What changed in this filing

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Item 7. Management’s Discussion and Analysis

2026-02-25 compared with 2025-03-04 · 320 added, 324 removed, 519 unchanged (55% of the section changed)

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

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

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

Through our ownership in Arc Home, we also have exposure to mortgage banking activities.

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Our investment portfolio (which excludes our ownership in Arc Home) primarily includes Residential Investments and Agency RMBS.

Currently, our Residential Investments primarily consist of newly originated Non-Agency Loans, Agency-Eligible Loans and Home Equity Loans, which we refer to as our target assets.

Currently, our Residential Investments primarily consist of Non-Agency Loans, Agency-Eligible Loans, Home Equity Loans and Non-Agency RMBS collateralized by these loan types, which we refer to as our target assets.

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

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Accordingly, we generally will not be subject to U.S.

federal income taxes on our taxable income that we distribute to our stockholders as long as we maintain our intended qualification as a REIT, with the exception of business conducted in our domestic taxable REIT subsidiaries ("TRSs") which are subject to corporate income tax.

federal income taxes on our taxable income that we distribute currently to our stockholders as long as we maintain our intended qualification as a REIT, with the exception of business conducted in our domestic taxable REIT subsidiaries ("TRS") which are subject to corporate income tax.

We also operate our business in a manner that permits us to maintain our exemption from registration under the Investment Company Act.

We are externally managed by our Manager, an affiliate of TPG Angelo Gordon, pursuant to a management agreement.

Our Manager has delegated to TPG Angelo Gordon, a diversified credit and real estate investing platform within TPG Inc.

("TPG"), the overall responsibility of its day-to-day duties and obligations arising under the management agreement.

We are externally managed by our Manager, a wholly-owned subsidiary of TPG, pursuant to a management agreement.

Our Manager has delegated to Angelo, Gordon & Co., L.P.

("TPG Angelo Gordon"), an affiliate of TPG, the overall responsibility of its day-to-day duties and obligations arising under our management agreement.

TPG) is a leading global alternative asset management firm.

WMC Acquisition

On December 6, 2023 (the "Closing Date"), we completed the acquisition of Western Asset Mortgage Capital Corporation ("WMC"), a Delaware corporation and externally managed mortgage REIT that focused on investing in, financing and managing a portfolio of residential mortgage loans, real estate related securities, and commercial real estate loans.

On the Closing Date, WMC merged with and into AGMIT Merger Sub, LLC, a Delaware limited liability company and our wholly owned subsidiary ("Merger Sub"), with Merger Sub continuing as the surviving company (the "Merger").

Refer to "Item 1—WMC Acquisition" and the section entitled "WMC Acquisition" in Note 1 to the "Notes to Consolidated Financial Statements" for further information related to the Merger.

2025 Executive Summary

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• $10.48 Book Value per share;

◦ Book value per common share is calculated using stockholders’ equity less the liquidation preference of $228.0 million on our issued and outstanding preferred stock divided by all outstanding common shares as of quarter-end;

• $0.90 of Net Income/(Loss) Available to Common Stockholders per diluted common share and $0.86 of Earnings Available for Distribution ("EAD") per diluted common share for the year ended December 31, 2025;

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• $0.85 dividend per common share declared during the year;

◦ Increased our quarterly dividend per common share from $0.18 per common share in the first quarter 2024 to $0.19 per common share beginning the second quarter 2024, which represented a 5.6% increase.

◦ Increase of 13.3% from $0.75 dividend per common share declared during 2024.

Investment Activity

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Non-Agency RMBS (1)

CMBS(1) — 1,531

Other Securities(1) — 763

Total $ 3,114,470 $ 413,998

(1) Includes sales of $27.3 million, $1.5 million and $0.8 million of Non-Agency RMBS, CMBS and Other Securities, respectively, sold from the legacy portfolio acquired in the WMC acquisition.

(2) During the year, we co-sponsored two rated securitizations collateralized by $729.9 million of Agency-Eligible Loans.

(1) During the year, we partnered with mortgage originators and executed three rated securitizations collateralized by $1.5 billion of Home Equity Loans.

As the co-sponsor, the Company retained an "eligible vertical interest" to comply with risk retention rules which consists of at least 5% of each class of securities issued in the securitizations.

Upon evaluating our retained interest in the securitization trusts, we determined we were not the primary beneficiary and, as a result, did not consolidate the securitization trusts and recorded an investment of $69.1 million of Non-Agency RMBS.

Upon evaluating our retained interest in the securitization trusts, we determined we were not the primary beneficiary and, as a result, did not consolidate the securitization trusts, which resulted in us recording an investment in Non-Agency RMBS.

Acquisition of Additional Interest in AG Arc LLC

• On August 1, 2025, purchased an additional 21.4% interest in AG Arc LLC (“AG Arc”) from certain private funds managed by an affiliate of TPG.

In connection with the acquisition, we issued 2,027,676 restricted shares of our common stock as consideration.

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 Note 10 to the "Notes to Consolidated Financial Statements" for additional information related to the transaction.

Financing Activity

• Executed four rated securitizations of Agency-Eligible Loans with a total unpaid principal balance of $1.4 billion, converting recourse financing with mark-to-market margin calls to non-recourse financing without mark-to-market margin calls;

• Repurchased $7.1 million of principal amount of the Legacy WMC Convertible Notes during the first quarter of 2024 and paid off the remaining $79.1 million principal amount outstanding at maturity in September 2024;

• Issued $99.5 million principal amount of Senior Unsecured Notes in public offerings generating net proceeds of approximately $95.2 million.

• The table below summarizes the rated securitizations executed during the year ended December 31, 2025 (in millions).

Collateral Month Unpaid Principal Balance

Agency-Eligible Loans (1)

February 2025 $ 423.3

Agency-Eligible Loans June 2025 331.4

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

Agency-Eligible Loans (1)

December 2025 346.2

Total $ 2,813.3

(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 collateralized by certain retained interests in securitizations acquired from WMC.

Generated total net proceeds of $55.4 million by pledging these assets under a recourse financing arrangement with mark-to-market margin calls and issuing additional securitized debt;

• Pledged Home Equity Loans with a fair value of $69.7 million and an unpaid principal balance of $66.8 million, in which we have no outstanding financing but have the ability to borrow at an advance rate of 87.5% of unpaid principal balance pledged as collateral.

As of December 31, 2025, $50 million of this available financing is contractually committed;

• 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;

• Exercised our optional redemption right related to a 2022 vintage Non-Agency securitization, paying down $275.0 million of securitized debt.

Market Conditions

The financial markets have been, and will likely continue to remain, volatile given the overall market uncertainty related to inflation, fiscal policies of the incoming administration, and the path of monetary policy and interest rates.

Throughout 2024, markets have displayed a high level of sensitivity to the Federal Reserve’s interest rate decisions.

On December 18, 2024, the Federal Reserve lowered the target range for the Federal Funds Rate by an additional 25 basis points to 4.25% to 4.50%, for a cumulative 100 basis points of reduction in all of 2024.

The Federal Reserve noted that the decrease was supported by their belief that the risks to both price stability and maximum employment are roughly in balance, but the stance of monetary policy remains restrictive.

In its updated Summary of Economic Projections (“SEP”), the Federal Reserve increased its 2025 growth and inflation forecasts, reduced its unemployment rate forecast, and reduced the total amount of policy rate easing it anticipates for all of 2025 from 100 basis points to 50 basis points.

As of December 2024, the Consumer Price Index report indicated headline inflation was 2.9% year over year with the unemployment rate remaining at 4.1%.

During the fourth quarter, the 10-year U.S.

Treasury yield increased by approximately 79 basis points to 4.58% and the 30-year mortgage rate increased by approximately 77 basis points to 6.85%.

The quarter ended with the spread between the 2-year and 10-year U.S.

Treasury yields at approximately 33 basis points positive sloping.

There has been more mixed economic data and increasing policy uncertainty from the new administration as it pertains to inflation and growth, which have continued to drive volatility in benchmark rates so far in the first quarter 2025.

RMBS spreads were mostly tighter and credit curves were relatively flat during the fourth quarter.

Throughout 2024, market participants have sought RMBS and residential mortgage credit exposure to access strong underlying fundamentals such as high quality underwriting, rising home values and a persistently strong supply/demand technical.

During the fourth quarter of 2025 and through January of 2026, Federal Reserve Chair Jerome Powell adopted a more cautious posture as the central bank sought to balance a labor market showing early signs of softening with persistent inflation.

Although the unemployment rate edged higher to 4.4% by the end of 2025, core inflation remained near 3%.

In response to these shifting dynamics, the Federal Open Market Committee delivered two additional 25 basis point interest rate cuts at its October and December meetings, bringing the target Fed Funds range to 3.50% to 3.75%.

However, at the January 2026 meeting, the Federal Reserve elected to hold rates steady, whereby Chair Powell maintained that while risks to the dual mandate had diminished, current policy was not significantly restrictive, signaling a patient, meeting-by-meeting approach to further easing while under his chairmanship.

The Treasury market reflected this "higher-for-longer" concern even as the Federal Reserve cut short-term rates.

This resulted in a further steepening of the yield curve.

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

Treasuries widened to approximately 70 basis points, remaining around that level through January 2026.

Despite elevated long-term Treasury yields, the 30-year fixed mortgage rate declined by 15 to 20 basis points over the course of the fourth quarter to the low 6% area, reflecting modest easing in long-term borrowing costs for consumers.

On January 30, 2026, Kevin Warsh was nominated to succeed Jerome Powell as the Federal Reserve Chair in May 2026 and after some initial market volatility, markets subsequently stabilized as investors assessed the potential implications of the nomination on monetary policy.

RMBS credit spreads were broadly tighter during the fourth quarter of 2025, particularly lower in the capital structure.

