TPG Mortgage Investment Trust, Inc. 10-Q

ITEM 2. 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 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," 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. 40 Forward-Looking Statements We make forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended (the "Securities Act"), and Section 21E of the Securities Exchange Act of 1934, as amended (the "Exchange Act"), in this report that are subject to substantial known and unknown risks and uncertainties. These forward-looking statements include information about possible or assumed future results of our business, financial condition, liquidity, returns, results of operations, plans, yields, objectives, the composition of our portfolio, actions by governmental entities, including the Federal Reserve, and the potential effects of actual and proposed legislation on us, and our views on certain macroeconomic trends. When we use the words "believe," "expect," "anticipate," "estimate," "plan," "continue," "remain," "intend," "should," "could," "will," "may" or similar expressions, we intend to identify forward-looking statements. These forward-looking statements are based upon information presently available to our management and are inherently subjective, uncertain and subject to change. There can be no assurance that actual results will not differ materially from our expectations. Some, but not all, of the factors that might cause such a difference include, without limitation: • 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; • our ability to predict and control costs; • changes in interest rates and the fair value of our assets, including negative changes resulting in margin calls relating to the financing of our assets; • changes in the yield curve; • changes in prepayment rates on the loans we own or that underlie our investment securities; • regulatory and structural changes in the residential loan market and its impact on non-agency mortgage markets; • increased rates of default or delinquencies and/or decreased recovery rates on our assets; • our ability to obtain and maintain financing arrangements on terms favorable to us or at all; • our ability to enter into, or refinance, securitization transactions on the terms and pace anticipated or at all; • the degree to which our hedging strategies may or may not protect us from interest rate and credit risk volatility; • 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; • conditions in the market for residential mortgage investments and Agency RMBS; • conditions in the market for commercial investments, including the Company's ability to successfully realize the commercial investments acquired from Western Asset Mortgage Capital Corporation ("WMC") within the timeframe anticipated or at all; • legislative and regulatory actions by the U.S. Congress, U.S. Department of the Treasury, the Federal Reserve and other agencies and instrumentalities; • our ability to make distributions to our stockholders in the future; • our ability to maintain our qualification as a REIT for federal tax purposes; and • our ability to qualify for an exemption from registration under the Investment Company Act of 1940, as amended (the "Investment Company Act"). We caution investors not to rely unduly on any forward-looking statements, which speak only as of the date made, and urge you to carefully consider the risks noted above and identified under the captions "Risk Factors," and "Management’s Discussion and Analysis of Financial Condition and Results of Operations" in our Annual Report on Form 10-K for the year ended December 31, 2025 and any subsequent filings. New risks and uncertainties arise from time to time, and it is impossible for us to predict those events or how they may affect us. Except as required by law, we are not obligated to, and do not intend to, update or revise any forward-looking statements, whether as a result of new information, future events or otherwise. All forward-looking statements that we make, or that are attributable to us, are expressly qualified by this cautionary notice. 41 First Quarter 2026 Executive Summary Financial Highlights • $9.97 Book Value per share; • $(0.27) of Net Income/(Loss) Available to Common Stockholders per diluted common share and $0.26 of Earnings Available for Distribution ("EAD") per diluted common share; ◦ Refer to the "Earnings Available for Distribution" section below for further details related to our reconciliation of Net Income/(Loss) Available to Common Stockholders to EAD; • 14.1x GAAP Leverage Ratio and 1.7x Economic Leverage Ratio; and • $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 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) 28,651 — Total $ 115,520 $ 49,375 (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 • 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; and • 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. Our company 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. mortgage market. Our objective is to provide attractive risk-adjusted returns to our stockholders over the long-term, primarily through dividends and capital appreciation. 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 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. Our investment portfolio (which excludes our ownership in Arc Home) primarily includes Residential Investments and Agency RMBS. 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 42 As of March 31, 2026, our investment portfolio consisted of the following Residential Investments and Agency RMBS: Asset Class Description Residential Investments Non-Agency Loans (1) • 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") 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 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 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) • Performing, re-performing, and non-performing loans are residential mortgage loans collateralized by a first lien mortgaged property. Non-Agency RMBS (2) • Non-Agency Residential Mortgage-Backed Securities ("RMBS") represent fixed- and floating-rate RMBS issued by entities other than U.S. GSEs or agencies of the U.S. government. Non-Agency RMBS are primarily secured by Non-QM, Agency-Eligible, Home Equity, and Prime Jumbo Loans. Agency RMBS (2) • Agency RMBS represent interests in pools of residential mortgage loans guaranteed by a GSE such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government such as Ginnie Mae. (1) These investments are included in the "Securitized residential mortgage loans, at fair value" or "Residential mortgage loans, at fair value" line items on the consolidated balance sheets. (2) These investments are included in the "Real estate securities, at fair value" line item on the consolidated balance sheets. 