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Item 2. Management’s Discussion and Analysis

2026-05-01 compared with 2025-11-07 · 220 added, 396 removed, 624 unchanged (50% of the section changed)

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

In this quarterly report on Form 10-Q, or this "report," we refer to AG Mortgage Investment Trust, Inc.

In this quarterly report on Form 10-Q, or this "report," we refer to TPG Mortgage Investment Trust, Inc.

and its wholly-owned subsidiaries as "we," "us," the "Company," or "our," unless we specifically state otherwise or the context indicates otherwise.

We refer to our external manager, AG REIT Management, LLC, as our "Manager," and we refer to the direct parent company of our Manager, Angelo, Gordon & Co., L.P., as "TPG Angelo Gordon."

We refer to our external manager, AG REIT Management, LLC, as our "Manager," we refer to the direct parent company of our Manager, Angelo, Gordon & Co., L.P., as "TPG Angelo Gordon", and we refer to the parent company of TPG Angelo Gordon, TPG Inc., as “TPG.”

The following discussion contains forward looking statements and should be read in conjunction with our consolidated financial statements and the accompanying notes to our consolidated financial statements, which are included in Item 1 of this report, as well as the information contained in our Annual Report on Form 10-K for the year ended December 31, 2025, and any subsequent filings.

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Some, but not all, of the factors that might cause such a difference include, without limitation:

• the persistence of labor shortages, supply chain imbalances, the Middle Eastern conflict, the Russia-Ukraine conflict, inflation, and the potential for an economic recession;

• the persistence of labor shortages, supply chain imbalances, changes in trade policies and tariffs, conflict involving the U.S.

and the Middle East, the Russia-Ukraine conflict, inflation, and the potential for an economic recession and market disruptions;

• changes in our business and investment strategy;

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

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

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

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

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

Third Quarter 2025 Executive Summary

First Quarter 2026 Executive Summary

Financial Highlights

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• 14.1x GAAP Leverage Ratio and 1.7x Economic Leverage Ratio;

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

• $0.24 dividend per common share declared in the first quarter 2026;

◦ Increased our quarterly dividend from $0.23 per common share in the fourth quarter 2025, which represented a 4.3% increase.

Investment Activity

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

Investment Purchases

• The table below summarizes the fair value of purchases and proceeds from sales of investments during the quarter ended March 31, 2026 (in thousands).

Investment Purchases Sales

Agency-Eligible Loans $ 486 $ —

Home Equity Loans 86,383 49,375

Non-Agency RMBS (1)

Total $ 115,520 $ 49,375

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

Acquisition of 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 TPG Angelo Gordon.

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 (unaudited)" for additional information related to the transaction.

(1) During the quarter, we partnered with a third-party mortgage originator and executed a rated securitization collateralized by $504.5 million of Home Equity Loans.

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

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

Financing Activity

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

Collateral Month Unpaid Principal Balance

Home Equity Loans (1)

July 2025 $ 301.3

Home Equity Loans July 2025 647.0

Agency-Eligible Loans August 2025 347.0

Agency-Eligible Loans September 2025 417.1

Total $ 1,712.4

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

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

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

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

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

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

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

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

• Pledged Home Equity Loans with a fair value of $66.2 million and an unpaid principal balance of $63.7 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 March 31, 2026, $50 million of this available financing is contractually committed;

• In March 2026, the we extended the maturity of our financing arrangement collateralized by Legacy WMC Commercial Loans to September 19, 2026.

All proceeds from asset paydowns or sales will be applied to reduce the outstanding balance, which was $25.4 million as of March 31, 2026.

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

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

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

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

We obtain our assets through Arc Home, LLC ("Arc Home"), our residential mortgage loan originator in which we own an approximate 66.0% interest as of March 31, 2026, and through other third-party origination partners.

We finance our acquired loans through various financing lines on a short-term basis and utilize TPG's 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.

Arc Home is a multi-channel licensed mortgage originator and servicer primarily engaged in the business of originating and selling residential mortgage loans while retaining the mortgage servicing rights associated with certain loans that it originates.

On December 6, 2023, we acquired Western Asset Mortgage Capital Corporation ("WMC"), an 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.

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

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

As of March 31, 2026, our investment portfolio consisted of the following Residential Investments and Agency RMBS:

Asset Class Description

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• Non-Agency Loans are loans that do not conform to the underwriting guidelines of a government-sponsored enterprise ("GSE").

Non-Agency Loans consist of Qualified mortgage loans ("QM Loans") and Non-Qualified mortgage loans ("Non-QM Loans").

Non-Agency Loans consist of Qualified mortgage loans ("QM Loans") and Non-Qualified mortgage loans ("Non-QM Loans") which are collateralized by a first lien mortgaged property.

QM Loans are residential mortgage loans that comply with the Ability-To-Repay rules and related guidelines of the Consumer Financial Protection Bureau.