Senior Non-QM spreads trended slightly tighter by a few basis points while mezzanine and subordinate tranches were 20 to 25 basis points tighter.

Similarly, senior prime jumbo spreads were mixed while the subordinate tranches tightened by 20 to 35 basis points.

Closed-end second lien spreads were flat to slightly wider higher in the capital structure while mezzanine tranches were flat to approximately 10 basis points tighter.

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 to 25 basis points tighter during the fourth quarter.

Investment grade prime jumbo RMBS spreads tightened by 30 basis points during the quarter, with spreads on BBB-rated risk finishing the year in the mid-200 basis points.

Senior Non-QM tranches tightened by 10 to15 basis points while non-investment grade Non-QM spreads were 40 to 60 basis points tighter.

Year-to-date, RMBS sectors have seen considerable spread tightening, particularly in the subordinate tranches of structures.

Over the course of the year, non-investment grade prime jumbo spreads were 150 to 300 basis points tighter and non-investment grade Non-QM spreads were 100 to 200 basis points tighter, leaving credit curves sharply flatter in 2024.

Primary RMBS market activity decreased slightly during the fourth quarter, totaling approximately $34 billion, a decline of 6% quarter-over-quarter, however issuance approximately doubled year-over-year.

The annual growth was most pronounced in the Non-QM and Prime Jumbo sectors, which collectively grew by $8 billion year-over-year to nearly $18 billion.

Other growth sectors included second liens and Home Equity Loans, up over 120%.

For the full year 2024, primary RMBS activity rose over 90% to $134 billion.

Most of the growth was again in the Prime Jumbo and Non-QM sectors, which rose 165% and 51% to $26 billion and $43 billion, respectively.

Issuance for the second liens and Home Equity Loans sector grew by an impressive 200% to $13.5 billion as originators and deal sponsors become more focused on this asset class.

Credit spreads on lower priority CRT tranches continued to tighten as market participants sought higher-yielding assets backed by seasoned mortgage credit.

These tranche profiles have benefitted from some scarcity value as the GSEs have opted to retain more of the capital structure for their newly issued transactions amid favorable underlying collateral fundamentals.

Higher priority CRT tranches were flat to slightly tighter during the fourth quarter of 2025.

Non-QM credit curves continued to flatten amid robust demand for residential credit.

Overall, credit spread changes for the full-year 2025 were broadly similar to the fourth quarter, with credit spreads on senior tranches mixed, while spreads on lower tranches in the capital structure were tighter by up to 25 to 30 basis points.

During the fourth quarter, primary RMBS market activity declined by 6% to $51 billion as compared to prior quarter.

However, fourth quarter issuance volume was 27% higher than year-ago levels and brought the full-year 2025 primary issuance to over $200 billion, a 37% increase against 2024.

Growth in the Non-QM sector was the primary driver of the annual increase, rising by approximately $35 billion, nearly doubling the volume in 2024.

In addition, Home Equity issuance increased by over $13 billion, also nearly double 2024, and Prime Jumbo and Agency-Eligible issuance increased by a combined $10 billion.

For the full-year 2025, Non-QM was roughly 40% of the year’s total issuance, followed by Prime Jumbo and Agency, collectively about 22%, and Home Equity at 14%.

Residential transition loans, also known as fix-and-flip, comprised 4% of total issuance.

Other sectors such as Single-Family Rental, CRT and Re/Non-performing loans comprised the balance.

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

National Home Price Index seasonally fell, albeit just slightly, from its peak in July.

The Index was higher by 3.9% during 2024.

Regional price variations continue to exist, however, as West Coast, Midwest and Northeast regions recording the highest gains.

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

National home price expectations from third party research currently forecasts 2025 home price appreciation to be approximately 1.5% to 2%, with a range of -2% to +4.4%.

Prevailing mortgage rates rose sharply in the fourth quarter after a brief decline in September with the 30-year fixed rate mortgage ending the quarter at 6.85%, according to the Freddie Mac Primary Mortgage Market Survey.

The effective mortgage rate outstanding was slightly higher, from 3.98% to 4.02% as of December 2024 and remains well below prevailing rates.

However, the “lock-in effect,” or disincentive for existing homeowners to sell their homes because their current mortgage rate is well below current market rates, is starting to show signs of decay as the effective mortgage rate has risen approximately 72 basis points since March 2022 and 23 basis points through 2024.

Total existing home listings ticked down going into the end of the year.

New listings continue to run well short of annual activity in 2015 to 2019 as well as pandemic-affected 2020 to 2022.

Throughout 2024, approximately 4.2 million new listings came to market, a gap of over 1.1 million fewer listings than an average year over 2015 to 2022.

National Home Price Index was 1.3% higher year-over-year in December 2025, the latest data available, about 1% below the peak established in June 2025.

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

Chicago area home prices led annual gains, rising by 5.3% from December 2024 to December 2025, and New York followed nearby at 5.1%.

Cleveland home prices rose 4.0% and Boston was 1% higher over the year.

California regions hovered around flat as Los Angeles and San Diego home price growth was inside of 1% while San Francisco fell by 10 basis points.

Denver fell by 2.1% and Dallas home prices were 1.5% lower.

In Florida, Miami home prices fell by 1.5% and Tampa was 2.9% lower against year-ago readings.

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

During the quarter, prevailing mortgage rates hovered between 6.2% and 6.3% and ended the quarter at 6.15%, according to the Freddie Mac Primary Mortgage Market Survey, last approaching these levels in the late third and early fourth quarter of 2024.

Conforming mortgage interest rate locks remained in the low 6% area through December 2025 and held there at the start of January 2026.

After a slow climb throughout 2023 and 2024, the effective mortgage rate outstanding (the rate on outstanding mortgage debt) continued to inch higher to 4.2% as of the third quarter of 2025, the latest data available, roughly 200 basis points lower than prevailing rates.

This rate is almost 90 basis points higher than its low of 3.31% in the first quarter of 2022.

While this suggests some softening of the mortgage lock-in effect, or disincentive for existing homeowners to sell their homes

because their current mortgage rate is well below current market rates, this rate is up only 17 basis points from the start of the year, showing the stickiness of low-rate borrowers staying in place and reduced housing activity.

Total existing home inventory fell in December 2025 to 1.18 million, the latest data available.

The reading follows the May to October period when inventory was approximately 1.5 million.

Existing home inventory in 2025 hovered at its highest levels since 2020, averaging 1.3 to 1.5 million for most of the year, however these levels hardly breach the typical inventory levels of 1.5 to 2 million units that prevailed from 2016 to 2019 and remain well below the 1.7 to 2.5 million range seen between 2000 to 2004, periods with a smaller count of U.S.

When evaluating new listings, which are a timelier barometer of home sale activity, 2025 inventory was 4.1 million units, the lowest since 2011.

This figure is 3% lower year-over-year and is 24% below average year-to-date listings through November 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.

Presentation of investment, financing and hedging activities

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• Our "Residential Investments" refer to our residential mortgage loans and Non-Agency RMBS.

◦ "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) and Land Related Financing.

◦ "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.

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

• "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.

• Our "Legacy WMC Commercial Investments" refer to the commercial loans and CMBS that we acquired in the WMC Acquisition.

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• Our "GAAP Residential Investments" refer to our Residential Investments excluding investments held within affiliated entities.

• Our "GAAP Investment portfolio" includes our GAAP Residential Investments, Agency RMBS, and Legacy WMC Commercial Investments and Other Securities.

• Our "GAAP Investment portfolio" includes our GAAP Residential Investments, Agency RMBS, and Legacy WMC Commercial Investments.

For a reconciliation of our Investment portfolio to our GAAP Investment portfolio, see the GAAP Investment Portfolio Reconciliation Table below.

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Book value per common share $ 10.48 $ 10.64

Results of Operations for the Fiscal Years 2024 and 2023

Our operating results can be affected by a number of factors and primarily depend on the size and composition of our investment portfolio, the level of our net interest income, the fair value of our assets and the supply of, and demand for, our investments in residential mortgage loans in the marketplace, among other things, which can be impacted by unanticipated credit events, such as defaults, liquidations or delinquencies, experienced by borrowers whose residential mortgage loans are included in our investment portfolio and other unanticipated events in our markets.

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.

Results of Operations

Our operating results can be affected by a number of factors and primarily depend on the size and composition of our investment portfolio, the level of our net interest income, the fair value of our assets and the supply of, and demand for, our investments in residential mortgage loans in the marketplace, among other things, which can be impacted by unanticipated credit events experienced by borrowers whose residential mortgage loans are included in our investment portfolio, such as defaults, liquidations or delinquencies, and other unanticipated events in our markets.

Year Ended December 31, 2025 compared to the Year Ended December 31, 2024

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Net unrealized gain/(loss) 20,853 16,956 3,897

Bargain purchase gain — 30,190 (30,190)

Total Other Income/(Loss) 13,217 21,655 (8,438)

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Equity in earnings/(loss) from affiliates 2,821 3,141 (320)

Net Income/(Loss) before Income Taxes 49,556 55,849 (6,293)

Income tax expense 888 112 776

Net Income/(Loss) 48,668 55,737 (7,069)

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

Interest income increased from December 31, 2023 to December 31, 2024 primarily as a result of an increased investment portfolio resulting from the WMC acquisition in December 2023 along with purchases of residential mortgage loans and real estate securities during the year and an increase in the weighted average yield of our investment portfolio.

Interest income increased from the year ended December 31, 2024 to the year ended December 31, 2025 primarily 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 for the years ended December 31, 2025 and 2024 ($ in millions).

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Weighted average yield on our GAAP investment portfolio 6.07 % 5.94 % 0.13 %

(1) The weighted average yields are presented based on the amortized cost of the underlying loans.

