenses, and other asset impairments were excluded from EAD, net of deferred tax expense or benefit.

(3) For the three months ended June 30, 2025, there were no unrealized changes in the fair value of our investment in Arc Home to exclude from EAD.

For the three months ended June 30, 2024, $1.7 million or $0.06 per share;

and for the six months ended June 30, 2025 and 2024, $1.4 million or $0.05 per share and $1.7 million or $0.06 per share, respectively, of unrealized changes in the fair value of our investment in Arc Home were excluded from EAD.

(4) EAD recognized by AG Arc does not include our portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to us.

For the three months ended June 30, 2025, there were no intra-entity profits in connection with the sale of residential mortgage loans to us recognized by Arc Home.

For the three months ended June 30, 2024, we eliminated $0.4 million or $0.01 per share of intra-entity profits recognized by Arc Home, and also decreased the cost basis of the underlying loans we purchased by the same amount.

For the six months ended June 30, 2025 and 2024, we eliminated $0.1 million or $0.00 per share and $0.6 million or $0.02 per share, respectively, of intra-entity profits recognized by Arc Home, and also decreased the cost basis of the underlying loans we purchased by the same amount.

Refer to Note 10 to the "Notes to Consolidated Financial Statements (unaudited)" for more information on this accounting policy.

(1) The following table presents additional detail related to transaction related expenses and deal related performance fees excluded from EAD (in thousands).

The interest expense line item relates to the amortization of deferred financing costs and the income tax expense line item relates to taxes incurred on items excluded from EAD, as defined above.

Three Months Ended

Nine Months Ended

Consolidated statements of operations line item:

September 30, 2025 September 30, 2024 September 30, 2025 September 30, 2024

Transaction related expenses $ 1,962 $ 684 $ 6,041 $ 2,164

Interest expense 99 25 243 71

Income tax expense 443 — 443 —

Transaction related expenses and deal related performance fees $ 2,504 $ 709 $ 6,727 $ 2,235

(2) The following table presents additional detail related to EAD from equity method investments (in thousands).

Refer to the “Equity in earnings/(loss) from affiliates” section within the “Results of Operations” above for additional detail.

Three Months Ended Nine Months Ended

September 30, 2025 September 30, 2024 September 30, 2025 September 30, 2024

Net interest income $ 594 $ 852 $ 1,917 $ 2,839

Other operating expenses (36) (33) (133) (149)

Net operating income/(loss) from AG Arc 1,204 (154) 1,184 (1,591)

Elimination of gains on loans sold from AG Arc to MITT (94) (359) (182) (965)

EAD from equity method investments

$ 1,668 $ 306 $ 2,786 $ 134

Investment activities

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Investment portfolio

The following table presents a summary of our Investment Portfolio, inclusive of net interest margin and leverage ratios, as of June 30, 2025 and a reconciliation of these metrics on our Investment Portfolio to their respective metrics on our GAAP Investment Portfolio ($ in thousands).

The following table presents a summary of our Investment Portfolio, inclusive of net interest margin and leverage ratios, as of September 30, 2025 and a reconciliation of these metrics on our Investment Portfolio to their respective metrics on our GAAP Investment Portfolio ($ in thousands).

Investment Securitized Debt Cost of Funds (c) Allocated Equity (d) Net Interest Margin

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Securitized Non-Agency Loans $ 7,350,818 $ 7,142,686 5.76 % $ 6,613,928 $ 6,469,626 $ 439,020 5.35 % $ 234,040 0.41 % 1.8x

Securitized Home Equity Loans 985,292 1,007,911 7.73 % 855,544 861,727 68,851 5.78 % 77,333 1.95 % 0.9x

Securitized Re/Non-Performing Loans 151,387 138,386 5.97 % 100,975 96,758 26,992 4.01 % 14,636 1.96 % 1.8x

Agency-Eligible Loans 1,512 1,509 6.51 % — — 1,424 NM 85 NM 16.8x

Agency-Eligible Loans 95,207 95,671 6.25 % — — 89,845 4.85 % 5,826 1.40 % 15.4x

Home Equity Loans 127,861 129,004 7.90 % — — 59,623 5.71 % 69,381 2.19 % 0.9x

Non-Agency Loans 571 572 3.65 % — — — — % 572 3.65 % N/A

Residential Whole Loans 588 1,443 120.02 % — — — — % 1,443 120.02 % N/A

Residential Whole Loans 460 1,257 NM — — — — % 1,257 NM N/A

Non-Agency RMBS 153,998 161,020 9.64 % — — 98,130 4.91 % 62,890 4.73 % 1.5x

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(f) We expect to either hold the Legacy WMC Commercial Investments until maturity or opportunistically exit these investments.

(g) There are Legacy WMC Commercial Loans with an unpaid principal balance of $45.0 million and a fair value of $42.8 million which are on non-accrual status.

(g) The Legacy WMC Commercial Loans are on non-accrual status or cost-recovery status.

(h) There are Legacy WMC CMBS with an unpaid principal balance of $23.5 million and a fair value of $7.1 million which are on non-accrual or cost recovery status.