Agency-Eligible Loans (1)

• Agency-Eligible Loans are loans that are underwritten in accordance with GSE guidelines and are primarily secured by investment properties, but are not guaranteed by a GSE.

Although these loans are underwritten in accordance with GSE guidelines and can be delivered to Fannie Mae and Freddie Mac, we include these loans within our Non-Agency securitizations.

• Agency-Eligible Loans are loans that are collateralized by a first lien mortgaged property and are primarily secured by investment properties.

These loans are underwritten in accordance with GSE guidelines, but are not guaranteed by a GSE.

Although these loans are underwritten in accordance with GSE guidelines and can be delivered to Fannie Mae and Freddie Mac, the Company includes these loans within its Non-Agency securitizations.

Home Equity Loans (1)

• Home Equity Loans are revolving lines of credit or closed-end loans secured primarily by a second lien on a residential mortgaged property which provide borrowers access to the equity in their home without the need to pay off their existing mortgage.

Home Equity Loans that are structured as revolving lines of credit generally have an initial draw period of 3 to 5 years, and after the initial draw period ends, the loans generally convert to 15- or 25-year amortizing loans.

• Home Equity Loans consist of revolving lines of credit and closed-end loans secured primarily by second liens on residential mortgaged properties.

These products provide borrowers with access to home equity without requiring the payoff of an existing mortgage.

Revolving lines of credit generally feature an initial draw period of 3 to 5 years, after which the balances convert to 15- or 25-year amortizing loans.

Closed-end home equity loans are primarily fixed-rate obligations where the full principal amount is funded at origination and repaid through a fully amortizing schedule with original terms to maturity ranging from 10 to 30 years.

Re- and Non-Performing Loans (1)

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In addition, our investment portfolio includes commercial loans and commercial-mortgage backed securities ("CMBS") (collectively, the "Legacy WMC Commercial Investments") that were acquired in the WMC acquisition.

The Legacy WMC commercial loans include first lien commercial mortgage loan participations and are included in the "Commercial loans, at fair value" line item on the consolidated balance sheets.

The Legacy WMC commercial loans primarily include first lien commercial mortgage loan participations and are included in the "Commercial loans, at fair value" line item on the consolidated balance sheets.

The Legacy WMC CMBS primarily include fixed-rate and floating-rate CMBS, secured by, or evidencing an ownership interest in, a single commercial mortgage loan or a pool of commercial mortgage loans, and are included in the "Real estate securities, at fair value" line item on the consolidated balance sheets.

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

Our sources of income include net interest income from our investment portfolio, changes in the fair value of our investments, and income from our investment in Arc Home.

Net interest income consists of the interest income we earn on investments less the interest expense we incur on borrowed funds and any costs or benefits related to hedging.

Income from our investment in Arc Home is generated through its mortgage banking activities which represents the origination and subsequent sale of residential mortgage loans and servicing income sourced from its portfolio of mortgage servicing rights.

Our primary sources of income are net interest income from our investment portfolio, changes in the fair value of our investments or hedge portfolio, and income from our investment in Arc Home.

Net interest income consists of the interest income we earn on investments less the interest expense we incur on borrowed funds, inclusive of our cost or benefit of hedging.

We were incorporated in Maryland on March 1, 2011 and commenced operations in July 2011.

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Our Manager and TPG Angelo Gordon

We are externally managed by AG REIT Management, LLC, a Delaware limited liability company (the "Manager"), a wholly-owned subsidiary of TPG Angelo Gordon, a diversified credit and real estate investing platform within TPG Inc.

TPG) is a leading global alternative asset management firm.

On November 1, 2023, TPG acquired TPG Angelo Gordon (the "TPG Transaction"), pursuant to which TPG Angelo Gordon, including our Manager, became indirect subsidiaries of TPG.

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

The independent directors of our Board of 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.

We are externally managed by our Manager, AG REIT Management, LLC, an indirect subsidiary of TPG (NASDAQ:

TPG), a leading global alternative asset management firm.

Pursuant to the terms of our management agreement, our Manager provides us with our management team, including our officers, along with appropriate support personnel.

All of our officers are employees of TPG Angelo Gordon or its affiliates.

All of our officers are employees of TPG or its affiliates.

We do not have any employees.

Our Manager is at all times subject to the supervision and oversight of our Board of Directors and has only such functions and authority as our Board of Directors delegates to it.

Our Manager has delegated to TPG Angelo Gordon the overall responsibility with respect to our Manager’s day-to-day duties and obligations arising under our management agreement.

TPG Angelo Gordon is a registered investment adviser under the Investment Advisers Act of 1940, as amended.

Through our relationship with our Manager, we benefit from the expertise and relationships that TPG Angelo Gordon has established which provides us with resources to generate attractive risk-adjusted returns for our stockholders.

Our Manager has delegated to TPG Angelo Gordon, an affiliate of TPG, the overall responsibility of its day-to-day duties and obligations arising under our management agreement.