Interest expense

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

Interest expense increased from December 31, 2023 to December 31, 2024 due to an increase in the GAAP financing balance outstanding resulting from the assumption of financing through the WMC acquisition in December 2023 along with the issuance of securitized debt and Senior Unsecured Notes during the year.

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 the year ended December 31, 2024, Legacy WMC Convertible Notes.

Interest expense increased from the year ended December 31, 2024 to the year ended December 31, 2025 due to a higher weighted average GAAP financing balance outstanding resulting primarily from the issuance of securitized debt during the periods and the issuance of Senior Unsecured Notes in January and May of 2024, 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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$ 7,458 $ 6,418 $ 1,040

Weighted average financing rate (1) 5.34 % 4.58 % 0.76 %

(1) The weighted average financing rates are presented based on the amortized cost of the underlying securities.

Weighted average financing rate on our GAAP financing 5.41 % 5.34 % 0.07 %

Net interest component of interest rate swaps

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 years ended December 31, 2024 and 2023 as a result of our swap portfolio being in a net receive position during the entire year.

The following table presents a summary of our interest rate swap portfolio as of December 31, 2024 and 2023 ($ in millions).

We recorded income on the net interest component of interest rate swaps during the years ended December 31, 2025 and 2024 as a result of our swap portfolio being in a net receive position during each of the entire periods.

The decrease in income from the year ended December 31, 2024 to the year ended December 31, 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 the weighted average notional value of and the weighted average (pay)/receive rate on our interest rate swap portfolio for the years ended of December 31, 2025 and 2024 ($ in millions).

December 31, 2025 December 31, 2024 Change

Interest rate swap notional value

$ 343 $ 503 $ (160)

Weighted average receive-variable rate

4.49 % 5.38 % (0.89) %

Weighted average pay-fix rate

Net weighted average interest rate swap notional value

$ 396 $ 478 $ (82)

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The following table presents a summary of Net realized gain/(loss) for the years ended December 31, 2025 and 2024 (in thousands).

The realized loss during the year ended December 31, 2024 was primarily driven by losses from unwinding pay-fix, receive-variable interest rate swaps which were held at unrealized losses.

This was offset by realized gains on sales of residential mortgage loans and real estate securities.

See Note 3, Note 4, and Note 7 to the "Notes to Consolidated Financial Statements" for additional information on realized gains/(losses).

December 31, 2025 December 31, 2024

Sales of residential mortgage loans and loans transferred to or sold from Other assets $ 5,254 $ (12,079)

Sales of real estate securities 12,710 (1,558)

Sale of residential mortgage loans and loans transferred to or sold from Other assets $ (4,722) $ 5,254

Sale of real estate securities 549 12,710

Loan purchase commitment (61) —

Settlement of derivatives and other instruments (6,849) (20,882)

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The following table presents a summary of Net unrealized gain/(loss) for the years ended December 31, 2025 and 2024 (in thousands).

During the year ended December 31, 2024, there were unrealized gains on our residential mortgage loans and interest rate swaps offset by unrealized losses on our securitized debt.

December 31, 2025

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Total Net unrealized gain/(loss) $ 20,853 $ 16,956

Bargain purchase gain

Per ASC 805, "Business Combinations," a bargain purchase gain is recognized in current earnings when the aggregate fair value of the consideration transferred is less than the fair value of the identifiable net asset acquired.

In connection with the WMC acquisition in 2023, we recorded a bargain purchase gain of $30.2 million, which represents the amount by which the fair value of the net assets we acquired in the acquisition of $81.4 million exceeded the fair value of the shares of MITT common stock issued as consideration of $51.2 million.

As a result of macroeconomic factors and interest rate volatility, the price per share of common stock of certain companies within the mortgage REIT industry have traded at discounts to book values per share in recent periods, which contributed to the bargain purchase gain recorded on the WMC acquisition.

Management fee to affiliate

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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).

As a result of the transaction closing on December 6, 2023, the base management fee was reduced by $0.6 million during the year ended December 31, 2023 and $1.8 million during the year ended December 31, 2024.

As a result, during the year ended December 31, 2024, the base management fee was reduced by $1.8 million.

Non-investment related expenses

Non-investment related expenses are primarily comprised of professional fees, directors’ and officers’ ("D&O") insurance, directors’ compensation, and certain non-investment related expenses reimbursable to our Manager or its affiliates.

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 compensation expenses and other expenses relating to legal, accounting, and other services.

Refer to the "Contractual obligations" section below for more detail on certain expenses reimbursable to our Manager or its affiliates.

The following table presents a summary of our non-investment related expenses for the years ended December 31, 2025 and 2024 (in thousands).

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Professional Fees 1,587 1,597

D&O insurance 1,257 1,086

Directors' compensation 1,163 745

Directors' and Officers' insurance 1,021 1,257

Directors' fees and equity based compensation 1,120 1,163

Excise tax expense (2) (110) 103

Other 876 785

Total Non-investment related expenses $ 10,819 $ 10,620

(1) For the years ended December 31, 2024 and 2023, the Manager agreed to waive its right to receive expense reimbursements of $1.1 million and $1.7 million, respectively.

(2) Estimated excise tax expense of $0.1 million was recognized during the year ended December 31, 2024.

The Company did not recognize any excise tax during the year ended December 31, 2023.

(1) 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 compensation expenses and other expenses relating to legal, accounting, and other services.

See the "Contractual obligations" section of this Part II, Item 7 for further detail.

For the year ended December 31, 2024, the Manager agreed to waive its right to receive expense reimbursements of $1.1 million pursuant to the MITT Management Agreement Amendment executed in connection with the WMC Acquisition.

(2) During the year ended December 31, 2025, we recorded a reduction in excise tax expense of $0.1 million related to an excise tax refund.

Investment related expenses

Investment related expenses are primarily comprised of servicing fees, asset management fees, trustee fees, and certain investment related expenses reimbursable to the Manager or its affiliates.

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.

The following table presents a summary of our investment related expenses for the years ended December 31, 2025 and 2024 (in thousands).

These expenses increased from the year ended December 31, 2024 to the year ended December 31, 2025 primarily due to an increase in our GAAP residential mortgage loan portfolio.

December 31, 2025 December 31, 2024

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Total Investment related expenses $ 15,625 $ 13,522

(1) 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.

Transaction related expenses

Historically, transaction related expenses have included expenses primarily associated with purchasing and securitizing residential mortgage loans as well as certain other transaction and performance related fees associated with assets we invest in.

During the year ended December 31, 2024 we completed four securitizations as compared to three securitizations during the year ended December 31, 2023.

However, transaction related expenses for the year ended December 31, 2024 decreased primarily due to $6.0 million of transaction related expenses incurred during the year ended December 31, 2023 in connection with the WMC acquisition.

During the year ended December 31, 2025, we recorded transaction related expenses of $5.2 million on the purchase and securitization of residential mortgage loans, $0.8 million related to refinancing our fixed-rate long-term financing arrangements, $0.9 million related to our acquisition of an additional 21.4% interest in AG Arc, and $0.4 million of legal expenses on our Legacy WMC Commercial Loans.

Equity in earnings/(loss) from affiliates

Equity in earnings/(loss) from affiliates represents our share of earnings and profits of investments held within affiliated entities.

These investments are comprised of real estate securities, loans, and our investment in AG Arc which holds our investment in Arc Home.

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

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MATT Non-QM Securities $ (1,167) $ 1,289

Land Related Financing (2) — 758

Re/Non-Performing Securities (137) 711

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$ 2,821 $ 3,141

(1) The earnings within MATT for the year ended December 31, 2024 were primarily the result of net interest income of $2.9 million offset by unrealized losses of $(1.4) million and expenses of $(0.2) million.

The earnings within MATT for the year ended December 31, 2023 were primarily the result of net interest income of $3.5 million and unrealized gains of $0.7 million offset by other expenses of $(0.2) million.

(2) Throughout the year ended December 31, 2023, Land Related Financing continued to pay down and paid off in full during the fourth quarter 2023.

(3) 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) 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).

December 31, 2025

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Net unrealized gain/(loss) (3,453) (1,351)

After-tax earnings/(loss) at AG Arc (1) (323) (4,021)

Net unrealized gain/(loss) on investment in AG Arc (2) 2,571 (1,459)

Elimination of gains on loans sold to MITT (3) (1,107) (1,442)

Total AG Arc Earnings/(Loss) 1,141 (6,922)

Other operating expenses (1) 195 224

Total MATT Non-QM Securities and Re/Non Performing Securities (2) (1,304) 2,000

Net operating income/(loss) from AG Arc (1) (3) 2,269 (2,182)

Other income/(loss) from AG Arc (3) (407) 1,859

Unrealized gain/(loss) on investment in AG Arc (4) 2,674 2,571

Elimination on gains on loans sold from AG Arc to MITT (1) (5) (411) (1,107)

Total AG Arc Earnings/(Loss) 4,125 1,141

Equity in earnings/(loss) from affiliates

$ 2,821 $ 3,141

(1) The earnings/(loss) at AG Arc during the year ended December 31, 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 $(0.9) million of losses related to Arc Home's lending and servicing operations.

The earnings/(loss) at AG Arc during the year ended December 31, 2023 were primarily the result of $(3.8) million related to changes in the fair value of the MSR portfolio held by Arc Home coupled with $(0.2) million of losses related to Arc Home's lending and servicing operations.

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

As of December 31, 2022, the fair value of our investment in Arc Home was calculated using a valuation multiple of 0.94x book value.

(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/(loss) 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 December 31, 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 December 31, 2024, the 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 2 and Note 10 to the "Notes to Consolidated Financial Statements" for more information on this accounting policy.