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The impact of the net interest component of interest rate swaps on the cost of funds is included within the respective investment portfolio asset line items.

Securitized Non-Agency Loans

Securitized Non-Agency Loans and Home Equity Loans

As noted above, our investment activities primarily include acquiring and securitizing newly-originated residential mortgage loans.

These securitization trusts ("Non-Agency VIEs"), as defined in Note 2 to the “Notes to Consolidated Financial Statements (unaudited)” of the consolidated financial statements, are collateralized by Non-Agency and Agency-Eligible Loans.

In each securitization transaction, we transfer a pool of loans to a wholly-owned subsidiary and the loans are deposited into a newly created securitization trust.

Non-Agency VIEs are collateralized by Non-Agency and Agency-Eligible Loans.

Home Equity VIEs are collateralized by revolving lines of credit and closed-end loans secured primarily by a second lien on a residential mortgaged property.

Refer to Notes 2 and 3 to the “Notes to Consolidated Financial Statements (unaudited)” for additional information on the assets and liabilities of our consolidated Non-Agency VIEs and Home Equity VIEs.

In each securitization transaction, a pool of loans is transferred into a newly formed securitization trust.

The securitization trust issues various classes of mortgage pass-through certificates backed by the cash flows from the underlying residential mortgage loans (the "Certificates").

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We can retain either an "eligible vertical interest" (which consists of at least 5% of each class of securities issued in the securitization), an "eligible horizontal residual interest" (which is the most subordinate class of securities with a fair value of at least 5% of the aggregate credit risk) or a combination of both totaling 5% (the "Required Credit Risk") .

In order to comply with the Risk Retention Rules in each securitization transaction, we generally purchase the most subordinated classes of Certificates and the excess cash flow Certificates.

We also purchase the Certificates entitled to excess servicing fees and may purchase other Certificates issued by the securitization trust, while typically selling the senior classes of Certificates to unrelated third parties.

We typically sell the senior classes of Certificates to unrelated third parties.

When we choose to retain an eligible horizontal residual interest , we generally purchase the most subordinated classes of Certificates and the excess cash flow Certificates.

When we choose to retain an eligible vertical interest , we purchase a 5% interest in each class of Certificates issued.

We also may purchase the Certificates entitled to excess servicing fees and other Certificates not required to meet Risk Retention Rules.

If we are determined to be the primary beneficiary of these securitization transactions, we consolidate the respective VIE created to facilitate the transaction and record "Securitized residential mortgage loans" and "Securitized debt" on the consolidated balance sheets in accordance with U.S.

However, as noted above, our equity at risk represents certain Certificates from each securitization which we retain.

The following table summarizes our Securitized residential mortgage loans and Securitized debt, as well as the economic interest on retained Certificates related to our Non-Agency VIEs as of June 30, 2025 (in thousands).

Unpaid Principal Balance Fair Value

Securitized residential mortgage loans in Non-Agency VIEs $ 6,745,966 $ 6,510,682

Securitized debt in Non-Agency VIEs (1) 6,112,735 5,839,789

Other assets (2) N/A 4,672

Retained Certificates from Non-Agency VIEs (3)(4)(5)(6) $ 675,565

Retained interests in Non-Agency VIEs Current Face Fair Value

However, our equity at risk represents certain Certificates from each securitization which we retain.

Non-Agency VIEs Home Equity VIEs

Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value

Securitized residential mortgage loans in VIEs $ 7,298,543 $ 7,142,686 $ 921,111 $ 1,007,911

Securitized debt in VIEs (1) 6,676,720 6,469,626 828,954 861,727

Other assets (2) N/A 2,259 N/A 1,055

Retained Certificates from VIEs (3)(4)(5)(6) $ 675,319 $ 147,239

Retained interests in VIEs Current Face Fair Value Current Face Fair Value

Senior Bonds $ 129,304 $ 131,573 $ 38,886 $ 39,091

1 unchanged sentence

Subordinate Bonds 470,769 350,972 52,153 49,739

Interest Only / Excess Servicing Bonds (1)(7) N/A 172,543

Retained Certificates from Non-Agency VIEs (3)(4)(5)(6) $ 675,565

Financing arrangements on retained Certificates from Non-Agency VIEs 395,691

Retained Certificates from Non-Agency VIEs, net of financing arrangements $ 279,874

Interest Only / Excess Servicing Bonds (1)(7) N/A 170,880 N/A 57,290

Retained Certificates from VIEs (3)(4)(5)(6) $ 675,319 $ 147,239

Financing arrangements on retained Certificates from VIEs 439,020 68,851

Retained Certificates from VIEs, net of financing arrangements $ 236,299 $ 78,388

(1) Interest Only securities have no principal balances and bear interest based on a notional value.

The notional value is used solely to determine interest distributions on the interest only classes of securities.

The Securitized debt in Non-Agency VIEs and Interest Only/Excess Servicing Bonds line items include interest only classes with a notional value of $2.0 billion and $12.0 billion, respectively.

(2) Represents the fair value of real estate owned within Non-Agency VIEs.