TPG Angelo Gordon is the direct parent company of our Manager and is a registered investment adviser under the Investment Advisers Act of 1940, as amended.

Through our relationship with our Manager, we benefit from the expertise and relationships that TPG's Credit platform has established which provides us with resources to generate attractive risk-adjusted returns for our stockholders.

Our management has significant experience in the mortgage industry and expertise in structured credit investments.

We are able to leverage our Manager, along with our ownership interest in Arc Home, a vertically integrated origination platform, to access investment opportunities in the non-agency residential mortgage loan market.

This strategic advantage has enabled us to grow our investment portfolio and remain active in the securitization markets, utilizing TPG Angelo Gordon's proprietary securitization platform to deliver non-agency investments to a diverse mix of investors.

This strategic advantage has enabled us to grow our investment portfolio and remain active in the securitization markets, utilizing the TPG Credit platform's proprietary securitization platform to deliver non-agency investments to a diverse mix of investors.

Market Conditions

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

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

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

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

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

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

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

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

On October 1, 2025, the U.S.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

When evaluating new listings, which are a timelier barometer of

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

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

During the fourth quarter of 2025 and through January 2026, Federal Reserve Chair Jerome Powell adopted a cautious posture as the central bank balanced a softening labor market against persistent inflation.

Although the unemployment rate reached 4.4% by year-end, core inflation remained sticky near 3.0%.

In response, the FOMC delivered two 25 basis point cuts in October and December, bringing the target Fed Funds range to 3.50% to 3.75%.

However, at the January 2026 meeting, the Committee elected to hold rates steady, with Chair Powell signaling a patient, "meeting-by-meeting" approach.

Throughout the first quarter of 2026, this cautious outlook was reinforced by a significant shift in the geopolitical and inflationary landscape.

While the labor market showed relative stability with the unemployment rate ticking down slightly to 4.3% in March, the emergence of a Middle East conflict in late February triggered a sharp spike in energy prices.

This energy shock complicated the disinflation narrative, pushing headline personal consumption expenditure (PCE) expectations for the second quarter toward 3.7% and prompting the Federal Reserve to maintain its pause at the March Federal Open Market Committee meeting.

By April 2026, the "higher-for-longer" sentiment has intensified.

The Treasury market, which had seen the yield spread between 2-year and 10-year U.S.

Treasuries widen to 70 basis points in January, experienced a notable flattening in late March as front-end yields rose in response to diminishing rate-cut expectations.

As of quarter end, the 10-year Treasury yield was 4.32%, while the spread to the 2-year compressed to approximately 51 basis points.

Reflecting this upward pressure on long-term borrowing costs, the 30-year fixed mortgage rate edged back up to 6.4% to end the quarter, reversing the modest easing to start the year.

RMBS credit spreads were mixed in the first quarter of 2026.

Senior and mezzanine Non-QM spreads widened by 10 to 20 basis points, while subordinate tranches were as much as 25 to 50 basis points wider owing to the broader risk-off sentiment experienced at the end of the quarter.

Senior prime jumbo spreads were approximately 10 basis points tighter, and other investment grade prime jumbo spreads tightened roughly 15 to 20 basis points, with that tightening mostly occurring at the start of the quarter.

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

During the first quarter, primary RMBS market activity rose to $63 billion, a 10% increase from prior quarter and a robust 39% annual increase.

Based on the pace of activity in the first quarter, annual issuance would approximate $250 billion, exceeding the $210 billion issued in 2025, and representing the largest post-GFC vintage.

For the first quarter, the most active sector was Non-QM at $28 billion, followed by Home Equity Loans at $14 billion and Prime/Agency-Eligible at $12 billion.

In addition, this quarter’s annual growth was largely driven by Non-QM, a rise of $13 billion, and Home Equity Loans, a rise of approximately $8 billion.

Non-QM comprised the bulk of the first quarter’s activity at 45% with Home Equity Loans and Prime/Agency-Eligible following at 22% and 19%, respectively.

Residential transition loans, also known as fix-and-flip loans, comprised 3% of total issuance and CRT was approximately 4%.

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

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

National Home Price Index was 0.9% higher year-over-year in January 2026, the latest data available, about 1.5% lower than 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 Southeast, Texas and the Mountain West have been weaker.

New York City area home prices led annual gains, rising by 4.9% from January 2025 to January 2026, and Chicago followed nearby at 4.6%.

Detroit rose by 4.1% and Cleveland 3.6% over the period.

On the other hand, regions in California were mixed.

Southern California metros were a little higher while San Francisco fell by 40 basis points.

Denver was lower by 2% and Dallas by 1.5%.

In the Southeast, Atlanta slightly declined while Miami decreased by 90 basis points, and Tampa was 2.5% lower compared to 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.

Prevailing mortgage rates spent most of the quarter in the 6% to 6.15% area before rising in the latter part of March and continued to rise in April, according to the Freddie Mac Primary Mortgage Market Survey.