(4) During the year ended December 31, 2023, Other operating expenses included certain expenses incurred related to the Land Related Financing assets held within LOTS which paid off in full during the fourth quarter 2023.

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

Income tax expense

Income tax expense for the year ended December 31, 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 year ended December 31, 2024, tax expense represented minimum state and local tax filing fees.

Dividends on Preferred Stock

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Earnings Available for Distribution

One of our objectives is to generate net income from net interest margin on the portfolio, and management uses EAD, as one of several metrics, to help measure our performance against this objective.

One of our objectives is to generate net income from net interest margin on our portfolio, and management uses EAD, as one of several metrics, to help measure our performance against this objective.

Management believes that this non-GAAP measure, when considered with our GAAP financial statements, provides supplemental information useful for investors to help evaluate our financial performance.

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Our presentation of EAD may not be comparable to similarly-titled measures of other companies, who may use different calculations.

This non-GAAP measure should not be considered a substitute for, or superior to, Net Income/(loss) available to common stockholders or Earnings/(loss) per diluted common share calculated in accordance with GAAP.

This non-GAAP measure should not be considered a substitute for, or superior to, Net Income/(loss) available to common stockholders or Net income/(loss) per diluted common share calculated in accordance with GAAP.

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

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.

Transaction related expenses referenced in (ii) above are primarily comprised of costs incurred prior to or at the time of executing our securitizations and acquiring or disposing of residential mortgage loans.

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 Arc Home's net mortgage servicing rights, 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, (iii) the income tax effect on non-EAD income/(loss) items, and (iv) certain other nonrecurring gains or losses.

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

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.

Transaction related expenses are primarily comprised of costs incurred prior to or at the time of executing our securitizations and acquiring or disposing of residential mortgage loans.

These costs are nonrecurring and may include underwriting fees, legal fees, diligence fees, and other similar transaction related expenses.

Recurring expenses, such as servicing fees, custodial fees, trustee fees and other similar ongoing fees are not excluded from earnings available for distribution.

Management considers the transaction related expenses to be similar to realized losses incurred at the acquisition, disposition, or securitization of an asset and does not view them as being part of its core operations.

Management views the exclusion described in (iv) above to be consistent with how it calculates EAD on the remainder of its portfolio.

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.

Management considers the transaction related expenses and income taxes related to non-EAD income/(loss) items to be similar to realized losses incurred at the acquisition, disposition, or securitization of an asset and does not view them as being part of its core operations.

A reconciliation of "Net Income/(loss) available to common stockholders" to EAD for the years ended December 31, 2025 and 2024 is set forth below (in thousands, except per share data).

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Net unrealized (gain)/loss (20,853) (16,956)

Transaction related expenses and deal related performance fees (1) 3,310 11,233

Transaction related expenses (1) 8,147 3,310

Equity in (earnings)/loss from affiliates (2,821) (3,141)

EAD from equity method investments (2) 4,007 62

Bargain purchase gain — (30,190)

Dollar roll income/(loss) (677) —

Earnings available for distribution $ 26,312 $ 22,577

Earnings available for distribution, per Diluted Share $ 0.86 $ 0.76

(1) For the years ended December 31, 2024 and 2023, total transaction related expenses and deal related performance fees included $3.2 million and $11.1 million, respectively, recorded within the "Transaction related expenses" line item and $0.1 million and $0.1 million, respectively, recorded within the "Interest expense" line item, which relates to the amortization of deferred financing costs.

(2) For the years ended December 31, 2024 and 2023, $1.8 million or $0.06 per share and $(0.3) million or $(0.01) per share, respectively, of realized and unrealized changes in the fair value of Arc Home's net mortgage servicing rights, changes in the fair value of corresponding derivatives, and other asset impairments were excluded from EAD, net of deferred tax expense.

Additionally, for the years ended December 31, 2024 and 2023, $2.6 million or $0.09 per share and $(1.5) million or $(0.07) per share, respectively, of unrealized changes in the fair value of our investment in Arc Home were excluded from EAD.

(3) 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 years ended December 31, 2024 and 2023, we eliminated $1.1 million or $0.04 per share and $1.4 million or $0.07 per share of intra-entity profits recognized by Arc Home, respectively, and also decreased the cost basis of the underlying loans we purchased by the same amount.

Refer to Note 2 to the "Notes to Consolidated Financial Statements" for more information on this accounting policy.

(1) The following table presents additional detail related to transaction related expenses 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.

Consolidated statements of operations line item:

December 31, 2025 December 31, 2024

Transaction related expenses $ 7,305 $ 3,164

Interest expense 358 146

Income tax expense 484 —

Transaction related expenses $ 8,147 $ 3,310

(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.

December 31, 2025 December 31, 2024

Net interest income $ 2,344 $ 3,575

Other operating expenses (195) (224)

Net operating income/(loss) from AG Arc 2,269 (2,182)

Elimination of gains on loans sold from AG Arc to MITT (411) (1,107)

EAD from equity method investments

Investment activities

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Our investment and capital allocation decisions depend on prevailing market conditions and compliance with Investment Company Act and REIT tests, among other factors, and may change over time in response to opportunities available in different economic and capital market environments.

As a result, in reacting to market conditions and taking into account a variety of

other factors, including liquidity, duration, and interest rate expectations, the mix of our assets changes over time as we deploy capital.

As a result, in reacting to market conditions and taking into account a variety of other factors, including liquidity, duration, and interest rate expectations, the mix of our assets changes over time as we deploy capital.

We actively evaluate our investments based on factors including, among others, the characteristics of the underlying collateral, geography, expected return, expected future prepayment trends, supply of and demand for our investments, costs of financing, costs of hedging, expected future interest rate volatility, and the overall shape of the U.S.

Treasury and interest rate swap yield curves.

In December 2023, through our acquisition of WMC, we increased our investment portfolio by $1.2 billion, which primarily consisted of Securitized Non-Agency Loans.

For more information on the WMC acquisition, refer to "Item 1—WMC Acquisition" and the section entitled "WMC Acquisition" in Note 1 to the "Notes to Consolidated Financial Statements."

Net interest margin and leverage ratio

Net interest margin and leverage ratio are metrics that management believes should be considered when evaluating the performance of our investment portfolio.

Net interest margin provides investors visibility into our profitability of interest income versus interest expense including the net effect of our interest rate swaps for insight into earnings available for distribution.

Net interest margin provides investors visibility into our profitability of interest

income versus interest expense including the net effect of our interest rate swaps for insight into earnings available for distribution.

GAAP net interest margin and non-GAAP net interest margin, a non-GAAP financial measure, are calculated by subtracting the weighted average cost of funds from the weighted average yield for our GAAP investment portfolio and our investment portfolio, respectively.

The weighted average yield represents an effective interest rate on our cost basis, which utilizes all estimates of future cash flows and adjusts for actual prepayment and cash flow activity as of quarter-end.

The calculation of weighted average yield is weighted on amortized cost at year end.

The calculation of weighted average yield is weighted on amortized cost at quarter-end.

The weighted average cost of funds is the sum of the weighted average funding costs on total financing arrangements outstanding at quarter-end, including all non-recourse financing arrangements, and our weighted average hedging cost or benefit, which is the weighted average of the net pay or receive rates on our interest rate swaps.

GAAP and non-GAAP cost of funds are weighted by the outstanding financing arrangements on our GAAP investment portfolio and our investment portfolio, respectively, and the amortized cost of securitized debt and senior unsecured notes at year end.

Our leverage ratio is determined by our portfolio mix as well as many additional factors, including the liquidity of our portfolio, the availability and price of our financing, the available capacity to finance our assets, and anticipated regulatory developments.

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Securitized Non-Agency Loans $ 7,086,120 $ 6,904,872 5.74 % $ 6,387,183 $ 6,265,540 $ 428,657 5.34 % $ 210,675 0.40 % 2.0x

Securitized Home Equity Loans 935,959 960,533 7.70 % 809,861 817,889 67,752 5.69 % 74,892 2.01 % 0.9x

Securitized Re/Non-Performing Loans 146,291 134,214 5.93 % 98,280 94,494 27,264 3.98 % 12,456 1.95 % 2.2x

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Non-Agency Loans (f) 37,216 35,108 3.62 % — — 30,061 5.73 % 5,047 (2.11) % 6.0x

Residential Whole Loans 848 1,829 103.24 % — — — — % 1,829 103.24 % N/A

Residential Whole Loans 444 1,081 NM — — — — % 1,081 NM N/A

Non-Agency RMBS 202,690 211,419 9.18 % — — 137,386 4.56 % 74,033 4.62 % 1.8x

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Legacy WMC Commercial Investments (g)

Commercial Loans $ 66,641 $ 67,005 10.04 % $ — $ — $ 47,222 7.49 % $ 19,783 2.55 % 2.4x

CMBS (h) 59,017 52,785 16.74 % — — 20,416 6.30 % 32,369 10.44 % 0.6x

Commercial Loans (h) $ 66,413 $ 55,376 — % $ — $ — $ 27,436 6.73 % $ 27,940 (6.73) % 1.0x

CMBS (i) 45,947 42,565 15.30 % — — 18,540 5.29 % 24,025 10.01 % 0.8x

Total Legacy WMC Commercial Investments $ 112,360 $ 97,941 6.26 % $ — $ — $ 45,976 6.15 % $ 51,965 0.11 % 0.9x

Total Investment Portfolio $ 8,700,277 $ 8,525,014 6.08 % $ 7,295,324 $ 7,177,923 $ 826,394 5.35 % $ 520,697 0.73 % 1.5x

Cash and Cash Equivalents (i) 118,662 4.35 %

Interest Rate Swaps (j) 8,974 1.01 %

Cash and Cash Equivalents (j) 57,832 3.67 %

Interest Rate Swaps (k) 9,383 0.57 %

Arc Home 50,016

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Total Investment Portfolio $ 8,700,277 $ 8,525,014 6.08 % $ 7,295,324 $ 7,177,923 $ 826,394 5.35 % $ 520,697 0.73 % 1.5x

Investments in Debt and Equity of Affiliates 11,743 15,766 25.24 % — — 588 7.08 % 15,178 18.16 % (k)

Investments in Debt and Equity of Affiliates 9,468 10,038 16.49 % — — — — % 10,038 16.49 % N/A

GAAP Investment Portfolio $ 8,690,809 $ 8,514,976 6.07 % $ 7,295,324 $ 7,177,923 $ 826,394 5.35 % $ 510,659 0.72 % 14.4x

NM - Not Meaningful

(a) Excludes any net TBA positions.