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 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 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. 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 mortgage servicing rights. We were incorporated in Maryland on March 1, 2011 and commenced operations in July 2011. We conduct our operations to qualify and be taxed as a REIT for U.S. federal income tax purposes. Accordingly, we generally will not be subject to U.S. federal income taxes on our taxable income that we distribute to our stockholders as long as we maintain our intended qualification as a REIT, with the exception of business conducted in our domestic taxable REIT subsidiaries ("TRSs") which are subject to corporate income tax. We also operate our business in a manner that permits us to maintain our exemption from registration under the Investment Company Act. 43 Our Manager and TPG Angelo Gordon 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 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, 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 the TPG Credit platform's proprietary securitization platform to deliver non-agency investments to a diverse mix of investors. Market Conditions 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 44 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. households. 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 In the "Investment activities," "Financing activities," "Hedging activities," and "Liquidity and capital resources" sections of this Item 2, we present information on our investment portfolio and the related financing arrangements inclusive of unconsolidated ownership interests in affiliates that are accounted for under GAAP using the equity method. Our investment portfolio excludes our investment in Arc Home. Our investment portfolio and the related financing arrangements are presented along with a reconciliation to GAAP. This presentation of our investment portfolio is consistent with how our management team evaluates the business, and we believe this presentation, when considered with the GAAP presentation, provides supplemental information useful for investors in evaluating our investment portfolio and financial condition. See Note 10 to the "Notes to Consolidated Financial Statements (unaudited)" for a discussion of investments in debt and equity of affiliates. See below for further terms used when describing our investment portfolio. • Our "Investment portfolio" includes our Residential Investments, Agency RMBS, inclusive of TBAs, and Legacy WMC Commercial Investments. • Our "Residential Investments" refer to our residential mortgage loans and Non-Agency RMBS. ◦ "Residential mortgage loans" or "Loans" refer to our Non-Agency Loans, Agency-Eligible Loans, Home Equity Loans, and Re/Non-Performing Loans (exclusive of retained tranches from unconsolidated securitizations). ◦ "Non-Agency RMBS" refer to the retained tranches from unconsolidated securitizations of Non-QM Loans, Agency-Eligible Loans, Home Equity Loans, Prime Jumbo Loans, and Re/Non-Performing Loans issued either under the Gold Creek Asset Trust ("GCAT") shelf or from third-parties. • "Real estate securities" refers to our Non-Agency RMBS and Agency RMBS, inclusive of TBAs, as well as Legacy WMC CMBS that were acquired in the WMC acquisition. • Our "Legacy WMC Commercial Investments" refer to the commercial loans and CMBS that we acquired in the WMC acquisition. We expect to either hold the Legacy WMC Commercial Investments until maturity or opportunistically exit these investments. • Our "GAAP Residential Investments" refer to our Residential Investments excluding investments held within affiliated entities. 45 • Our "GAAP Investment portfolio" includes our GAAP Residential Investments, Agency RMBS, and Legacy WMC Commercial Investments. For a reconciliation of our Investment portfolio to our GAAP Investment portfolio, see the Investment Portfolio section below. Book value per share 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 period end. March 31, 2026 December 31, 2025 Stockholders’ Equity $ 544,396 $ 560,734 Less: Liquidation preference of preferred stock (227,991) (227,991) Book Value $ 316,405 $ 332,743 Common shares outstanding 31,735 31,744 Book value per common share $ 9.97 $ 10.48 Results of Operations Our operating results can be affected by a number of factors and primarily depend on the size and composition of our investment portfolio, the level of our net interest income, the fair value of our assets and the supply of, and demand for, our investments in residential mortgage loans in the marketplace, among other things, which can be impacted by unanticipated credit events experienced by borrowers whose residential mortgage loans are included in our investment portfolio, such as defaults, liquidations or delinquencies, and other unanticipated events in our markets. 