Mortgage rates in April have reverted and are more in-line with September 2025 levels.

Conforming mortgage interest rate locks mirrored the Freddie Mac survey and were in the very low 6% area until rising to approximately 6.4% at the end of the first quarter and into the start of April.

The rise in the mortgage rate on outstanding mortgage debt continued to decelerate with that rate increasing just 4 basis points to 4.24% as of the fourth quarter of 2025, the latest data available, roughly 200 to 225 basis points lower than prevailing mortgage rates.

This rate is over 110 basis points higher than its low of 3.31% in the first quarter of 2022.

While this suggests some thawing 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 21 basis points from the start of 2025, showing the stickiness of low-rate borrowers staying in place and reduced housing activity.

Total existing home inventory increased slightly in March 2026 to 1.36 million, the latest data available, roughly in-line with year-ago levels.

Existing home inventory in 2025 ran at the 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 well below the range of 1.7 to 2.5 million units from 2000 to 2004, periods with a smaller count of U.S.

When evaluating new listings, which are a timelier barometer of home sale activity, 944 thousand new listings came to market in the first quarter of 2026, in line with activity in the first quarter of 2024, however 6% below year-ago levels.

By comparison, new listings in the first quarter averaged about 1.2 million over 2015 to 2022.

Over the previous three years, this reduced level of activity produced an annual shortage of over 1 million new listings compared to annual activity in 2015 to 2019 as well as pandemic-affected 2020 to 2022, underscoring the limited supply theme.

Presentation of investment, financing and hedging activities

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The below table details book value per common share (in thousands, except per share data).

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

September 30, 2025 December 31, 2024

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

March 31, 2026 December 31, 2025

Stockholders’ Equity $ 544,396 $ 560,734

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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, 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.

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

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

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.

Three Months Ended March 31, 2026 compared to the Three Months Ended March 31, 2025

The table below presents certain information from our consolidated statements of operations for the three months ended March 31, 2026 and 2025 (in thousands).

Three Months Ended

September 30, 2025 September 30, 2024 Change

March 31, 2026 March 31, 2025 Change

Statement of Operations Data:

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

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

Interest income increased from the three months ended March 31, 2025 to the three months ended March 31, 2026 primarily due to a higher weighted average amortized cost of our GAAP investment portfolio as a result of purchases of residential mortgage loans and Non-Agency RMBS.

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

Three Months Ended

September 30, 2025 September 30, 2024 Change

March 31, 2026 March 31, 2025 Change

Weighted average amortized cost of our GAAP investment portfolio

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Interest expense

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

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

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

Interest expense increased from the three months ended March 31, 2025 to the three months ended March 31, 2026 due to a higher weighted average GAAP financing balance outstanding resulting primarily from the issuance of securitized debt during the period.

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

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Three Months Ended

September 30, 2025 September 30, 2024 Change

March 31, 2026 March 31, 2025 Change

Weighted average GAAP financing balance

3 unchanged sentences

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

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

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

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

We recorded income on the net interest component of interest rate swaps during the three months ended March 31, 2026 and 2025 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 three months ended March 31, 2025 to the three months ended March 31, 2026 was the result of a decrease in the weighted average receive rate.

The following table presents a summary of the weighted average notional value and the weighted average (pay)/receive rate on our interest rate swap portfolio for the three months ended March 31, 2026 and 2025 ($ in millions).

Three Months Ended

September 30, 2025 September 30, 2024 Change

March 31, 2026 March 31, 2025 Change

Net weighted average interest rate swap notional value

3 unchanged sentences

Net realized gain/(loss)

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

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

The following table presents a summary of Net realized gain/(loss) for the three months ended March 31, 2026 and 2025 (in thousands).

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

Three Months Ended

September 30, 2025 September 30, 2024

March 31, 2026 March 31, 2025

Sales of residential mortgage loans and loans transferred to or sold from Other assets $ (174) $ (1,010)

Loan purchase commitment 356 —

Sales of real estate securities — 278

2 unchanged sentences

Net unrealized gain/(loss)

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

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

The following table presents a summary of Net unrealized gain/(loss) for the three months ended March 31, 2026 and 2025 (in thousands).

Three Months Ended

September 30, 2025 September 30, 2024

March 31, 2026 March 31, 2025

Residential mortgage loans $ (79,721) $ 107,757

2 unchanged sentences

Securitized debt 68,196 (100,022)

Loan purchase commitment (834) —

Other assets (89) —

Derivatives 1,858 (6,404)

3 unchanged sentences

See the "Contractual obligations" section of this Item 2 for further detail on the calculation of our management fee and for the definition of Stockholders’ Equity.

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

During the three months ended September 30, 2024, the base management fee was reduced by $0.6 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 (in thousands).

The following table presents a summary of our non-investment related expenses for the three months ended March 31, 2026 and 2025 (in thousands).