(b) As of December 31, 2024, the weighted average yields are presented based on the amortized cost of the underlying loans and securities.

The weighted average yield of the Company's investment portfolio based on the fair value of the underlying loans and securities as of December 31, 2024 was 6.20%.

(b) The weighted average yields are calculated based on the amortized cost of the underlying loans and securities.

(c) The cost of funds related to the financing on our investment portfolio inclusive of the benefit of 0.03% from our interest rate hedges was 5.35%.

When including our Senior Unsecured Notes, the total cost of funds was 5.41%.

(d) Allocated equity represents the investment fair value less the associated securitized debt at fair value and financing arrangements, where applicable.

(d) Allocated equity represents the investment fair value less the associated securitized debt fair value and financing arrangements, where applicable.

(e) The leverage ratio on each asset class and on our investment portfolio represents Economic Leverage as defined below in the "Financing Activities" section and is calculated by dividing each investment type's total recourse financing arrangements less any cash posted as collateral by its equity invested inclusive of any cash collateral posted on financing arrangements.

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The leverage ratio on our GAAP Investment Portfolio represents GAAP leverage as defined below in the "Financing Activities" section.

(f) Substantially all of our Non-Agency Loans were sold during January 2025.

(f) The financing arrangements on Non-Agency Loans includes financing arrangements on other assets.

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

(h) As of December 31, 2024, there are Legacy WMC CMBS with an unpaid principal balance of $23.5 million and a fair value of $6.0 million which are on non-accrual or cost recovery status.

(i) Cash and cash equivalents may include a portion of cash invested in money market funds.

The yield represents the interest earned on money market funds as of period end.

(j) Interest rate swaps represents the sum of the net fair value of interest rate swaps and the margin posted on interest rate swaps as of period end.

Yield on interest rate swaps represents the weighted average net receive/(pay) rate as of period end.

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

(i) There are Legacy WMC CMBS with an unpaid principal balance of $23.5 million and a fair value of $6.3 million which are on non-accrual or cost recovery status.

(j) Cash and cash equivalents may include a portion of cash invested in money market funds.

The net interest margin represents the interest earned on money market funds as of period end.

(k) Interest rate swaps represents the sum of the net fair value of interest rate swaps and the margin posted on interest rate swaps as of period end.

Net interest margin on interest rate swaps represents the weighted average net receive/(pay) rate as of period end.

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.

(k) Refer to the "Financing activities" section below for an aggregate breakout of leverage.

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 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” 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 (in thousands).

December 31, 2024

Unpaid Principal Balance Fair Value

Securitized residential mortgage loans in Non-Agency VIEs $ 6,382,814 $ 6,044,597

Securitized debt in Non-Agency VIEs (1) 5,779,890 5,391,413

Other assets (2) N/A 1,133

Retained Certificates from Non-Agency VIEs (3)(4)(5)(6) $ 654,317

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 $ 7,026,365 $ 6,904,872 $ 874,718 $ 960,533

Securitized debt in VIEs (1) 6,432,326 6,265,540 784,881 817,889

Other assets (2) N/A 2,068 N/A 1,055

Retained Certificates from VIEs (3)(4)(5)(6) $ 641,400 $ 143,699

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

Senior Bonds $ 136,356 $ 139,084 $ 36,724 $ 37,050

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Subordinate Bonds 436,070 323,636 51,996 48,443

Interest Only / Excess Servicing Bonds (1)(7) N/A 186,417

Retained Certificates from Non-Agency VIEs (3)(4)(5)(6) $ 654,317

Financing arrangements on retained Certificates from Non-Agency VIEs 370,913

Retained Certificates from Non-Agency VIEs, net of financing arrangements $ 283,404

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

Interest Only / Excess Servicing Bonds (1)(7) N/A 156,801 N/A 57,076

Retained Certificates from VIEs (3)(4)(5)(6) $ 641,400 $ 143,699

Financing arrangements on retained Certificates from VIEs 428,657 67,752

Retained Certificates from VIEs, net of financing arrangements $ 212,743 $ 75,947

(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.

As of December 31, 2024 the Securitized debt in Non-Agency VIEs line item includes interest only classes with notional balances of $1.2 billion.

As of December 31, 2024 the notional balance on Interest Only / Excess Servicing Bonds was $12.2 billion.

(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 $3.7 billion and $11.2 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 $295.4 million and $579.3 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.

As of December 31, 2024, we recorded real estate owned within our Non-Agency VIEs at $1.1 million.

We recorded real estate owned within our Non-Agency VIEs at $2.1 million as of December 31, 2025.

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) As of December 31, 2024 our equity at risk included bonds with a fair value of $443.6 million held in order to comply with Risk Retention Rules.

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

Refer to Note 12 to the "Notes to Consolidated Financial Statements" for commitments related to the undrawn portion of a borrowers' home equity line of credit for which the Company may be required to fund.

(4) Our equity at risk included bonds in our Non-Agency VIEs and Home Equity VIEs with a fair value of $414.2 million and $48.1 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) As of December 31, 2024, a portion of our equity at risk included bonds exposed to the first loss of the securitization with a fair value of $117.5 million.

(6) Excludes net other asset/(liabilities) held within the VIEs of $7.7 million as of December 31, 2024.

(5) A portion of our equity at risk includes bonds exposed to the first loss of the securitization in the Non-Agency VIEs and Home Equity VIEs with a fair value of $102.5 million and $57.1 million, respectively.

(6) Excludes net other asset/(liabilities) held within the Non-Agency VIEs and Home Equity VIEs of $9.5 million and $3.6 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 December 31, 2024, there were four securitizations with an unpaid principal balance of $561.9 million that met the criteria for an Optional Redemption.

As of December 31, 2025, there were 9 Non-Agency securitizations with an unpaid principal balance of $2.0 billion that met the criteria for an Optional Redemption.

Securitized residential mortgage loans and Residential mortgage loans

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Non-Agency Loans $ 7,026,365 18,430 70.90 % 763 5.87 % 7.30

Home Equity Loans 874,718 10,599 65.62 % 746 9.81 % 5.43

Re- and Non-Performing Loans 155,984 1,073 80.09 % 672 4.22 % 5.54

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Legacy WMC Commercial loans

See Note 3 to the "Notes to Consolidated Financial Statements" 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 December 31, 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" 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

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Instrument Current Face Fair Value Coupon (1) Life (Years) (2)

GCAT Non-Agency RMBS

GCAT Non-Agency Securities $ 43,794 $ 36,479 4.94 % 6.74

GCAT Non-Agency RMBS Interest Only (3) N/A 3,836 0.38 % 3.16

MATT Non-QM Securities (3) 4,497 13,304 0.30 % 2.99

Re/Non-Performing Securities (3) 996 2,462 4.47 % 0.87

Total GCAT Non-Agency RMBS 49,287 56,081 1.25 % 3.43

Non-Agency Securities 79,524 74,977 5.94 % 10.77

Non-Agency RMBS Interest Only (3) N/A 12,287 2.28 % 4.65

Non-Agency RMBS by collateral type:

Non-QM Loans (3) $ 53,311 $ 56,402 1.47 % 2.54

Agency-Eligible Loans (3) 44,491 44,163 3.57 % 6.74

Home Equity Loans (3) 84,647 106,942 5.55 % 5.51

Prime Jumbo Loans (3) 4,256 3,313 4.49 % 18.36

Re- and Non-Performing Loans (3) N/A 599 — % 3.14

Total Non-Agency RMBS 186,705 211,419 2.91 % 4.39

CMBS (4) 100,896 52,785 5.13 % 1.77

Total Non-Agency RMBS and CMBS $ 229,707 $ 196,130 2.81 % 4.11

Legacy WMC CMBS

Single-Asset/Single-Borrower - Fixed Rate 48,498 24,178 6.11 % 1.88

Single-Asset/Single-Borrower - Floating Rate 19,421 6,072 6.91 % 0.40

Conduit - Fixed Rate 15,043 12,315 4.20 % 2.96

Legacy WMC CMBS (4) 82,962 42,565 5.95 % 1.73

Total Non-Agency RMBS and Legacy WMC CMBS $ 269,667 $ 253,984 3.46 % 4.13

Investments in Debt and Equity of Affiliates $ 4,497 $ 10,038 0.31 % 2.02

Total GAAP Non-Agency RMBS and CMBS $ 223,765 $ 180,364 3.48 % 4.66

Total GAAP Non-Agency RMBS and Legacy WMC CMBS $ 265,170 $ 243,946 4.55 % 4.90

(1) Equity residual investments with a zero coupon rate are excluded from this calculation.

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

As of December 31, 2024, the notional value of interest only classes included in the GCAT Non-Agency RMBS Interest Only, MATT Non-QM Securities, Re/Non-Performing Securities, and Non-Agency RMBS Interest Only line items was $85.6 million, $264.6 million, and $1.0 million, and $242.0 million, respectively.