The Securitized debt in the Non-Agency VIEs and Interest Only/Excess Servicing Bonds line items include interest only classes with a notional value of $3.4 billion and $12.1 billion, respectively.

The Securitized debt in the Home Equity VIEs and Interest Only/Excess Servicing Bonds line items include interest only classes with a notional value of $310.9 million and $610.2 million, respectively.

(2) For Non-Agency VIEs, represents the fair value of real estate owned within the VIEs.

We record real estate owned at the lower of cost or fair value less estimated costs to sell.

We recorded real estate owned within our Non-Agency VIEs at $2.1 million.

For Home Equity VIEs, represents cash held in reserve accounts within the Home Equity VIEs and included within our restricted cash.

(3) Maximum loss exposure from our involvement with VIEs pertains to the fair value of the Certificates retained from the VIEs.

We have no obligation to provide any other explicit or implicit support to the securitization trusts.

(4) Our equity at risk included bonds with a fair value of $472.4 million held in order to comply with Risk Retention Rules.

(4) Our equity at risk included bonds in our Non-Agency VIEs and Home Equity VIEs with a fair value of $457.2 million and $50.5 million, respectively, held in order to comply with Risk Retention Rules.

We are generally required to hold the Required Credit Risk until the later of (i) the fifth anniversary of the securitization closing date and (ii) the date on which the aggregate unpaid principal balance of the mortgage loans has been reduced to 25% of the aggregate unpaid principal balance of the mortgage loans as of the securitization closing date, but no longer than the seventh anniversary of the closing date.

(5) A portion of our equity at risk included bonds exposed to the first loss of the securitization with a fair value of $106.4 million.

(6) Excludes net other asset/(liabilities) held within the VIEs of $7.5 million.

(5) A portion of our equity at risk included bonds exposed to the first loss of the securitization in the Non-Agency VIEs and Home Equity VIEs with a fair value of $110.9 million and $57.3 million, respectively.

(6) Excludes net other asset/(liabilities) held within the Non-Agency VIEs and Home Equity VIEs of $7.7 million and $3.8 million, respectively.

(7) As the sponsor and depositor of each securitization, we may purchase all of the outstanding Certificates (an "Optional Redemption") following the earlier of (1) an applicable anniversary date (typically two or three years) of the respective securitization or (2) the date at which the unpaid principal balance of the applicable collateral has declined below a certain percentage (typically 10% to 30%) of the principal balance originally contributed to the securitization.

As of June 30, 2025, there were 8 securitizations with an unpaid principal balance of $1.8 billion that met the criteria for an Optional Redemption.

As of September 30, 2025, there were 10 Non-Agency securitizations with an unpaid principal balance of $2.4 billion that met the criteria for an Optional Redemption.

Securitized residential mortgage loans and Residential mortgage loans

The following table presents information regarding collateral characteristics of our residential mortgage loans as of June 30, 2025 ($ in thousands).

The following table presents information regarding collateral characteristics of our residential mortgage loans as of September 30, 2025 ($ in thousands).

Unpaid Principal Balance Weighted Average (1)(2)

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Non-Agency Loans $ 7,298,543 $ 7,142,686 18,795 70.80 % 765 5.86 % 7.44

Home Equity Loans 921,111 1,007,911 11,056 65.49 % 746 9.81 % 5.01

Re- and Non-Performing Loans 160,916 138,386 1,095 80.45 % 671 4.25 % 5.53

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Total Residential mortgage loans $ 218,528 $ 226,504 1,736 69.33 % 759 8.17 % 5.26

Total as of June 30, 2025

Total as of September 30, 2025

$ 8,599,098 $ 8,515,487 32,682 70.37 % 761 6.31 % 7.09

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Legacy WMC Commercial loans

See Note 3 to the "Notes to Consolidated Financial Statements (unaudited)" for information on the coupons, weighted average life, geographic concentration, collateral characteristics, LTV, and maturities of the loans we include in the "Commercial loans, at fair value" line item on our consolidated balance sheets.

As of September 30, 2025, the borrowers of the Legacy WMC Commercial loans were in maturity default.

The lender parties (including us) are evaluating with the borrowers consensual sales of the underlying properties collateralizing the loans and/or transferring title of all or certain of the properties to the lender parties via a deed-in-lieu of foreclosure.

See Note 3 to the "Notes to Consolidated Financial Statements (unaudited)" for information on the status of the Legacy WMC Commercial loans, as well as coupons, weighted average life, geographic concentration, collateral characteristics, LTV, and maturities of the loans we include in the "Commercial loans, at fair value" line item on our consolidated balance sheets.

Non-Agency RMBS and Legacy WMC CMBS

The following table presents the fair value, coupon, and weighted average life of our Non-Agency RMBS and Legacy WMC CMBS portfolios as of June 30, 2025 ($ in thousands).

The following table presents the fair value, coupon, and weighted average life of our Non-Agency RMBS and Legacy WMC CMBS portfolios as of September 30, 2025 ($ in thousands).

Weighted Average

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(4) There are Legacy WMC CMBS with an unpaid principal balance of $23.5 million and a fair value of $7.1 million which are on non-accrual or cost recovery status.