Three Months Ended

September 30, 2025 September 30, 2024

March 31, 2026 March 31, 2025

Affiliate reimbursement (1) $ 1,446 $ 1,839

5 unchanged sentences

Total Non-investment related expenses $ 2,656 $ 3,280

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

(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 Item 2 for further detail.

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.

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

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

The following table presents a summary of our investment related expenses for the three months ended March 31, 2026 and 2025 (in thousands).

These expenses increased from the three months ended March 31, 2025 to the three months ended March 31, 2026 primarily due to an increase in our GAAP residential mortgage loan portfolio.

Three Months Ended

September 30, 2025 September 30, 2024

March 31, 2026 March 31, 2025

Affiliate reimbursement (1) $ 142 $ 200

4 unchanged sentences

Total Investment related expenses $ 4,298 $ 3,410

(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

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

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

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

Transaction related expenses generally includes expenses associated with purchasing and securitizing residential mortgage loans.

However, during the three months ended March 31, 2026, the expenses primarily consisted of $0.2 million related to legacy WMC commercial loan expenses and $0.2 million related to expenses associated with our “at-the-market” equity offering program.

During the three months ended March 31, 2025, the expenses were primarily related to the execution of one rated securitization.

Equity in earnings/(loss) from affiliates

3 unchanged sentences

Three Months Ended

September 30, 2025 September 30, 2024

March 31, 2026 March 31, 2025

MATT Non-QM Securities $ (274) $ (71)

7 unchanged sentences

Three Months Ended

September 30, 2025 September 30, 2024

Interest income $ 594 $ 924

Interest expense — 72

Total Net Interest Income (1) 594 852

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

Other operating expenses (1) 36 33

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

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

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

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

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

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

Equity in earnings/(loss) from affiliates

$ 1,645 $ (849)

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

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

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

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

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

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

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

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

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

Income tax expense

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

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

Dividends on Preferred Stock

Holders of our Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock are entitled to receive cumulative cash dividends at their respective rates per annum on the $25.00 per share liquidation preference for each series.

Our Series A Preferred Stock and Series B Preferred Stock have fixed rates of 8.25% and 8.00%, respectively.

The initial dividend rate for our Series C Preferred Stock, from issuance through September 16, 2024, was 8.000%.

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

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

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

Nine Months Ended

September 30, 2025 September 30, 2024 Change

Statement of Operations Data:

Net Interest Income

Interest income $ 344,709 $ 302,843 $ 41,866

Interest expense 288,626 254,333 34,293

Total Net Interest Income 56,083 48,510 7,573

Other Income/(Loss)

Net interest component of interest rate swaps 2,666 6,447 (3,781)

Net realized gain/(loss) (7,062) (9,928) 2,866

Net unrealized gain/(loss) 13,961 20,488 (6,527)

Total Other Income/(Loss) 9,565 17,007 (7,442)

Management fee to affiliate 6,947 5,202 1,745

Non-investment related expenses 8,390 8,552 (162)

Investment related expenses 11,205 10,185 1,020

Transaction related expenses 6,041 2,164 3,877

Total Expenses 32,583 26,103 6,480

Income/(loss) before equity in earnings/(loss) from affiliates 33,065 39,414 (6,349)

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

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

Income tax expense 743 58 685

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

Dividends on preferred stock 15,969 13,888 2,081

Net Income/(Loss) Available to Common Stockholders $ 19,414 $ 27,567 $ (8,153)

Interest income

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

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

Nine Months Ended

September 30, 2025 September 30, 2024 Change

Weighted average amortized cost of our GAAP investment portfolio

$ 7,586 $ 6,837 $ 749

Weighted average yield on our GAAP investment portfolio 6.06 % 5.91 % 0.15 %

Interest expense

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

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

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

Nine Months Ended

September 30, 2025 September 30, 2024 Change

Weighted average GAAP financing balance

$ 7,136 $ 6,470 $ 666

Weighted average financing rate on our GAAP investment portfolio 5.39 % 5.24 % 0.15 %

Net interest component of interest rate swaps

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

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

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

Nine Months Ended

September 30, 2025 September 30, 2024 Change

Net weighted average interest rate swap notional value

$ 388 $ 527 $ (139)

Net weighted average (pay)/receive rate

0.92 % 1.63 % (0.71) %

Net realized gain/(loss)

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

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

Nine Months Ended

September 30, 2025 September 30, 2024

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

Loan purchase commitment 356 —

Sales of real estate securities 169 13,024

Settlement of derivatives and other instruments (5,640) (23,275)

Total Net realized gain/(loss) $ (7,062) $ (9,928)

Net unrealized gain/(loss)

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

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

Nine Months Ended

September 30, 2025 September 30, 2024

Residential mortgage loans $ 163,237 $ 207,250

Commercial loans (9,606) 322

Real estate securities 6,871 (706)

Securitized debt (137,742) (188,779)

Loan purchase commitment (410) —

Derivatives (8,389) 2,401

Total Net unrealized gain/(loss) $ 13,961 $ 20,488

Management fee to affiliate

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

Non-investment related expenses

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

Nine Months Ended

September 30, 2025 September 30, 2024

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

Professional fees 1,244 1,113

D&O insurance 765 1,003

Directors' fees and equity based compensation 866 903

Excise tax expense (2) 77 —

Other 751 597

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

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

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

Investment related expenses

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.