(4) As of December 31, 2024, there are Legacy WMC CMBS with an unpaid principal balance of $23.5 million and a fair value of $6.0 million which are on non-accrual or cost recovery status and have no coupon.

The notional value of interest only classes included in the Non-QM Loans, Agency-Eligible Loans, Home Equity Loans, and Re- and Non-Performing Loans line items was $289.0 million, $40.4 million, $249.1 million, and $0.7 million, respectively.

(4) There are Legacy WMC CMBS with an unpaid principal balance of $23.5 million and a fair value of $6.3 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 December 31, 2025 (in thousands).

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AAA $ 78,125 $ —

BBB 23,523 5,097

BB 16,844 6,004

B 13,104 1,151

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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 certain characteristics of our Non-Agency RMBS and Legacy WMC CMBS portfolio as of December 31, 2024 ($ in thousands).

Instrument Current Face Fair Value

Non-Agency RMBS

Non-QM Loans (1) $ 54,013 $ 58,453

Re- and Non-Performing Loans (1) 996 2,462

Prime (1) 58,276 55,400

Home Equity Loans (1) 15,526 27,030

Total Non-Agency RMBS $ 128,811 $ 143,345

Legacy WMC CMBS

Single-Asset/Single-Borrower - Fixed Rate $ 51,400 $ 22,023

Single-Asset/Single-Borrower - Floating Rate 34,450 19,671

Conduit - Fixed Rate 15,046 11,091

Total Legacy WMC CMBS $ 100,896 $ 52,785

(1) The current face on our Non-Agency RMBS excludes interest only classes which 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.

As of December 31, 2024, the notional value of interest only classes included in the Non-QM Loans, Re-and Non-Performing Loans, Prime, and Home Equity Loans line items was $350.2 million, $1.0 million, $78.7 million, and $163.3 million respectively.

The following table presents the geographic concentration of the underlying collateral for our Non-Agency RMBS and Legacy WMC CMBS portfolios as of December 31, 2025 ($ in thousands).

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California 29.3 % $ 61,861 California 41.1 % $ 17,502

New York 9.6 % 13,808 Bahamas 27.9 % 14,700

Florida 10.2 % 21,600 Minnesota 22.0 % 9,372

Texas 4.5 % 6,398 Texas 5.9 % 3,093

New Jersey 3.2 % 4,530 New York 3.2 % 1,680

New York 6.6 % 13,978 Texas 9.6 % 4,107

Texas 4.2 % 8,792 New York 7.9 % 3,363

New Jersey 3.5 % 7,444 Pennsylvania 5.1 % 2,162

Other 46.2 % 97,744 Other 14.3 % 6,059

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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 and the Constant Prepayment Rate ("CPR") experienced on our Agency RMBS portfolio as of December 31, 2024 ($ in thousands).

The following table presents the fair value, constant prepayment rate (“CPR”), coupon, and weighted average life of our Agency RMBS portfolio as of December 31, 2025 ($ in thousands).

Weighted Average

Fair Value CPR (1) Coupon Life (2)

Fair Value CPR (1) Coupon Life (Years) (2)

Agency RMBS Interest Only $ 16,358 8.4 % 4.57 % 5.17

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Financing activities

In December 2023, through our acquisition of WMC, we assumed liabilities of $1.1 billion, which primarily consisted of securitized debt, financing arrangements, and convertible senior unsecured notes.

For more information on the acquisition of WMC, refer to "Item 1—WMC Acquisition" and the section entitled "WMC Acquisition" in Note 1 to the "Notes to Consolidated Financial Statements."

Financing Arrangements

We use leverage to finance the purchase of our investment portfolio.

Our leverage has primarily been in the form of repurchase agreements and similar financing arrangements (which we refer to collectively as financing arrangements), and securitized debt.

Our leverage has primarily been in the form of repurchase agreements and facilities used to finance residential mortgage loans (which we refer to collectively as financing arrangements).

We also utilize securitized debt to finance our loan portfolio.

In addition, we may obtain financing through the issuance of senior unsecured notes.

Financing Arrangements

Repurchase agreements involve the sale and a simultaneous agreement to repurchase the transferred assets or similar assets at a future date.

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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 and seven counterparties as of December 31, 2024 and 2023, respectively.

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 December 31, 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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As of December 31, 2025, we are in compliance with all of our financial covenants.

We also use securitized debt to finance our loan portfolio.

Securitized debt is generally non-mark-to-market with respect to margin calls and non-recourse to us.

Legacy WMC Convertible Notes

Through our acquisition of WMC, we assumed the Legacy WMC Convertible Notes.

During the first quarter of 2024, we repurchased $7.1 million of principal amount of the Legacy WMC Convertible Notes and paid off the remaining $79.1 million principal amount outstanding at maturity in September 2024.

See Note 6 to the "Notes to Consolidated Financial Statements" for additional information on the Legacy WMC Convertible Notes.

Securitized Debt

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, 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.

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, 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" 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 December 31, 2024 (in thousands).

December 31, 2024

Recourse financing - Financing arrangements, including those in Investments in Debt and Equity of Affiliates $ 692,574

Non-recourse financing - Securitized debt, at fair value 5,491,967

Non-recourse financing - Financing arrangements 50,122

Non-recourse financing - Senior unsecured notes 95,721

Total Financing 6,330,384

Recourse financing - Financing arrangements included in Investments in Debt and Equity of Affiliates 588

Total GAAP Financing $ 6,329,796

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

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.

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.

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

We define GAAP leverage as the sum of (1) GAAP Securitized debt, at fair value, (2) our GAAP Financing arrangements, net of any restricted cash posted on such financing arrangements, (3) Senior unsecured notes, and (4) the amount payable on purchases that have not yet settled less the financing remaining on sales that have not yet settled.

We define Economic Leverage, a non-GAAP metric, as the sum of:

(i) our GAAP leverage, exclusive of any fully non-recourse financing arrangements, (ii) financing arrangements held through affiliated entities, net of any restricted cash posted on such financing arrangements, exclusive of any financing utilized through AG Arc, any adjustment related to unsettled trades as described in (4) in the previous sentence, and any non-recourse financing arrangements and (iii) our net TBA position (at cost), if any.

We define GAAP leverage as the sum of (1) Securitized debt, at fair value, (2) Financing arrangements, net of any restricted cash posted on such financing arrangements, (3) Senior Unsecured Notes, and (4) the amount payable on purchases that have not yet settled less the financing remaining on sales that have not yet settled.

We define Economic Leverage, a non-GAAP metric, as the sum of our GAAP leverage, exclusive of any fully non-recourse financing arrangements, and our net TBA position (at cost), if any.

Our leverage does not include any financing utilized through AG Arc.

The calculations in the table below divide GAAP Leverage and Economic Leverage by our GAAP stockholders’ equity to derive our leverage ratios.

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Securitized debt, at fair value (1) $ 7,177,923

GAAP Financing arrangements 742,108

Financing arrangements (2) 826,394

Senior Unsecured Notes (2) 96,458

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GAAP Leverage $ 8,092,937 $ 560,734 14.4x

Financing arrangements through affiliated entities 588

Non-recourse financing arrangements (1) (7,177,923)

Economic Leverage $ 915,014 $ 560,734 1.6x

(1) Non-recourse financing arrangements include securitized debt, at fair value and $50.1 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

Subject to maintaining our qualification as a REIT and our Investment Company Act exemption, to the extent leverage is deployed, we may utilize derivative instruments in an effort to hedge the interest rate risk associated with the financing of our portfolio.

Specifically, we may seek to hedge our exposure to potential interest rate mismatches between the interest we earn on our investments and our borrowing costs caused by fluctuations in short-term interest rates.

Specifically, we may seek to hedge our exposure to potential interest rate mismatches between the interest we earn on

our investments and our borrowing costs caused by fluctuations in short-term interest rates.

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

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As described above, our distribution requirements are based on taxable income rather than GAAP net income.

Differences between taxable income and GAAP net income include (i) unrealized gains and losses associated with investment and derivative portfolios which are marked-to-market in current income for GAAP purposes, but excluded from taxable income until realized or settled, (ii) temporary differences related to amortization of premiums and discounts paid on investments, (iii) the timing and amount of deductions related to stock-based compensation, (iv) temporary differences related to the recognition of realized gains and losses on sold investments and certain terminated derivatives, (v) taxes, (vi) methods of depreciation, and (vii) differences between GAAP income or losses in our TRSs and taxable income resulting from dividend distributions to the REIT from our TRSs.

Differences between taxable income and GAAP net income include (i) unrealized gains and losses associated with investment and derivative portfolios which are marked-to-market in current income for GAAP purposes, but excluded from taxable income until realized or settled, (ii) temporary differences related to amortization of premiums and discounts paid on investments, (iii) the timing and amount of deductions related to stock-based compensation, (iv) temporary differences related to the recognition of realized gains and losses on sold investments and certain terminated derivatives, (v) taxes, and (vi) differences between GAAP income or losses in our TRSs and taxable income resulting from dividend distributions to the REIT from our TRSs.

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 share.

As of December 31, 2025, we had estimated undistributed taxable income of approximately $0.12 per common share.

During the year ended December 31, 2025, the Company declared common stock dividends of $0.85 per share.

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Our liquidity determines our ability to meet our cash obligations, including distributions to our stockholders, payment of our expenses, financing our investments and satisfying other general business needs.

Our principal sources of cash consist of borrowings under financing arrangements, principal and interest payments we receive on our investment portfolio, cash generated from our operating results, proceeds from the sale of investments, and proceeds from capital market transactions.

We typically use cash to repay principal and interest on our financing arrangements and senior unsecured notes, to purchase loans, real estate securities, and other real estate related assets, to make dividend payments on our capital stock, to repurchase our capital stock, and to fund our operations.