The following table presents the fair value of our Non-Agency RMBS and Legacy WMC CMBS by credit rating as of June 30, 2025 (in thousands).

The following table presents the fair value of our Non-Agency RMBS and Legacy WMC CMBS by credit rating as of September 30, 2025 (in thousands).

Credit Rating (1) Non-Agency RMBS Legacy WMC CMBS

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(1) Represents the minimum rating for rated assets of S&P, Moody's, Morningstar, and Fitch credit ratings, stated in terms of the S&P equivalent.

The following table presents the geographic concentration of the underlying collateral for our Non-Agency RMBS and Legacy WMC CMBS portfolios as of June 30, 2025 ($ in thousands).

The following table presents the geographic concentration of the underlying collateral for our Non-Agency RMBS and Legacy WMC CMBS portfolios as of September 30, 2025 ($ in thousands).

Non-Agency RMBS Legacy WMC CMBS

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California 32.4 % $ 52,167 California 43.9 % $ 17,859

Florida 9.0 % 14,603 Bahamas 26.6 % 14,956

New York 8.9 % 14,342 Minnesota 11.9 % 6,668

Texas 4.6 % 7,432 Texas 5.9 % 3,287

New Jersey 3.5 % 5,625 New York 3.5 % 1,979

Florida 9.1 % 14,655 Minnesota 16.4 % 6,672

New York 8.6 % 13,928 Texas 8.9 % 3,602

Texas 4.6 % 7,419 New York 6.1 % 2,465

New Jersey 3.6 % 5,807 Ohio 4.7 % 1,923

Other 41.7 % 67,044 Other 20.0 % 8,162

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Although our investment activities primarily include acquiring and securitizing newly-originated residential mortgage loans, from time to time we invest excess liquidity into Agency RMBS.

The following table presents the fair value, constant prepayment rate (“CPR”), coupon, and weighted average life experienced on our Agency RMBS portfolio as of June 30, 2025 ($ in thousands).

The following table presents the fair value, constant prepayment rate (“CPR”), coupon, and weighted average life experienced on our Agency RMBS portfolio as of September 30, 2025 ($ in thousands).

Weighted Average

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Repurchase agreements are generally mark-to-market with respect to margin calls and recourse to us.

We had outstanding financing arrangements with six counterparties as of June 30, 2025.

We also have certain financing arrangements collateralized by residential mortgage loans which are recourse to us, but are not subject to mark-to-market margin calls.

We had outstanding financing arrangements with six counterparties as of September 30, 2025.

Our financing arrangements generally include customary representations, warranties, and covenants, but may also contain more restrictive supplemental terms and conditions.

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To the extent that we fail to comply with the covenants contained in these financing arrangements or are otherwise found to be in default under the terms of such agreements, the counterparty has the right to accelerate amounts due under the associated agreement.

As of June 30, 2025, we are in compliance with all of our financial covenants.

As of September 30, 2025, we are in compliance with all of our financial covenants.

Securitized Debt

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As explained in the “Investment Activities” section above, our investment strategy focuses on acquiring and securitizing newly originated residential mortgage loans.

In each securitization transaction, we transfer a pool of loans to a wholly owned subsidiary, which then deposits the loans into a newly formed securitization trust.

In each securitization

transaction, a pool of loans is transferred into a newly formed securitization trust.

This trust issues Certificates, and we typically sell the senior classes of these Certificates to unrelated third parties.

We record “Securitized debt" on our consolidated balance sheet in accordance with U.S.

when we determine that we are the primary beneficiary of the securitization transaction.

The proceeds from securitization transactions are used to repay the financing arrangements initially employed to acquire newly originated residential mortgage loans, replacing recourse financing with mark-to-market margin calls with securitized debt.

GAAP when we determine that we are the primary beneficiary of the securitization transaction.

The proceeds from securitization transactions are used to repay any outstanding financing arrangements initially employed to acquire newly originated residential mortgage loans, replacing recourse financing with mark-to-market margin calls with securitized debt.

Securitized debt is generally long-term in nature, non-recourse to us and is not subject to mark-to-market margin calls.

Additionally, securitized debt is generally the holders of the securitized debt have no recourse to the general credit of the Company and we have no obligation to provide any other explicit or implicit support to the securitization trusts.

Additionally, generally the holders of the securitized debt have no recourse to the general credit of the Company and we have no obligation to provide any other explicit or implicit support to the securitization trusts.

Senior Unsecured Notes

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See Note 6 to the "Notes to Consolidated Financial Statements (unaudited)" for additional information on the Senior Unsecured Notes.

Recourse and non-recourse financing

The below table provides detail on the breakout between recourse and non-recourse financing as of June 30, 2025 (in thousands).

Carrying Value

Recourse financing - Financing arrangements $ 800,092

Recourse financing - Senior unsecured notes 96,080

Total Recourse financing $ 896,172

Non-recourse financing - Securitized debt, at fair value $ 5,937,637

Non-recourse financing - Financing arrangements 43,445

Total Non-recourse financing $ 5,981,082

Total Financing $ 6,877,254

We use leverage to increase potential returns to our stockholders and to fund the acquisition of our investment portfolio.

financing strategy is designed to increase the size of our investment portfolio by borrowing against the fair value of the assets in our portfolio.