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

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

Nine Months Ended

September 30, 2025 September 30, 2024

Affiliate reimbursement $ 551 $ 395

Servicing fees 6,479 5,601

Residential mortgage loan asset management fees 1,693 1,994

Trustee and bank fees 1,862 1,594

Other 620 601

Total Investment related expenses $ 11,205 $ 10,185

Transaction related expenses

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

Equity in earnings/(loss) from affiliates

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

Nine Months Ended

September 30, 2025 September 30, 2024

MATT Non-QM Securities $ (384) $ 307

Re/Non-Performing Securities (137) 322

AG Arc (1) 3,582 1,470

Equity in earnings/(loss) from affiliates

$ 3,061 $ 2,099

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

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

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

Nine Months Ended

September 30, 2025 September 30, 2024

March 31, 2026 March 31, 2025

Interest income $ 368 $ 684

13 unchanged sentences

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

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

(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.

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

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

(4) As of March 31, 2026, the fair value of our investment in Arc Home was calculated using a valuation multiple of 1.05x of book value which increased from 1.025x of book value as of December 31, 2025.

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

(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.

1 unchanged sentence

Income tax expense

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

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

Income tax expense for the three months ended March 31, 2026 relates to taxable income recognized on investments in residential mortgage loans held within our our taxable REIT subsidiary.

During the three months ended March 31, 2025, income tax expense represented minimum state and local tax filing fees.

Dividends on Preferred Stock

4 unchanged sentences

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.

1 unchanged sentence

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 Net income/(loss) per diluted common share calculated in accordance with GAAP.

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.

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

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

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.

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.

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.

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

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 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 three months ended March 31, 2026 and 2025 is set forth below (in thousands, except per share data).

Three Months Ended

Nine Months Ended

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

March 31, 2026 March 31, 2025

Net Income/(loss) available to common stockholders $ (8,715) $ 6,173

2 unchanged sentences

Net unrealized (gain)/loss 16,460 (802)

Transaction related expenses and deal related performance fees (1) 2,504 709 6,727 2,235

Transaction related expenses (1) 656 1,144

Equity in (earnings)/loss from affiliates (2,000) (1,185)

EAD from equity method investments (2) 1,608 662

Dollar roll income/(loss) (432) — (543) —

Earnings available for distribution $ 8,127 $ 5,982

Earnings available for distribution, per Diluted Share $ 0.26 $ 0.20

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

(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.

Three Months Ended

Nine Months Ended

Consolidated statements of operations line item:

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

March 31, 2026 March 31, 2025

Transaction related expenses $ 574 $ 1,061

1 unchanged sentence

Income tax expense 8 —

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

Transaction related expenses $ 656 $ 1,144

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

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

Three Months Ended Nine Months Ended

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

Three Months Ended

March 31, 2026 March 31, 2025

Net interest income $ 368 $ 681

25 unchanged sentences

Investment portfolio

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

The following table presents a summary of our Investment Portfolio, inclusive of net interest margin and leverage ratios, as of March 31, 2026 and a reconciliation of these metrics on our Investment Portfolio to their respective metrics on our GAAP Investment Portfolio ($ in thousands).

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

6 unchanged sentences

Home Equity Loans 172,594 173,207 7.71 % — — 87,343 5.92 % 85,864 1.79 % 1.0x

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

Non-Agency Loans 34,247 32,893 4.81 % — — 27,227 5.47 % 5,666 (0.66) % 4.8x

Residential Whole Loans 342 937 NM — — — — % 937 NM N/A

28 unchanged sentences

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

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

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

(h) There are Legacy WMC CMBS with an unpaid principal balance of $23.5 million and a fair value of $5.1 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.

The net interest margin 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.

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.

14 unchanged sentences

However, 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 and Home Equity VIEs as of September 30, 2025 (in thousands).

Non-Agency VIEs Home Equity VIEs

16 unchanged sentences

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 $265.1 million and $533.5 million, respectively.

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

(2) For Non-Agency VIEs, represents the fair value of real estate owned within the VIEs and cash held in reserve accounts.

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

2 unchanged sentences

(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.

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 (unaudited)" 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 $398.6 million and $43.3 million, respectively, held in order to comply with Risk Retention Rules.

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

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

(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 $97.3 million and $47.2 million, respectively.

(6) Excludes net other asset/(liabilities) held within the Non-Agency VIEs and Home Equity VIEs of $7.4 million and $3.3 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 September 30, 2025, there were 10 Non-Agency securitizations with an unpaid principal balance of $2.4 billion that met the criteria for an Optional Redemption.