Our principal sources of cash consist of borrowings under securitized debt and financing arrangements, principal and interest payments we receive on our investment portfolio, cash generated from our operating results, proceeds from the sale of investments, and proceeds from capital market transactions.

We typically use cash to repay principal and interest on our securitized debt, financing arrangements and senior unsecured notes, to purchase loans, real estate securities, and other real estate related assets, to make dividend payments on our capital stock, to repurchase our capital stock, and to fund our operations.

We may also generate liquidity when restricted cash that was pledged as collateral for clearing and executing trades, derivatives, and financing arrangements becomes unrestricted when the related collateral requirements are exceeded or at the maturity of the derivative or financing arrangement.

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

At December 31, 2024, we had $136.9 million of liquidity, which consisted of $118.7 million of cash and $18.2 million of unencumbered Agency RMBS available to support our liquidity needs.

Refer to the "Contractual obligations" section of this Part II, Item 7 for additional obligations that could impact our liquidity.

As of December 31, 2025, we pledged Home Equity Loans with a fair value of $69.7 million and an unpaid principal balance of $66.8 million, in which we have no outstanding financing but have the ability to borrow at an advance rate of 87.5% of unpaid principal balance pledged as collateral.

Of this available financing, $50 million is contractually committed.

At December 31, 2025, we had $108.7 million of liquidity, which consisted of $57.8 million of cash and cash equivalents, $50.0 million of available committed financing on certain Home Equity Loans, and $0.9 million of unencumbered Agency RMBS available to support our liquidity needs.

Margin requirements

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Our lenders typically value assets based on recent transactions in the market.

Lenders also issue margin calls as the published current principal balance factors change on the pool of mortgages underlying the securities pledged as collateral when scheduled and unscheduled paydowns are announced monthly.

Lenders also issue margin calls as the published current principal balance factors change on the pool

of mortgages underlying the securities pledged as collateral when scheduled and unscheduled paydowns are announced monthly.

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 have available 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 assets that constitute our liquidity) will decline, we will experience margin calls, and we will need to use our liquidity to meet the margin calls.

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." 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.

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

If our haircuts increase, our liquidity will proportionately decrease.

In addition, if we increase our borrowings, our liquidity will decrease by the amount of additional haircut on the increased level of indebtedness.

We intend to maintain a level of liquidity in relation to our assets that enables us to meet reasonably anticipated margin calls but that also allows us to be substantially invested in the residential mortgage market.

If our haircuts on existing financing arrangements increase, our liquidity will proportionately decrease.

We intend to maintain a level of liquidity in relation to our borrowings that enables us to meet reasonably anticipated margin calls but that also allows us to be substantially invested in the residential mortgage market.

We may misjudge the appropriate amount of our liquidity by maintaining excessive liquidity, which would lower our investment returns, or by maintaining insufficient liquidity, which may force us to liquidate assets into potentially unfavorable market conditions and harm our results of operations and financial condition.

Further, an unexpected rise in interest rates and a corresponding decline

in the fair value of our assets may also force us to liquidate assets under difficult market conditions in an effort to maintain sufficient liquidity to meet increased margin calls, thereby harming our results of operations and financial condition.

Similar to the margin calls that we receive on our borrowing agreements, we may also receive margin calls on our derivative instruments when their fair value declines.

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Cash, cash equivalents, and restricted cash, End of Period $ 76,321 $ 138,568 $ (62,247)

(1) Cash provided by operating activities is primarily attributable to net interest income less operating expenses for the years ended December 31, 2024 and 2023.

The increase in net cash provided by operating activities during the year ended December 31, 2024 was a result of a full year of cash flows generated from the net assets acquired from WMC on December 6, 2023.

(2) Cash used in investing activities for the years ended December 31, 2024 and 2023 was primarily attributable to purchases of investments, offset by sales of investments and principal repayments on investments.

The increase in net cash used in investing activities was a result of the Company's increased purchase activity during the year ended December 31, 2024.

(3) Cash provided by financing activities for the years ended December 31, 2024 and 2023 was primarily attributable to the issuance of securitized debt, offset by principal repayments on securitized debt, net repayments of repurchase agreements, and dividend payments.

The increase in net cash provided by financing activities was a result of the Company issuing four securitizations in 2024 as compared to three securitizations in 2023.

During the year ended December 31, 2024, proceeds from the issuance of Senior Unsecured Notes were partially offset by repayments and repurchases of the Legacy WMC Convertible Notes.

(1) Cash provided by operating activities is primarily attributable to net interest income less operating expenses for the year ended December 31, 2025.

(2) Cash used in investing activities for the year ended December 31, 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 year ended December 31, 2025 was primarily attributable to the proceeds from the issuance of securitized debt, offset by principal repayments on securitized debt, net repayments of repurchase agreements, 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.

See Note 11 in the "Notes to Consolidated Financial Statements" for additional details on the shares repurchased under the 2022 Repurchase Program during the year ended December 31, 2023.

We did not repurchase common stock during the year ended December 31, 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 years ended December 31, 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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This authorization is in addition to the amount remaining under the 2022 Repurchase Program.

On February 22, 2021, our Board of Directors authorized a stock repurchase program (the "Preferred Repurchase Program") pursuant to which our Board of Directors granted a repurchase authorization to acquire shares of our Series A Preferred Stock,

Series B Preferred Stock, and Series C Preferred Stock having an aggregate value of up to $20.0 million.

No share repurchases under the Preferred Repurchase Program have been made since its authorization.

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(collectively, the "2024 Sales Agents"), pursuant to which we may sell up to $75.0 million aggregate offering price of shares of our common stock from time to time through an "at-the-market" equity offering program under which the 2024 Sales Agents will act as sales agent.

Prior to entering into the 2024 Equity Distribution Agreements, we terminated the equity distribution agreements related to our prior at-the-market program (the "Equity Distribution Agreements").

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 the 2024 Equity Distribution Agreements or the Equity Distribution Agreements during the years ended December 31, 2024 and 2023.

Prior to entering into the 2024 Equity Distribution Agreements, we terminated the equity distribution agreements related to our prior at-the-market program.

We did not issue any shares of common stock under any of our equity distribution agreements then in effect during the years ended December 31, 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 an affiliate of TPG (the “Holders”) as consideration.

Refer to Note 10 of the "Notes to Consolidated Financial Statements" 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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The management agreement, as amended, provides for payment to the Manager of a management fee, an incentive fee, and reimbursements of certain expenses incurred by the Manager or its affiliates on behalf of us.

Pursuant to our management agreement, the closing of the TPG Transaction resulted in an assignment of the management agreement.

Our independent directors unanimously consented to such assignment on July 31, 2023 in advance of the TPG Transaction closing.

There were no changes to the management agreement in connection with the TPG Transaction and the assignment of the management agreement became effective upon the closing of the TPG Transaction.

In connection with the closing of the Merger with WMC, the MITT Management Agreement Amendment became effective, pursuant to which (i) our Manager’s base management fee was reduced by $0.6 million for the first four quarters following the Effective Time, beginning with the fiscal quarter in which the Effective Time occurred (i.e., resulting in an aggregate $2.4 million waiver of base management fees), and (ii) our Manager waived its right to seek reimbursement from us for any expenses otherwise reimbursable by us under the management agreement in an amount equal to approximately $1.3 million, which was the excess of $7.0 million over the aggregate Per Share Additional Merger Consideration paid by our Manager to the holders of WMC Common Stock under the Merger Agreement.

In connection with the closing of the WMC acquisition, the MITT Management Agreement Amendment became effective, pursuant to which (i) our Manager’s base management fee was reduced by $0.6 million for the first four quarters following the Effective Time, beginning with the fiscal quarter in which the Effective Time occurred (i.e., resulting in an aggregate $2.4 million waiver of base management fees), and (ii) our Manager waived its right to seek reimbursement from us for any expenses otherwise reimbursable by us under the management agreement in an amount equal to approximately $1.3 million, which was the excess of $7.0 million over the aggregate per share additional merger consideration paid by our Manager to the holders of WMC Common Stock under the merger agreement.

Management fee

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Management fee to affiliate (1) $ 9,266 $ 7,533

(1) For the years ended December 31, 2024 and 2023, the Manager agreed to waive its right to receive management fees of $1.8 million and $0.6 million pursuant to the MITT Management Agreement Amendment executed in connection with the Merger.

(1) For the year ended December 31, 2024, the Manager agreed to waive its right to receive management fees of $1.8 million pursuant to the MITT Management Agreement Amendment executed in connection with the WMC acquisition.

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

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Expense reimbursements to Manager or its affiliates $ 7,584 $ 6,800

(1) For the years ended December 31, 2024 and 2023 , our Manager agreed to waive its right to receive expense reimbursements of $1.1 million and $1.7 million, respectively.

(1) For the year ended December 31, 2024, our Manager agreed to waive its right to receive expense reimbursements of $1.1 million pursuant to the MITT Management Agreement Amendment executed in connection with the WMC acquisition.

As of December 31, 2025 and 2024, we recorded a reimbursement payable to our Manager or its affiliates of $2.1 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.

Share-based compensation

The AG Mortgage Investment Trust, Inc.

2020 Equity Incentive Plan, which became effective on April 15, 2020 following the approval of our stockholders at our 2020 annual meeting of stockholders, provides for a maximum of 666,666 shares of common stock that may be issued under the plan.

The maximum number of shares of common stock granted during a single fiscal year to any non-employee director, taken together with any cash fees paid to such non-employee director during any fiscal year, shall not exceed $300,000 in total value (calculating the value of any such awards based on the grant date fair value).

As of December 31, 2024, 259,010 shares of common stock were available to be awarded under the 2020 Equity Incentive Plan.