When acquiring residential mortgage loans and other assets, we finance our investments using repurchase agreements or similar financing arrangements, which we refer to collectively as "financing arrangements." Upon accumulating a targeted amount of residential mortgage loans, we finance these assets utilizing long-term, non-recourse, non-mark-to-market securitizations as market conditions permit.

Financing arrangements are generally recourse to the Company whereas securitized debt used to finance our Non-Agency VIEs and RPL/NPL VIEs is generally non-recourse to the Company.

We use leverage to increase potential returns to our stockholders.

Our financing strategy is designed to increase the size of our investment portfolio by borrowing against the fair value of the assets in our portfolio.

As discussed above, financing arrangements are generally recourse to the Company whereas securitized debt used to finance our Non-Agency VIEs, Home Equity VIEs, and RPL/NPL VIEs is generally non-recourse to the Company.

In addition to disclosing GAAP leverage, we also disclose Economic Leverage, which excludes non-recourse financing.

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The following table presents a reconciliation of our Economic Leverage ratio to GAAP Leverage ($ in thousands).

June 30, 2025 Leverage Stockholders’ Equity Leverage Ratio

September 30, 2025 Leverage Stockholders’ Equity Leverage Ratio

Securitized debt, at fair value (1) $ 7,428,111

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Restricted cash posted on financing arrangements (4,427)

Payable on unsettled trades 114

GAAP Leverage $ 8,358,196 $ 559,843 14.9x

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Economic Leverage $ 930,953 $ 559,843 1.7x

(1) Non-recourse financing arrangements include securitized debt, at fair value and $43.4 million of other non-recourse financing arrangements.

(1) Securitized debt, at fair value is non-recourse to the Company.

(2) Financing arrangements and senior unsecured notes are recourse to the Company.

Hedging activities

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We may utilize interest rate swaps, swaption agreements, and other financial instruments such as short positions in to-be-announced securities.

In utilizing leverage and interest rate derivatives, our objectives are to improve risk-adjusted returns and, where possible, to lock in, on a long-term basis, a spread between the yield on our assets and the costs of our financing and hedging.

Derivatives have not been designated as hedging instruments for GAAP.

In utilizing leverage

and interest rate derivatives, our objectives are to improve risk-adjusted returns and, where possible, to lock in, on a long-term basis, a spread between the yield on our assets and the costs of our financing and hedging.

Derivatives have not been designated as hedging instruments for accounting purposes.

See Note 7 in the "Notes to Consolidated Financial Statements (unaudited)" for more information.

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Undistributed taxable income is based on current estimates and is not finalized until we file our annual tax return for that tax year, typically in October of the following year.

As of December 31, 2024, we had estimated undistributed taxable income of approximately $0.38 per common share.

During the six months ended June 30, 2025, the Company declared common stock dividends of $0.41 per share.

During the same period, the Company declared and paid preferred stock dividends on its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock of $1.03126, $1.00, and $1.397926, respectively.

As of December 31, 2024, we had undistributed taxable income of $0.36 per common share.

During the nine months ended September 30, 2025, the Company declared common stock dividends of $0.62 per share.

During the same period, the Company declared and paid preferred stock dividends on its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock of $1.54689, $1.50, and $2.103968 per share, respectively.

Liquidity and capital resources

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Refer to "—Margin requirements" below discussing instances where we may use liquidity to meet margin requirements.

At June 30, 2025, we had $89.7 million of liquidity, which consisted of $88.7 million of cash and cash equivalents and $1.0 million of unencumbered Agency RMBS available to support our liquidity needs.

Refer to the "Contractual obligations" section of this Item 2 for additional obligations that could impact our liquidity.

At September 30, 2025, we had $104.2 million of liquidity, which consisted of $59.0 million of cash and cash equivalents, $44.5 million of available committed financing on certain Home Equity Loans, and $0.7 million of unencumbered Agency RMBS available to support our liquidity needs.

The $44.5 million of available committed financing on Home Equity Loans relates to certain financing arrangements in which our counterparty has contractually committed to provide up to $50.0 million of financing at an advance rate of 87.5% of unpaid principal balance pledged as collateral, which was $50.9 million as of September 30, 2025.

Margin requirements

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We experience margin calls in the ordinary course of our business.

In seeking to effectively manage the margin requirements established by our lenders, we maintain a position of cash and, when owned, unpledged Agency RMBS.

We refer to this position as our "liquidity." The level of liquidity we maintain to meet margin calls is directly affected by our leverage levels, our haircuts and the price changes on our assets.

In addition to our cash and cash equivalents, we may hold

unpledged Agency RMBS and maintain available committed financing on certain residential mortgage loans to effectively manage the margin requirements established by our lenders.

We refer to this position as our "liquidity." Additionally, we may use certain financing arrangements collateralized by residential mortgage loans which are not subject to mark-to-market margin calls.

The level of liquidity we maintain to meet margin calls is directly affected by our leverage levels, our haircuts and the price changes on our assets.