As of March 31, 2026, there were 11 Non-Agency securitizations with an unpaid principal balance of $2.5 billion that met the criteria for an Optional Redemption.

Securitized residential mortgage loans and Residential mortgage loans

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

The following table presents information regarding collateral characteristics of our residential mortgage loans as of March 31, 2026 ($ in thousands).

Unpaid Principal Balance Weighted Average (1)(2)

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Total Residential mortgage loans $ 222,294 $ 228,524 1,765 66.62 % 739 8.20 % 4.74

Total as of September 30, 2025

Total as of March 31, 2026

$ 7,901,605 $ 7,767,272 30,451 70.39 % 758 6.27 % 6.89

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Legacy WMC Commercial loans

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

As of March 31, 2026, 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.

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Non-Agency RMBS and Legacy WMC CMBS

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

The following table presents the fair value, coupon, and weighted average life of our Non-Agency RMBS and Legacy WMC CMBS portfolios as of March 31, 2026 ($ in thousands).

Weighted Average

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

The notional value of interest only classes included in the Non-QM Loans, Agency-Eligible Loans, Home Equity Loans, Prime Jumbo Loans, and Re- and Non-Performing Loans line items was $308.2 million, $43.4 million, $163.2 million, $25.5 million, and $0.8 million, respectively.

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 $278.0 million, $37.8 million, $290.8 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 $5.1 million which are on non-accrual or cost recovery status.

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

The following table presents the fair value of our Non-Agency RMBS and Legacy WMC CMBS by credit rating as of March 31, 2026 (in thousands).

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

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

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

The following table presents the geographic concentration of the underlying collateral for our Non-Agency RMBS and Legacy WMC CMBS portfolios as of March 31, 2026 ($ in thousands).

Non-Agency RMBS Legacy WMC CMBS

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Texas 4.0 % 9,144 New York 7.1 % 3,000

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

Arizona 3.5 % 8,188 Pennsylvania 4.8 % 2,008

Other 47.7 % 110,137 Other 13.6 % 5,753

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

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

The following table presents the fair value, constant prepayment rate (“CPR”), coupon, and weighted average life experienced on our Agency RMBS portfolio as of March 31, 2026 ($ in thousands).

Weighted Average

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Financing activities

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).

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

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

We had outstanding financing arrangements with six counterparties as of March 31, 2026.

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

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

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

As of March 31, 2026, we are in compliance with all of our financial covenants.

Securitized Debt

We also utilize securitized debt to finance our loan portfolio.

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.

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.

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

September 30, 2025 Leverage Stockholders’ Equity Leverage Ratio

March 31, 2026 Leverage Stockholders’ Equity Leverage Ratio

Securitized debt, at fair value (1) $ 6,749,708

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Restricted cash posted on financing arrangements (7,964)

Payable on unsettled trades 133

GAAP Leverage $ 7,688,763 $ 544,396 14.1x

Non-recourse financing arrangements (1) (6,749,708)

Net TBA (receivable)/payable adjustment 868

Economic Leverage $ 939,055 $ 544,396 1.7x

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

In utilizing leverage

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

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

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

Derivatives have not been designated as hedging instruments for GAAP.

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

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

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

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

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

During the three months ended March 31, 2026, the Company declared common stock dividends of $0.24 per share.

During the same period, the Company declared and paid preferred stock dividends on its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock of $0.51563, $0.50, and $0.652391 per share, respectively.

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

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

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

As of March 31, 2026, we pledged Home Equity Loans with a fair value of $66.2 million and an unpaid principal balance of $63.7 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, $50.0 million is contractually committed.

At March 31, 2026, we had $100.0 million of liquidity, which consisted of $49.3 million of cash and cash equivalents, $50.0 million of available committed financing on certain Home Equity Loans, and $0.7 million of unencumbered Agency RMBS available to support our liquidity needs.

Margin requirements

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

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

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

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

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

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.

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

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

Nine Months Ended

September 30, 2025 September 30, 2024 Change

The below details changes to our cash, cash equivalents, and restricted cash for the three months ended March 31, 2026 and 2025 (in thousands).

Three Months Ended

March 31, 2026 March 31, 2025 Change

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

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Cash and cash equivalents and restricted cash, End of Period $ 67,722 $ 129,217 $ (61,495)

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

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

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

(1) Cash provided by operating activities is primarily attributable to net interest income less operating expenses for the three months ended March 31, 2026.

(2) Cash provided by investing activities for the three months ended March 31, 2026 was primarily attributable to principal repayments on our investment portfolio and proceeds from the sale of certain investments, offset by purchases of residential mortgage loans and real estate securities.

(3) Cash used in financing activities for the three months ended March 31, 2026 was primarily attributable to principal repayments on securitized debt and dividend payments, offset by net borrowing of repurchase agreements.