Since inception of the 2020 Equity Incentive Plan and through December 31, 2024, we have granted an aggregate of 249,284 shares of restricted common stock to our independent directors under our 2020 Equity Incentive Plan, all of which have vested.

In addition, on December 6, 2023, in connection with the WMC acquisition and pursuant to the 2020 Equity Incentive Plan, we granted an aggregate 25,962 restricted stock units to the two independent directors added to our Board of Directors who previously served on WMC's board of directors.

Through December 31, 2024, the two independent directors have also been granted an aggregate of 2,410 dividend equivalent units.

These restricted stock units and associated dividend equivalent units vested in full on June 23, 2024, and will be settled in shares of our common stock upon each of the independent director's separation from service with our Board of Directors.

Further, on December 18, 2024, we granted an aggregate of 130,000 restricted shares of common stock to certain employees of the Manager, including certain of our executive officers, under the 2020 Equity Incentive Plan.

These awards vest ratably in three annual installments beginning in January 2026, subject to continued employment with the Manager.

Equity Incentive Plans

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 could be issued under the 2025 Equity Incentive Plan was 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 remained 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).

Since inception of the 2025 Equity Incentive Plan and through December 31, 2025, we have granted an aggregate 25,401 shares of restricted common stock and 870 dividend equivalent units to its independent directors, all of which have vested.

As of December 31, 2025, there were 994,510 remaining shares available to be issued under the 2025 Equity Incentive Plan.

As of December 31, 2025, we have 12,981 restricted stock units and 2,919 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.

Manager Equity Incentive Plans

The AG Mortgage Investment Trust, Inc.

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Unfunded commitments

See Note 12 of the "Notes to Consolidated Financial Statements" for details on our commitments as of December 31, 2024.

See Note 12 of the "Notes to Consolidated Financial Statements" for detail on our commitments as of December 31, 2025.

Off-balance sheet arrangements

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Certain of our investments in debt and equity of affiliates securitize residential mortgage loans and retain interests in the subordinated tranches of the transferred assets.

These retained interests are included in the MATT Non-QM Securities and Re/Non-Performing Securities components of the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheets.

These retained interests are included in the MATT Non-QM Securities and Re/Non-Performing Securities line items of our investment portfolio.

See Note 10 to the "Notes to Consolidated Financial Statements" for a discussion of investments i n debt and equity of affiliates.

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For additional information on our commitments as of December 31, 2025, refer to Note 12 of the "Notes to Consolidated Financial Statements." 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 estimates

Critical accounting policies and estimates

We prepare our consolidated financial statements in conformity with GAAP, which requires the use of estimates and assumptions that affect reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the amounts of income and expenses during the reporting period.

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Although our estimates contemplate conditions as of December 31, 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.

For additional information related to our significant accounting policies, see Note 2 to the "Notes to Consolidated Financial Statements." Our critical accounting estimates are those which require assumptions to be made about matters that are highly uncertain.

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Significant increases (decreases) in any of those inputs in isolation would result in a significantly lower (higher) fair value measurement.

change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates.

Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates.

The significant unobservable input used in the fair value measurement of our investment in Arc Home is the book value multiple.

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Quantitative and Qualitative Disclosures about Market Risk in this Annual Report on Form 10-K for further information.

Refer to Note 5 to the "Notes to Consolidated Financial Statements" in Part II, Item 8 of this Annual Report on Form 10-K, for additional information on our assets and liabilities accounted for at fair value at December 31, 2024, including the significant inputs used to estimate their fair values and the impact the changes in their fair values had to our financial condition and results of operations.

inputs used to estimate their fair values and the impact the changes in their fair values had to our financial condition and results of operations.

Interest income recognition

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Investment consolidation

An entity is a variable interest entity ("VIE") if the equity investors (i) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, (ii) are unable to direct the entity’s activities or (iii) are not exposed to the entity’s losses or entitled to its residual returns.

When we have a variable interest in an entity, we are required to determine whether the entity is a variable interest entity ("VIE") or a voting interest entity ("VOE"), the classification of which will determine the consolidation model that we are required to follow when determining whether we should consolidate the entity.

When an entity does not possess the characteristics of a VIE, we will determine whether we have a controlling financial interest and meet the criteria for consolidation under the voting interest entity model.

An entity is a VIE if the equity investors (i) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, (ii) are unable to direct the entity’s activities or (iii) are not exposed to the entity’s losses or entitled to its residual returns.

VIEs within the scope of ASC 810-10, "Consolidation" are required to be consolidated by their primary beneficiary.

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The assets held by the securitization entities are restricted in that they can only be used to fulfill the obligations of the securitization entity.

Our risks associated with our involvement with these VIEs are limited to

our risks and rights as a holder of the security we have retained as well as certain risks which may occur when we act as either the sponsor and/or depositor of and the seller to the securitization entities.

Our risks associated with our involvement with these VIEs are limited to our risks and rights as a holder of the security we have retained as well as certain risks which may occur when we act as either the sponsor and/or depositor of and the seller to the securitization entities.

Our interest in the assets held by consolidated securitization vehicles, which are consolidated on our consolidated balance sheets, is restricted by the structural provisions of these trusts, and a recovery of our investment in the vehicles will be limited by each entity’s distribution provisions.

The liabilities of the securitization vehicles, which are also consolidated on our consolidated balance sheets, are non-recourse to us, and can only be satisfied using proceeds from each securitization vehicle’s respective assets.

The liabilities of the securitization vehicles, which are also consolidated on our

consolidated balance sheets, are non-recourse to us, and can only be satisfied using proceeds from each securitization vehicle’s respective assets.

The assets of securitization entities are comprised of residential mortgage loans.

We perform ongoing reassessments of whether changes in the facts and circumstances regarding our involvement with a VIE causes our consolidation conclusion to change.

Accounting for business combinations

When the assets acquired and liabilities assumed constitute a business, the acquisition is a business combination.

Business combinations are accounted for under ASC 805, "Business Combinations" using the acquisition method which requires, among other things, that the assets acquired and liabilities assumed be recognized at fair value as of the acquisition date.

Goodwill is calculated as the excess of the consideration transferred over the net assets acquired that meet the criteria for separate recognition and represents the estimated future economic benefits arising from these and other assets acquired that could not be individually identified or do not qualify for recognition as a separate asset.

Likewise, a bargain purchase gain is recognized in current earnings when the aggregate fair value of the consideration transferred is less than the fair value of the identifiable net assets acquired.

Acquisition related costs recognized in connection with a business combination are expensed as incurred.

The results of operations of acquired businesses are included from the date of acquisition.

In a business combination, the initial allocation of the purchase price is considered preliminary and therefore subject to change until the end of the measurement period (up to one year from the acquisition date).

If the initial accounting for a business combination is incomplete by the end of the reporting period in which the combination occurs, a measurement-period adjustment will be recognized during the period in which the amount of the adjustment is determined, including the effect on earnings of any amounts that would have been recorded in previous periods if the accounting had been completed at the acquisition date.

Recent accounting pronouncements

Recent accounting pronouncements impacting us include (i) Debt with conversion and other options, (ii) Segment reporting and (iii) Income Taxes.

Recent accounting pronouncements impacting us include (i) Income Taxes and (ii) Expense Disaggregation.

For additional information related to these recent accounting pronouncements and their impact on our consolidated financial statements, see Note 2 to the "Notes to Consolidated Financial Statements."

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Even if we qualify for taxation as a REIT, we may be subject to some U.S.

federal, state and local taxes on

our income or property.

federal, state and local taxes on our income or property.

In addition, any income earned by a domestic taxable REIT subsidiary, or TRS, will be subject to corporate income taxation.

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Rather, through wholly-owned or majority-owned subsidiaries, we are primarily engaged in the non-investment company businesses of these subsidiaries, namely the real estate finance business of purchasing or otherwise acquiring mortgage loans and other interests in real estate.

We currently have several subsidiaries that rely on the exclusion provided by Section 3(c)(7) of the Investment Company Act, each a "3(c)(7) subsidiary." In addition, we currently have several subsidiaries that rely on the exclusion provided by Section 3(c)(5)(C) of the Investment Company Act, each a "3(c)(5)(C) subsidiary."

3(c)(5)(C) of the Investment Company Act, each a "3(c)(5)(C) subsidiary."

While investments in 3(c)(7) subsidiaries are considered investment securities for the purposes of the 40% Test, investments in 3(c)(5)(C) subsidiaries are not considered investment securities for the purposes of the 40% Test, nor are investments in subsidiaries that rely on the exclusion provided by Section 3(a)(1)(C).

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Both the 40% Test and the requirements of the Section 3(c)(5)(C) exclusion limit the types of businesses in which we may engage and the types of assets we may hold, as well as the timing of sales and purchases of assets.

For example, these restrictions limit our and our subsidiaries’ ability to invest directly in Agency RMBS that represent less than the entire ownership in a pool of mortgage loans or debt and equity tranches of Non-Agency RMBS (in each case to the extent such interest are not retained interest in securitizations consisting of mortgage loans that were owned by us and such securitizations were not sponsored by us in order to obtain financing to acquire additional mortgage loans), certain real estate companies and assets not related to real estate.

For example, these restrictions limit our and our 3(c)(5)(C) subsidiaries’ ability to invest directly in Agency RMBS that represent less than the entire ownership in a pool of mortgage loans or debt and equity tranches of Non-Agency RMBS (in each case to the extent such interest are not retained interest in securitizations consisting of mortgage loans that were owned by us and such securitizations were not sponsored by us in order to obtain financing to acquire additional mortgage loans), certain real estate companies and assets not related to real estate.

The determination that we qualify for this exemption from being regulated as an investment company depends on various factual matters and circumstances.

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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-K

Item 7. Management’s Discussion and Analysis