Typically, if interest rates increase or if credit spreads widen, then the prices of our collateral (and our unpledged Agency RMBS that constitute a portion of our liquidity) will decline, we will experience margin calls, and we will need to use our liquidity to meet the margin calls.

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We may also receive margin calls on our derivatives based on the implied volatility of interest rates.

Our posting of collateral with our counterparties can be done in cash

or assets, and is generally bilateral, which means that if the fair value of our interest rate hedges increases, our counterparty will be required to post collateral with us.

Our posting of collateral with our counterparties can be done in cash or assets, and is generally bilateral, which means that if the fair value of our interest rate hedges increases, our counterparty will be required to post collateral with us.

Refer to the "Liquidity risk – derivatives" section of Item 3 below for a further discussion on margin.

The below details changes to our cash, cash equivalents, and restricted cash for the six months ended June 30, 2025 and 2024 (in thousands).

Six Months Ended

June 30, 2025 June 30, 2024 Change

The below details changes to our cash, cash equivalents, and restricted cash for the nine months ended September 30, 2025 and 2024 (in thousands).

Nine Months Ended

September 30, 2025 September 30, 2024 Change

Cash and cash equivalents and restricted cash, Beginning of Period $ 138,568 $ 125,573 $ 12,995

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Cash and cash equivalents and restricted cash, End of Period $ 76,808 $ 114,218 $ (37,410)

(1) Cash provided by operating activities is primarily attributable to net interest income less operating expenses for the six months ended June 30, 2025.

(2) Cash used in investing activities for the six months ended June 30, 2025 was primarily attributable to purchases of residential mortgage loans and real estate securities, offset by principal repayments on residential mortgage loans and proceeds from the sale of certain investments.

(3) Cash provided by financing activities for the six months ended June 30, 2025 was primarily attributable to proceeds from the issuance of securitized debt and net borrowings under financing arrangements, offset by principal repayments on securitized debt and dividend payments.

(1) Cash provided by operating activities is primarily attributable to net interest income less operating expenses for the nine months ended September 30, 2025.

(2) Cash used in investing activities for the nine months ended September 30, 2025 was primarily attributable to purchases of residential mortgage loans and real estate securities, offset by principal repayments on our investment portfolio and proceeds from the sale of certain investments.

(3) Cash provided by financing activities for the nine months ended September 30, 2025 was primarily attributable to proceeds from the issuance of securitized debt and net borrowings under financing arrangements, offset by principal repayments on securitized debt, repayments of fixed-rate long-term financing arrangements, and dividend payments.

Stock repurchase programs

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The 2022 Repurchase Program does not obligate us to acquire any particular amount of shares and may be modified or discontinued at any time.

As of the date of this filing, approximately $1.5 million of common stock remained authorized for future share repurchases under the 2022 Repurchase Program.

There were no shares repurchased during the three and six months ended June 30, 2025 and 2024.

As of the date of this filing, approximately $1.5 million of common stock remained

authorized for future share repurchases under the 2022 Repurchase Program.

There were no shares repurchased during the three and nine months ended September 30, 2025 and 2024.

On May 4, 2023, our Board of Directors authorized a stock repurchase program (the "2023 Repurchase Program") to repurchase up to $15.0 million of our outstanding common stock on substantially the same terms as the 2022 Repurchase Program.

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At the time of such termination, $51.7 million remained unsold under the prior program.

We did not issue any shares of common stock under any of our equity distribution agreements then in effect during the three and six months ended June 30, 2025 and 2024.

We did not issue any shares of common stock under any of our equity distribution agreements then in effect during the three and nine months ended September 30, 2025 and 2024.

Acquisition of additional interest in AG Arc

On August 1, 2025, in connection with the acquisition of an additional 21.4% interest in AG Arc, we issued 2,027,676 restricted shares of common stock (the “Holder Shares”) to certain funds managed by TPG Angelo Gordon (the “Holders”) as consideration.

Refer to Note 10 of the "Notes to Consolidated Financial Statements (unaudited)" for additional information.

Pursuant to the registration rights agreement we entered into with the Holders, in August 2025, we filed a resale shelf registration statement on Form S-3 registering the resale of all the Holder Shares (the “Resale Shelf”), which was declared effective by the Securities and Exchange Commission in August 2025.

Forward-looking statements regarding liquidity

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Stockholders’ Equity, for purposes of calculating the management fee, could be greater or less than the amount of stockholders’ equity shown on our financial statements.

The below table details the management fees incurred during the three and six months ended June 30, 2025 and 2024 (in thousands).

Three Months Ended Six Months Ended

The below table details the management fees incurred during the three and nine months ended September 30, 2025 and 2024 (in thousands).

Three Months Ended Nine Months Ended

Consolidated statements of operations line item:

June 30, 2025 June 30, 2024 June 30, 2025 June 30, 2024

September 30, 2025 September 30, 2024 September 30, 2025 September 30, 2024

Management fee to affiliate (1) $ 2,319 $ 1,708 $ 6,947 $ 5,202

(1) For the three and six months ended June 30, 2024, the Manager agreed to waive its right to receive management fees of $0.6 million and $1.2 million, respectively, pursuant to the MITT Management Agreement Amendment executed in connection with the WMC acquisition.