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 which includes operating income/(loss) from Arc Home. 46 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 March 31, 2026 March 31, 2025 Change Statement of Operations Data: Net Interest Income Interest income $ 129,808 $ 109,130 $ 20,678 Interest expense 109,165 90,281 18,884 Total Net Interest Income 20,643 18,849 1,794 Other Income/(Loss) Net interest component of interest rate swaps 402 737 (335) Net realized gain/(loss) (118) 10 (128) Net unrealized gain/(loss) (16,460) 802 (17,262) Total Other Income/(Loss) (16,176) 1,549 (17,725) Expenses Management fee to affiliate 2,319 2,327 (8) Non-investment related expenses 2,656 3,280 (624) Investment related expenses 4,298 3,410 888 Transaction related expenses 574 1,061 (487) Total Expenses 9,847 10,078 (231) Income/(loss) before equity in earnings/(loss) from affiliates (5,380) 10,320 (15,700) Equity in earnings/(loss) from affiliates 2,000 1,185 815 Income/(Loss) before Income Taxes (3,380) 11,505 (14,885) Income tax expense 182 28 154 Net Income/(Loss) (3,562) 11,477 (15,039) Dividends on preferred stock 5,153 5,304 (151) Net Income/(Loss) Available to Common Stockholders $ (8,715) $ 6,173 $ (14,888) Interest income Interest income is calculated using the effective interest method for our GAAP 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 March 31, 2026 March 31, 2025 Change Weighted average amortized cost of our GAAP investment portfolio $ 8,535 $ 7,197 $ 1,338 Weighted average yield on our GAAP investment portfolio 6.08 % 6.07 % 0.01 % 47 Interest expense 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. 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). Three Months Ended March 31, 2026 March 31, 2025 Change Weighted average GAAP financing balance $ 8,063 $ 6,749 $ 1,314 Weighted average financing rate on our GAAP investment portfolio 5.42 % 5.35 % 0.07 % Net interest component of interest rate swaps Net interest component of interest rate swaps represents the net interest income received or expense paid on our interest rate swaps. We recorded income on the net interest component of interest rate swaps during the 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 March 31, 2026 March 31, 2025 Change Net weighted average interest rate swap notional value $ 370 $ 347 $ 23 Net weighted average (pay)/receive rate 0.44 % 0.85 % (0.41) % Net realized gain/(loss) 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 March 31, 2026 March 31, 2025 Sales of residential mortgage loans and loans transferred to or sold from Other assets $ (174) $ (1,010) Sales of real estate securities — 278 Settlement of derivatives and other instruments 56 742 Total Net realized gain/(loss) $ (118) $ 10 48 Net unrealized gain/(loss) 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 March 31, 2026 March 31, 2025 Residential mortgage loans $ (79,721) $ 107,757 Commercial loans (3,479) (1,771) Real estate securities (3,225) 1,242 Securitized debt 68,196 (100,022) Other assets (89) — Derivatives 1,858 (6,404) Total Net unrealized gain/(loss) $ (16,460) $ 802 Management fee to affiliate Our management fee is based upon a percentage of our Stockholders’ Equity. 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. Non-investment related expenses 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 March 31, 2026 March 31, 2025 Affiliate reimbursement (1) $ 1,446 $ 1,839 Professional fees 353 456 D&O insurance 255 255 Directors' fees and equity based compensation 254 336 Excise tax expense — 89 Other 348 305 Total Non-investment related expenses $ 2,656 $ 3,280 (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 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 March 31, 2026 March 31, 2025 Affiliate reimbursement (1) $ 142 $ 200 Servicing fees 2,657 1,940 Residential mortgage loan asset management fees 527 581 Trustee and bank fees 651 584 Other 321 105 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. 49 Transaction related expenses 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 Equity in earnings/(loss) from affiliates represents our share of earnings and profits of investments held within affiliated entities. Substantially all of these investments are comprised of real estate securities, loans, and our investment in AG Arc which holds our investment in Arc Home. The below tables summarize the components of the "Equity in earnings/(loss) from affiliates" line item on our consolidated statements of operations (in thousands). Three Months Ended March 31, 2026 March 31, 2025 MATT Non-QM Securities $ (274) $ (71) Re/Non-Performing Securities (38) (120) AG Arc (1) 2,312 1,376 Equity in earnings/(loss) from affiliates $ 2,000 $ 1,185 (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%. 50 The below table breaks out the components in the "Equity in earnings/(loss) from affiliates" line item on our consolidated statements of operations (in thousands). Three Months Ended March 31, 2026 March 31, 2025 Interest income $ 368 $ 684 Interest expense — 3 Total Net Interest Income (1) 368 681 Net unrealized gain/(loss) (650) (831) Other operating expenses (1) 30 41 Total MATT Non-QM Securities and Re/Non Performing Securities (2) (312) (191) Net operating income/(loss) from AG Arc (1) (3) 1,276 110 Other income/(loss) from AG Arc (3) (89) (49) Unrealized gain/(loss) on investment in AG Arc (4) 1,131 1,403 Elimination of gains on loans sold from AG Arc to MITT (1) (5) (6) (88) Total AG Arc Earnings/(Loss) 2,312 1,376 Equity in earnings/(loss) from affiliates $ 2,000 $ 1,185 (1) Represents items included in Earnings Available for Distribution. Refer to the “Earnings Available for Distribution” section below for further detail. (2) Primarily represents earnings/(loss) from our investment in MATT Non-QM Securities. (3) Net operating income/(loss) from AG Arc represents income/(loss) related to Arc Home's lending and servicing operations, net of operating expenses and related current tax expense or benefit. Other income/(loss) from AG Arc represents realized and unrealized changes in the fair value of Arc Home's mortgage servicing rights, transaction related expenses, and other asset impairments, net of related tax expense or benefit. (4) As of 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. 