Stock repurchase programs

On August 3, 2022, our Board of Directors authorized a stock repurchase program (the "2022 Repurchase Program") to repurchase up to $15.0 million of our outstanding common stock.

The 2022 Repurchase Program does not have an expiration date and permits us to repurchase our shares through various methods, including open market repurchases, privately negotiated block transactions and Rule 10b5-1 plans.

The 2022 Repurchase Program does not have an expiration

date and permits us to repurchase our shares through various methods, including open market repurchases, privately negotiated block transactions and Rule 10b5-1 plans.

We may repurchase shares of our common stock from time to time in compliance with SEC regulations and other legal requirements.

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

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

authorized for future share repurchases under the 2022 Repurchase Program.

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

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

There were no shares repurchased during the three months ended March 31, 2026 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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(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 any of our equity distribution agreements then in effect during the three and nine months ended September 30, 2025 and 2024.

We did not issue any shares of common stock under the 2024 Equity Distribution Agreements during the three months ended March 31, 2026 and 2025.

Acquisition of additional interest in AG Arc

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

On August 1, 2025, in connection with the acquisition of an additional 21.4% interest in AG Arc LLC (“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 (unaudited)" for additional information.

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

As March 31, 2026, the Holders no longer hold any shares of our common stock.

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

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

Three Months Ended Nine Months Ended

The below table details the management fees incurred during the three months ended March 31, 2026 and 2025 (in thousands).

Three Months Ended

Consolidated statements of operations line item:

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

March 31, 2026 March 31, 2025

Management fee to affiliate $ 2,319 $ 2,327

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

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

As of March 31, 2026 and December 31, 2025, we recorded management fees payable of $2.3 million and $2.3 million, respectively.

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

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

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

During the three months ended March 31, 2026 and 2025, we did not incur any incentive fee expense.

Termination fee

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

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

As of March 31, 2026 and December 31, 2025, no event of termination of the management agreement had occurred.

Expense reimbursement

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

We are required to

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

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

Our reimbursement obligation is not subject to any dollar limitation;

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

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

Three Months Ended Nine Months Ended

The below table details the expense reimbursement incurred during the three months ended March 31, 2026 and 2025 (in thousands).

Three Months Ended

Consolidated statements of operations line item:

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

March 31, 2026 March 31, 2025

Non-investment related expenses

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Investment related expenses

256 194 551 395

Transaction related expenses 75 260

Expense reimbursements to Manager or its affiliates $ 1,663 $ 2,299

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

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

As of March 31, 2026 and December 31, 2025, we recorded a reimbursement payable to our Manager or its affiliates of $1.3 million and $2.1 million, respectively The reimbursement payable to the Manager or its affiliates is included within the "Due to affiliates" line item within the "Other liabilities" line item on the consolidated balance sheets.

Equity Incentive Plans

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

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

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 86,666 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 September 30, 2025, we have granted an aggregate 13,383 shares of restricted common stock and 411 dividend equivalent units to its independent directors, all of which have vested.

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

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

Since inception of the 2025 Equity Incentive Plan and through March 31, 2026, we have granted an aggregate 35,586 shares of restricted common stock and 1,278 dividend equivalent units to our independent directors, all of which have vested.

As of March 31, 2026, there were 983,917 remaining shares available to be issued under the 2025 Equity Incentive Plan.

As of March 31, 2026, we have 12,981 restricted stock units and 3,327 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.

2021 Manager Equity Incentive Plan (the "2021 Manager Plan"), which became effective on April 7, 2021 following the approval of our stockholders at our 2021 annual meeting of stockholders, provides for a maximum of 573,425 shares of common stock that may be subject to awards thereunder to our Manager.

As of March 31, 2026, there were no shares or awards issued under the 2021 Manager Plan.

Following the execution of the Third Amendment to our management agreement in November 2021 related to the incentive fee, our compensation committee no longer expects to continue its historical practice of making periodic equity grants to the Manager pursuant to the 2021 Manager Plan.

Unfunded commitments

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

See Note 12 of the "Notes to Consolidated Financial Statements (unaudited)" for detail on our commitments as of March 31, 2026.

Off-balance sheet arrangements

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

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

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

Refer to Note 7 to the "Notes to Consolidated Financial Statements (unaudited)" for additional detail on TBAs as of March 31, 2026, if applicable.

For additional information on our commitments as of March 31, 2026, refer to Note 12 of the "Notes to Consolidated Financial Statements (unaudited)." We do not expect these commitments, taken as a whole, to be significant to, or to have a material impact on, our overall liquidity or capital resources or our operations.

Critical accounting policies and estimates

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

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

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

Although our estimates contemplate conditions as of March 31, 2026 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 critical accounting estimates are those which require assumptions to be made about matters that are highly uncertain and include (i), (iv), and (vi) above.

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

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

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

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

government securities, and securities issued by majority-owned subsidiaries

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

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

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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-Q

Item 2. Management’s Discussion and Analysis