As of June 30, 2025 and December 31, 2024, we have recorded management fees payable of $2.3 million and $2.3 million, respectively.

(1) For the three and nine months ended September 30, 2024, the Manager agreed to waive its right to receive management fees of $0.6 million and $1.8 million, respectively, pursuant to the MITT Management Agreement Amendment executed in connection with the WMC acquisition.

As of September 30, 2025 and December 31, 2024, we have recorded management fees payable of $2.3 million and $2.3 million, respectively.

The management fee payable is included within the "Due to affiliates" line item within the "Other liabilities" line item on the consolidated balance sheets.

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The annual incentive fee will be payable in cash, or, at the option of our Board of Directors, shares of common stock or a combination of cash and shares.

During the three and six months ended June 30, 2025 and 2024, we did not incur any incentive fee expense.

During the three and nine months ended September 30, 2025 and 2024, we did not incur any incentive fee expense.

Termination fee

Upon the occurrence of (i) our termination of the management agreement without cause or (ii) the Manager’s termination of the management agreement upon a breach by the Company of any material term of the management agreement, the Manager will be entitled to a termination fee equal to three times the average annual management fee during the 24-month period prior to such termination, calculated as of the end of the most recently completed fiscal quarter.

As of June 30, 2025 and December 31, 2024, no event of termination of the management agreement had occurred.

As of September 30, 2025 and December 31, 2024, no event of termination of the management agreement had occurred.

Expense reimbursement

Our Manager uses the proceeds from its management fee in part to pay compensation to its officers and personnel, who, notwithstanding that certain of them also are our officers, receive no compensation directly from us.

We are required to reimburse our Manager or its affiliates for operating expenses incurred by our Manager or its affiliates on our behalf, including certain salary expenses and other expenses relating to legal, accounting, due diligence and other services.

We are required to

reimburse our Manager or its affiliates for operating expenses incurred by our Manager or its affiliates on our behalf, including certain salary expenses and other expenses relating to legal, accounting, due diligence and other services.

Our reimbursement obligation is not subject to any dollar limitation;

however, reimbursements are subject to an annual budget process which combines guidelines from the management agreement with oversight by our Board of Directors and discussions with our Manager.

The below table details the expense reimbursement incurred during the three and six months ended June 30, 2025 and 2024 (in thousands).

Three Months Ended Six Months Ended

The below table details the expense reimbursement incurred during the three and nine months ended September 30, 2025 and 2024 (in thousands).

Three Months Ended Nine Months Ended

Consolidated statements of operations line item:

June 30, 2025

June 30, 2024 June 30, 2025 June 30, 2024

September 30, 2025 September 30, 2024 September 30, 2025 September 30, 2024

Non-investment related expenses (1)

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Expense reimbursements to Manager or its affiliates $ 1,974 $ 1,852 $ 5,781 $ 5,727

(1) For the three and six months ended June 30, 2024, the Manager agreed to waive its right to receive expense reimbursements of $0.3 million and $0.6 million, respectively, pursuant to the MITT Management Agreement Amendment executed in connection with the WMC acquisition.

As of June 30, 2025 and December 31, 2024, we recorded a reimbursement payable to our Manager or its affiliates of $1.7 million and $1.7 million, respectively The reimbursement payable to the Manager or its affiliates is included within the "Due to affiliates" line item within the "Other liabilities" line item on the consolidated balance sheets.

(1) For the three and nine months ended September 30, 2024, the Manager agreed to waive its right to receive expense reimbursements of $0.3 million and $0.9 million, respectively, pursuant to the MITT Management Agreement Amendment executed in connection with the WMC acquisition.

As of September 30, 2025 and December 31, 2024, we recorded a reimbursement payable to our Manager or its affiliates of $2.5 million and $1.7 million, respectively The reimbursement payable to the Manager or its affiliates is included within the "Due to affiliates" line item within the "Other liabilities" line item on the consolidated balance sheets.

Equity Incentive Plans

Effective April 15, 2020 upon the approval of our stockholders at our 2020 annual meeting of stockholders, our 2020 Equity Incentive Plan (the "2020 Equity Incentive Plan") provided for a maximum of 666,666 shares of common stock to be issued.

Under the 2020 Equity Incentive Plan, we granted an aggregate of 285,825 shares of restricted common stock to the independent directors, all of which have vested.

On December 6, 2023, in connection with the WMC acquisition, we granted an aggregate 25,962 restricted stock units to two independent directors added to our Board of Directors who previously served on WMC's board of directors, all of which have vested.

Through May 5, 2025, the two independent directors have also been granted an aggregate of 4,098 dividend equivalent units, all of which have vested.

These restricted stock units and associated dividend equivalent units will be settled in shares of our common stock upon each independent director's separation from service with us.

On May 5, 2025, 15,030 restricted stock units and dividend equivalent units previously issued under the 2020 Equity Incentive Plan were settled for shares of our common stock, on a one-for-one basis, in connection with an independent director no longer serving on our Board of Directors as of May 5, 2025.