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 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 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%. Earnings Available for Distribution 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. However, management also believes that our definition of EAD has important limitations as it does not include certain earnings or losses our management team considers in evaluating our financial performance. Our presentation of EAD may not be comparable to similarly-titled measures of other companies, who may use different calculations. This non- 51 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 Arc Home's net mortgage servicing rights, and (b) net realized gains/(losses) on the sale or termination of such instruments, (ii) any transaction related expenses incurred in connection with the acquisition, disposition, or securitization of our investments, (iii) the income tax effect on non-EAD income/(loss) items, and (iv) certain other nonrecurring gains or losses. Items (i) through (iv) above include any amount related to those items held in affiliated entities. EAD includes the net interest income and other income earned on our investments on a yield adjusted basis, including the net interest component of interest rate swaps, TBA dollar roll income/(loss), or any other investment activity that may earn or pay net interest or its economic equivalent. Additionally, EAD includes the net operating income/(loss) from Arc Home. Transaction related expenses are primarily comprised of costs incurred prior to or at the time of executing our securitizations and acquiring or disposing of residential mortgage loans. These costs are nonrecurring and may include underwriting fees, legal fees, diligence fees, and other similar transaction related expenses. Recurring expenses, such as servicing fees, custodial fees, trustee fees and other similar ongoing fees are not excluded from earnings available for distribution. Management considers the transaction related expenses 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 March 31, 2026 March 31, 2025 Net Income/(loss) available to common stockholders $ (8,715) $ 6,173 Add (Deduct): Net realized (gain)/loss 118 (10) Net unrealized (gain)/loss 16,460 (802) 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 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 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 Consolidated statements of operations line item: March 31, 2026 March 31, 2025 Transaction related expenses $ 574 $ 1,061 Interest expense 74 83 Income tax expense 8 — 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 March 31, 2026 March 31, 2025 Net interest income $ 368 $ 681 Other operating expenses (30) (41) Net operating income/(loss) from AG Arc 1,276 110 Elimination of gains on loans sold from AG Arc to MITT (6) (88) EAD from equity method investments $ 1,608 $ 662 52 Investment activities Investment activities We aim to allocate capital to investment opportunities with attractive risk/return profiles in our target asset classes. Our investment activities primarily include acquiring and securitizing newly-originated residential mortgage loans. We finance our acquired loans through various financing lines on a short-term basis and securitize the loans to obtain long-term, non-recourse, non-mark-to-market financing as market conditions permit. We may also invest in Agency RMBS to utilize excess liquidity. Our investment and capital allocation decisions depend on prevailing market conditions and compliance with Investment Company Act and REIT tests, among other factors, and may change over time in response to opportunities available in different economic and capital market environments. As a result, in reacting to market conditions and taking into account a variety of other factors, including liquidity, duration, and interest rate expectations, the mix of our assets changes over time as we deploy capital. We actively evaluate our investments based on factors including, among others, the characteristics of the underlying collateral, geography, expected return, expected future prepayment trends, supply of and demand for our investments, costs of financing, costs of hedging, expected future interest rate volatility, and the overall shape of the U.S. Treasury and interest rate swap yield curves. Net interest margin and leverage ratio Net interest margin and leverage ratio are metrics that management believes should be considered when evaluating the performance of our investment portfolio. Net interest margin provides investors visibility into our profitability of interest income versus interest expense including the net effect of our interest rate swaps for insight into earnings available for distribution. GAAP net interest margin and non-GAAP net interest margin, a non-GAAP financial measure, are calculated by subtracting the weighted average cost of funds from the weighted average yield for our GAAP investment portfolio and our investment portfolio, respectively. The weighted average yield represents an effective interest rate on our cost basis, which utilizes all estimates of future cash flows and adjusts for actual prepayment and cash flow activity as of quarter-end. The calculation of weighted average yield is weighted on amortized cost at quarter-end. The weighted average cost of funds is the sum of the weighted average funding costs on total financing arrangements outstanding at quarter-end, including all non-recourse financing arrangements, and our weighted average hedging cost or benefit, which is the weighted average of the net pay or receive rates on our interest rate swaps. GAAP and non-GAAP cost of funds are weighted by the outstanding financing arrangements on our GAAP investment portfolio and our investment portfolio, respectively, and the amortized cost of securitized debt and senior unsecured notes at quarter-end. Our leverage ratio is determined by our portfolio mix as well as many additional factors, including the liquidity of our portfolio, the availability and price of our financing, the available capacity to finance our assets, and anticipated regulatory developments. See the "Financing activities" section below for more detail on our leverage ratio. 53 Investment portfolio 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 Instrument Amortized Cost Fair Value Yield (a)(b) Amortized Cost Fair Value Financing Arrangements Leverage Ratio (e) Residential Investments Securitized Non-Agency Loans $ 6,787,729 $ 6,543,261 5.71 % $ 6,104,907 $ 5,922,951 $ 415,277 5.34 % $ 205,033 0.37 % 2.0x Securitized Home Equity Loans 856,797 864,198 7.40 % 735,616 735,458 64,826 5.57 % 63,914 1.83 % 1.0x Securitized Re/Non-Performing Loans 143,346 131,289 6.04 % 94,781 91,299 27,191 3.97 % 12,799 2.07 % 2.1x Agency-Eligible Loans 21,238 21,487 6.41 % — — 19,672 5.38 % 1,815 1.03 % 10.8x Home Equity Loans 172,594 173,207 7.71 % — — 87,343 5.92 % 85,864 1.79 % 1.0x 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 Non-Agency RMBS 224,548 230,704 8.54 % — — 154,366 4.48 % 76,338 4.06 % 1.9x Total Residential Investments 8,240,841 7,997,976 6.01 % 6,935,304 6,749,708 795,902 5.33 % 452,366 0.68 % 1.8x Agency RMBS 16,024 15,660 8.06 % — — 10,397 4.29 % 5,263 3.77 % 2.0x Legacy WMC Commercial Investments (f) Commercial Loans (g) 66,019 51,504 — % — — 25,392 6.43 % 26,112 (6.43) % 1.0x CMBS (h) 46,866 42,250 16.66 % — — 18,540 5.20 % 23,710 11.46 % 0.8x Total Legacy WMC Commercial Investments 112,885 93,754 6.92 % — — 43,932 5.91 % 49,822 1.01 % 0.9x Total Investment Portfolio $ 8,369,750 $ 8,107,390 6.03 % $ 6,935,304 $ 6,749,708 $ 850,231 5.33 % $ 507,451 0.70 % 1.6x Cash and Cash Equivalents (i) 49,307 3.53 % Interest Rate Swaps (j) 9,082 0.33 % Arc Home 52,334 Senior Unsecured Notes (96,655) 10.61 % Non-Interest Earning Assets, net 22,877 Total Stockholders' Equity $ 544,396 1.7x Investment Securitized Debt Cost of Funds (c) Allocated Equity (d) Net Interest Margin Amortized Cost Fair Value Yield (a)(b) Amortized Cost Fair Value Financing Arrangements Leverage Ratio (e) Total Investment Portfolio $ 8,369,750 $ 8,107,390 6.03 % $ 6,935,304 $ 6,749,708 $ 850,231 5.33 % $ 507,451 0.70 % 1.6x Investments in Debt and Equity of Affiliates 9,307 9,227 13.32 % — — — — % 9,227 13.32 % N/A GAAP Investment Portfolio $ 8,360,443 $ 8,098,163 6.02 % $ 6,935,304 $ 6,749,708 $ 850,231 5.33 % $ 498,224 0.69 % 14.1x NM - Not Meaningful (a) Excludes any net TBA positions. (b) The weighted average yields are calculated based on the amortized cost of the underlying loans and securities. (c) The cost of funds related to the financing on our investment portfolio inclusive of the benefit of 0.02% from our interest rate hedges was 5.33%. When including our Senior Unsecured Notes, the total cost of funds was 5.40%. (d) Allocated equity represents the investment fair value less the associated securitized debt at fair value and financing arrangements, where applicable. (e) The leverage ratio on each asset class and on our investment portfolio represents Economic Leverage as defined below in the "Financing Activities" section and is calculated by dividing each investment type's total recourse financing arrangements less any cash posted as collateral by its equity invested inclusive of any cash collateral posted on financing arrangements. The Economic Leverage Ratio excludes any fully non-recourse financing arrangements and includes any net receivables or payables on TBAs. The leverage ratio on our GAAP Investment Portfolio represents GAAP leverage as defined below in the "Financing Activities" section. (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 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 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. 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. 54 Securitized Non-Agency Loans and Home Equity Loans As noted above, our investment activities primarily include acquiring and securitizing newly-originated residential mortgage loans. Non-Agency VIEs are collateralized by Non-Agency and Agency-Eligible Loans. Home Equity VIEs are collateralized by revolving lines of credit and closed-end loans secured primarily by a second lien on a residential mortgaged property. Refer to Notes 2 and 3 to the “Notes to Consolidated Financial Statements (unaudited)” for additional information on the assets and liabilities of our consolidated Non-Agency VIEs and Home Equity VIEs. In each securitization transaction, a pool of loans is transferred into a newly formed securitization trust. The securitization trust issues various classes of mortgage pass-through certificates backed by the cash flows from the underlying residential mortgage loans (the "Certificates"). When we sponsor a residential mortgage loan securitization, we are generally required to retain at least 5% of the fair value of the Certificates issued in the securitization ("Risk Retention Rules"). We can retain either an "eligible vertical interest" (which consists of at least 5% of each class of securities issued in the securitization), an "eligible horizontal residual interest" (which is the most subordinate class of securities with a fair value of at least 5% of the aggregate credit risk) or a combination of both totaling 5% (the "Required Credit Risk") . We typically sell the senior classes of Certificates to unrelated third parties. When we choose to retain an eligible horizontal residual interest , we generally purchase the most subordinated classes of Certificates and the excess cash flow Certificates. When we choose to retain an eligible vertical interest , we purchase a 5% interest in each class of Certificates issued. We also may purchase the Certificates entitled to excess servicing fees and other Certificates not required to meet Risk Retention Rules. If we are determined to be the primary beneficiary of these securitization transactions, we consolidate the respective VIE created to facilitate the transaction and record "Securitized residential mortgage loans" and "Securitized debt" on the consolidated balance sheets in accordance with U.S. GAAP. However, our equity at risk represents certain Certificates from each securitization which we retain. 55 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 March 31, 2026 (in thousands). Non-Agency VIEs Home Equity VIEs Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value Securitized residential mortgage loans in VIEs $ 6,728,033 $ 6,543,261 $ 798,646 $ 864,198 Securitized debt in VIEs (1) 6,144,984 5,922,951 712,612 735,458 Other assets (2) N/A 2,839 N/A 1,055 Retained Certificates from VIEs (3)(4)(5)(6) $ 623,149 $ 129,795 Retained interests in VIEs Current Face Fair Value Current Face Fair Value Senior Bonds $ 127,041 $ 129,089 $ 33,072 $ 33,133 Mezzanine Bonds 23,348 21,802 1,117 1,129 Subordinate Bonds 435,265 320,952 51,844 48,372 Interest Only / Excess Servicing Bonds (1)(7) N/A 151,306 N/A 47,161 Retained Certificates from VIEs (3)(4)(5)(6) $ 623,149 $ 129,795 Financing arrangements on retained Certificates from VIEs 415,277 64,826 Retained Certificates from VIEs, net of financing arrangements $ 207,872 $ 64,969 (1) Interest Only securities