On May 5, 2025, following approval by stockholders at our annual stockholders meeting, our 2025 Equity Incentive Plan (the “2025 Equity Incentive Plan”) became effective.

The maximum number of shares of our common stock that may be issued under the 2025 Equity Incentive Plan is 800,000 shares of common stock, plus 220,781 shares of common stock (which reflects the number of shares that remained available for issuance under the 2020 Equity Incentive Plan as of May 4, 2025), plus 130,000 shares of common stock that remain subject to outstanding awards under the 2020 Equity Incentive Plan but only to the extent that such shares become forfeited or otherwise lapse.

The maximum number of shares of our common stock that may be issued under the 2025 Equity Incentive Plan is 800,000 shares of common stock, plus 220,781 shares of common stock (which reflects the number of shares that remained available for issuance under the equity incentive plan approved in 2020 (the “2020 Equity Incentive Plan”) as of May 4, 2025), plus 130,000 shares of common stock that remain subject to outstanding awards under the 2020 Equity Incentive Plan but only to the extent that such shares become forfeited or otherwise lapse.

As a result of the adoption of the 2025 Equity Incentive Plan, no additional awards will be granted under the 2020 Equity Incentive Plan (although awards previously made under the 2020 Equity Incentive Plan will remain in effect subject to the terms of the 2020 Equity Incentive Plan and the applicable award agreement).

As of June 30, 2025, there were no shares or awards issued under the 2025 Equity Incentive Plan.

Since inception of the 2025 Equity Incentive Plan and through September 30, 2025, we have granted an aggregate 13,383 shares of restricted common stock and 411 dividend equivalent units to its independent directors, all of which have vested.

As of September 30, 2025, there were 1,006,987 remaining shares available to be issued under the 2025 Equity Incentive Plan.

As of September 30, 2025, we have 12,981 restricted stock units and 2,460 associated dividend equivalent units outstanding, all of which are fully vested and held by one of our independent directors.

These units will be settled on a one-for-one basis in shares of our common stock upon the director's separation from service with us.

Unfunded commitments

See Note 12 of the "Notes to Consolidated Financial Statements (unaudited)" for detail on our commitments as of June 30, 2025.

See Note 12 of the "Notes to Consolidated Financial Statements (unaudited)" for detail on our commitments as of September 30, 2025.

Off-balance sheet arrangements

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We record TBA purchases and sales on the trade date and present the purchase or receipt net of the corresponding payable or receivable until the settlement date of the transaction.

Refer to Note 7 to the "Notes to Consolidated Financial Statements (unaudited)" for additional detail on TBAs as of June 30, 2025, if applicable.

For additional information on our commitments as of June 30, 2025 , refer to Note 12 of the "Notes to Consolidated Financial Statements (unaudited)." We do not expect these commitments, taken as a whole, to be significant to, or to have a material impact on, our overall liquidity or capital resources or our operations.

Refer to Note 7 to the "Notes to Consolidated Financial Statements (unaudited)" for additional detail on TBAs as of September 30, 2025, if applicable.

For additional information on our commitments as of September 30, 2025, refer to Note 12 of the "Notes to Consolidated Financial Statements (unaudited)." We do not expect these commitments, taken as a whole, to be significant to, or to have a material impact on, our overall liquidity or capital resources or our operations.

Critical accounting policies and estimates

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We believe that the estimates, judgments and assumptions utilized in the preparation of our consolidated financial statements are prudent and reasonable.

Although our estimates contemplate conditions as of June 30, 2025 and how we expect them to change in the future, it is reasonably possible that actual conditions could be different than anticipated in arriving at those estimates, which could materially affect reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of income and expenses during the periods presented.

Although our estimates contemplate conditions as of September 30, 2025 and how we expect them to change in the future, it is reasonably possible that actual conditions could be different than anticipated in arriving at those estimates, which could materially affect reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of income and expenses during the periods presented.

Our most critical accounting policies include (i) Valuation of financial instruments, (ii) Accounting for loans, (iii) Accounting for real estate securities, (iv) Interest income recognition, (v) Financing arrangements, (vi) Investment consolidation, and (vii) Accounting for business combinations.

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government securities and cash items) on an unconsolidated basis (the "40% Test").

"Investment securities" do not include, among other things, U.S.

government securities, and securities issued by majority-owned subsidiaries

that (i) are not investment companies and (ii) are not relying on the exceptions from the definition of investment company provided by Section 3(c)(1) or 3(c)(7) of the Investment Company Act (the so called "private investment company" exemptions).

securities" do not include, among other things, U.S.

government securities, and securities issued by majority-owned subsidiaries that (i) are not investment companies and (ii) are not relying on the exceptions from the definition of investment company provided by Section 3(c)(1) or 3(c)(7) of the Investment Company Act (the so called "private investment company" exemptions).

We conduct our operations such that we will not be considered an investment company under Section 3(a)(1) of the Investment Company Act by complying with the 40% Test and not engaging primarily (or holding ourselves out as being engaged primarily) in the business of investing, reinvesting, or trading in securities.

12 unchanged sentences

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