have no principal balances and bear interest based on a notional value. The notional value is used solely to determine interest distributions on the interest only classes of securities. The Securitized debt in the Non-Agency VIEs and Interest Only/Excess Servicing Bonds line items include interest only classes with a notional value of $3.5 billion and $10.8 billion, respectively. The Securitized debt in the Home Equity VIEs and Interest Only/Excess Servicing Bonds line items include interest only classes with a notional value of $265.1 million and $533.5 million, respectively. (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. We recorded real estate owned within our Non-Agency VIEs at $2.8 million. For Home Equity VIEs, represents cash held in reserve accounts within the Home Equity VIEs and included within our restricted cash. (3) Maximum loss exposure from our involvement with VIEs pertains to the fair value of the Certificates retained from the VIEs. We 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 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 March 31, 2026, there were 11 Non-Agency securitizations with an unpaid principal balance of $2.5 billion that met the criteria for an Optional Redemption. 56 Securitized residential mortgage loans and Residential mortgage loans The following table presents information regarding collateral characteristics of our residential mortgage loans as of March 31, 2026 ($ in thousands). Unpaid Principal Balance Weighted Average (1)(2) Fair Value Loan Count (1) Original LTV Ratio (3) Current FICO (4) Coupon Life (Years) (5) Securitized residential mortgage loans Non-Agency Loans $ 6,728,033 $ 6,543,261 17,787 70.85 % 762 5.84 % 7.30 Home Equity Loans 798,646 864,198 9,849 65.68 % 747 9.80 % 4.42 Re- and Non-Performing Loans 152,632 131,289 1,050 80.22 % 671 4.21 % 5.19 Total Securitized residential mortgage loans $ 7,679,311 $ 7,538,748 28,686 70.50 % 758 6.22 % 6.95 Residential mortgage loans Agency-Eligible Loans $ 20,951 $ 21,487 39 70.82 % 763 6.84 % 4.42 Home Equity Loans 166,703 173,207 1,677 64.06 % 757 8.79 % 4.91 Non-Agency Loans 33,660 32,893 49 76.67 % 636 6.12 % 4.20 Re- and Non-Performing Loans (1) 980 937 N/A N/A N/A N/A 1.09 Total Residential mortgage loans $ 222,294 $ 228,524 1,765 66.62 % 739 8.20 % 4.74 Total as of March 31, 2026 $ 7,901,605 $ 7,767,272 30,451 70.39 % 758 6.27 % 6.89 (1) Loan count and weighted average excludes the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions. (2) Amounts are weighted based on unpaid principal balance. (3) Represents the original LTV or, for Re- and Non-Performing Loans and Non-Agency Loans acquired from WMC, the LTV at acquisition. For Home Equity Loans, represents the combined LTV, which considers the loan balances on a borrower’s first mortgage and related Home Equity Loan. (4) Weighted average current FICO excludes borrowers where FICO scores were not available. Data is based on the latest available information. (5) Weighted average life is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal. See Note 3 to the "Notes to Consolidated Financial Statements (unaudited)" for additional information on credit quality and a breakout of geographic concentration of credit risk within loans we include in the "Securitized residential mortgage loans, at fair value" and "Residential mortgage loans, at fair value" line items on our consolidated balance sheets. Legacy WMC Commercial loans 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. See Note 3 to the "Notes to Consolidated Financial Statements (unaudited)" for information on the status of the Legacy WMC Commercial loans, as well as coupons, weighted average life, geographic concentration, collateral characteristics, LTV, and maturities of the loans we include in the "Commercial loans, at fair value" line item on our consolidated balance sheets. 57 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 March 31, 2026 ($ in thousands). Weighted Average Instrument Current Face Fair Value Coupon (1) Life (Years) (2) Non-Agency RMBS by collateral type: Non-QM Loans (3) $ 53,311 $ 55,690 1.73 % 2.12 Agency-Eligible Loans (3) 42,760 42,309 3.61 % 6.39 Home Equity Loans (3) 106,195 128,849 5.47 % 5.25 Prime Jumbo Loans (3) 4,281 3,309 4.44 % 17.94 Re- and Non-Performing Loans (3) N/A 547 — % 3.04 Total Non-Agency RMBS $ 206,547 $ 230,704 3.18 % 4.16 Legacy WMC CMBS Single-Asset/Single-Borrower - Fixed Rate $ 48,498 $ 25,093 6.11 % 1.80 Single-Asset/Single-Borrower - Floating Rate 19,033 5,844 6.78 % 0.53 Conduit - Fixed Rate 15,042 11,313 4.20 % 3.06 Legacy WMC CMBS (4) $ 82,573 $ 42,250 5.92 % 1.74 Total Non-Agency RMBS and Legacy WMC CMBS $ 289,120 $ 272,954 3.66 % 3.93 Less: Investments in Debt and Equity of Affiliates $ 4,497 $ 9,227 0.60 % 1.72 Total GAAP Non-Agency RMBS and Legacy WMC CMBS $ 284,623 $ 263,727 4.64 % 4.65 (1) Equity residual investments with a zero coupon rate are excluded from this calculation. (2) Weighted average life is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. (3) Interest Only securities have no principal balances and bear interest based on a notional value. The notional value is used solely to determine interest distributions on the interest only classes of securities. The 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 March 31, 2026 (in thousands). Credit Rating (1) Non-Agency RMBS Legacy WMC CMBS AAA $ 89,113 $ — AA 12,379 — A 22,023 — BBB 30,246 — BB 12,283 6,155 B 9,243 1,151 Below B — 34,887 Not Rated 55,417 57 Total Non-Agency RMBS and Legacy WMC CMBS $ 230,704 $ 42,250 Less: Investments in Debt and Equity of Affiliates $ 9,227 $ — Total GAAP Non-Agency RMBS and Legacy WMC CMBS $ 221,477 $ 42,250 (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. 58 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 Geographic Location Concentration Fair Value Geographic Location Concentration Fair Value California 28.8 % $ 66,380 California 40.9 % $ 17,297 Florida 10.0 % 23,061 Minnesota 24.7 % 10,415 New York 6.0 % 13,794 Texas 8.9 % 3,777 Texas 4.0 % 9,144 New York 7.1 % 3,000 Arizona 3.5 % 8,188 Pennsylvania 4.8 % 2,008 Other 47.7 % 110,137 Other 13.6 % 5,753 Total 100.0 % $ 230,704 Total 100.0 % $ 42,250 Agency RMBS 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 March 31, 2026 ($ in thousands). Weighted Average Fair Value CPR (1) Coupon Life (Years) (2) Agency RMBS Interest Only $ 15,660 8.1 % 4.54 % 5.44 (1) Represents the weighted average monthly CPRs published during the period for our in-place portfolio. (2) Weighted average life is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Financing activities We use leverage to finance the purchase of our investment portfolio. 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. The amount borrowed generally is equal to the fair value of the assets pledged less an agreed-upon discount, referred to as a "haircut." The size of the haircut reflects the perceived risk associated with the pledged asset. Haircuts may change as our financing arrangements mature or roll and are sensitive to governmental regulations. Interest rates for our financing arrangements are determined based on prevailing rates (typically a spread over a base rate) corresponding to the terms of the borrowings, and interest is paid on a monthly basis or, for shorter term arrangements, at the end of the term. Repurchase agreements typically have a term of up to one year for loans and a term of 30 to 90 days for securities. Repurchase agreements are generally mark-to-market with respect to margin calls and recourse to us. 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 March 31, 2026. Our financing arrangements generally include customary representations, warranties, and covenants, but may also contain more restrictive supplemental terms and conditions. Although specific to each financing arrangement, typical supplemental terms include requirements of minimum equity and liquidity, leverage ratios, and performance triggers. In addition, some of the financing arrangements contain cross default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders. 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 March 31, 2026, we are in compliance with all of our financial covenants. 59 Securitized Debt As explained in the “Investment Activities” section above, our investment strategy focuses on acquiring and securitizing newly originated residential mortgage loans. In each securitization transaction, a pool of loans is transferred into a newly formed securitization trust. This trust issues Certificates, and we typically sell the senior classes of these Certificates to unrelated third parties. We record “Securitized debt" on our consolidated balance sheet in accordance with U.S. GAAP when we determine that we are the primary beneficiary of the securitization transaction. The proceeds from securitization transactions are used to repay any outstanding financing arrangements initially employed to acquire newly originated residential mortgage loans, replacing recourse financing with mark-to-market margin calls with securitized debt. Securitized debt is generally long-term in nature, non-recourse to us and is not subject to mark-to-market margin calls. Additionally, generally the holders of the securitized debt have no recourse to the general credit of the Company and we have no obligation to provide any other explicit or implicit support to the securitization trusts. Senior Unsecured Notes During 2024, we issued senior unsecured notes which consist of $34.5 million principal amount 9.500% Senior Notes due February 2029 and $65.0 million principal amount 9.500% Senior Notes due May 2029. See Note 6 to the "Notes to Consolidated Financial Statements (unaudited)" for additional information on the Senior Unsecured Notes. Leverage We use leverage to increase potential returns to our stockholders. Our financing strategy is designed to increase the size of our investment portfolio by borrowing against the fair value of the assets in our portfolio. As discussed above, financing arrangements are generally recourse to the Company whereas securitized debt used to finance our Non-Agency VIEs, Home Equity VIEs, and RPL/NPL VIEs is generally non-recourse to the Company. In addition to disclosing GAAP leverage, we also disclose Economic Leverage, which excludes non-recourse financing. Management believes that this non-GAAP measure, when considered with our GAAP financial statements, provides supplemental information useful for investors to help evaluate our use of leverage and the related risk associated with our leverage profile. Our presentation of Economic Leverage 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, GAAP leverage calculated in accordance with GAAP. Our GAAP financial results and the reconciliations from these results should be carefully evaluated. We define GAAP leverage as the sum of (1) Securitized debt, at fair value, (2) Financing arrangements, net of any restricted cash posted on such financing arrangements, (3) Senior Unsecured Notes, and (4) the amount payable on purchases that have not yet settled less the financing remaining on sales that have not yet settled. We define Economic Leverage, a non-GAAP metric, as the sum of our GAAP leverage, exclusive of any fully non-recourse financing arrangements, and our net TBA position (at cost), if any. Our leverage does not include any financing utilized through AG Arc. The calculations in the table below divide GAAP Leverage and Economic Leverage by our GAAP stockholders’ equity to derive our leverage ratios. The following table presents a reconciliation of our Economic Leverage ratio to GAAP Leverage ($ in thousands). March 31, 2026 Leverage Stockholders’ Equity Leverage Ratio Securitized debt, at fair value (1) $ 6,749,708 Financing arrangements (2) 850,231 Senior Unsecured Notes (2) 96,655 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) Economic Leverage $ 939,055 $ 544,396 1.7x (1) Securitized debt, at fair value is non-recourse to the Company. (2) Financing arrangements and senior unsecured notes are recourse to the Company. 60 Hedging activities Subject to maintaining our qualification as a REIT and our Investment Company Act exemption, to the extent leverage is deployed, we may utilize derivative instruments in an effort to hedge the interest rate risk associated with the financing of our portfolio. Specifically, we may seek to hedge our exposure to potential interest rate mismatches between the interest we earn on our investments and our borrowing costs caused by fluctuations in short-term interest rates. We may utilize interest rate swaps, swaption agreements, and other financial instruments such as short positions in to-be-announced securities. In utilizing leverage and interest rate derivatives, our objectives are to improve risk-adjusted returns and, where possible, to lock in, on a long-term basis, a spread between the yield on our assets and the costs of our financing and hedging. Derivatives have not been designated as hedging instruments for GAAP. See Note 7 in the "Notes to Consolidated Financial Statements (unaudited)" for more information. Dividends Federal income tax law generally requires that a REIT distribute annually at least 90% of its REIT ordinary taxable income, without regard to the deduction for dividends paid and excluding net capital gains and that it pay tax at regular corporate rates to the extent that it annually distributes less than 100% of its net taxable income. Before we pay any dividend, whether for U.S. federal income tax purposes or otherwise, we must first meet both our operating requirements and debt service on our financing arrangements and other debt payable. If our cash available for distribution is less than our net taxable income, we could be required to sell assets or borrow funds to make required cash distributions or we may make a portion of the required distribution in the form of a taxable stock distribution or distribution of debt securities. As described above, our distribution requirements are based on taxable income rather than GAAP net income. Differences between taxable income and GAAP net income include (i) unrealized gains and losses associated with investment and derivative portfolios which are marked-to-market in current income for GAAP purposes, but excluded from taxable income until realized or settled, (ii) temporary differences related to amortization of premiums and discounts paid on investments, (iii) the timing and amount of deductions related to stock-based compensation, (iv) temporary differences related to the recognition of realized gains and losses on sold investments and certain terminated derivatives, (v) taxes, and (vi) differences between GAAP income or losses in our TRSs and taxable income resulting from dividend distributions to the REIT from our TRSs. Undistributed taxable income is based on current estimates and is not finalized until we file our annual tax return for that tax year, typically in October of the following year. As of December 31, 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. Liquidity and capital resources Our liquidity determines our ability to meet our cash obligations, including distributions to our stockholders, payment of our expenses, financing our investments and satisfying other general business needs. Our principal sources of cash consist of borrowings under securitized debt and financing arrangements, principal and interest payments we receive on our investment portfolio, cash generated from our operating results, proceeds from the sale of investments, and proceeds from capital market transactions. We typically use cash to repay principal and interest on our securitized debt, financing arrangements and senior unsecured notes, to purchase loans, real estate securities, and other real estate related assets, to make dividend payments on our capital stock, to repurchase our capital stock, and to fund our operations. We may also generate liquidity when restricted cash that was pledged as collateral for clearing and executing trades, derivatives, and financing arrangements becomes unrestricted when the related collateral requirements are exceeded or at the maturity of the derivative or financing arrangement. Refer to "—Margin requirements" below discussing instances where we may use liquidity to meet margin requirements. 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. 61 Margin requirements The fair value of our loans and real estate securities fluctuate according to market conditions. When the fair value of the assets pledged as collateral to secure a financing arrangement decreases to the point where the difference between the collateral fair value and the financing arrangement amount is less than the haircut, our lenders may issue a "margin call," which requires us to post additional collateral to the lender in the form of additional assets or cash. Under our repurchase facilities, our lenders have full discretion to determine the fair value of the securities we pledge to them. Our lenders typically value assets based on recent transactions in the market. Lenders also issue margin calls as the published current principal balance factors change on the pool of mortgages underlying the securities pledged as collateral when scheduled and unscheduled paydowns are announced monthly. 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." The level of liquidity we maintain to meet margin calls is directly affected by our leverage levels, our haircuts and the price changes on our assets. Typically, if interest rates increase or if credit spreads widen, then the prices of our collateral (and our unpledged Agency RMBS that constitute a portion of our liquidity) will decline, we will experience margin calls, and we will need to use our liquidity to meet the margin calls. There can be no assurance that we will maintain sufficient levels of liquidity to meet any margin calls. If our haircuts on existing financing arrangements increase, our liquidity will proportionately decrease. We intend to maintain a level of liquidity in relation to our borrowings that enables us to meet reasonably anticipated margin calls but that also allows us to be substantially invested in the residential mortgage market. We may misjudge the appropriate amount of our liquidity by maintaining excessive liquidity, which would lower our investment returns, or by maintaining insufficient liquidity, which may force us to liquidate assets into potentially unfavorable market conditions and harm our results of operations and financial condition. Similar to the margin calls that we receive on our borrowing agreements, we may also receive margin calls on our derivative instruments when their fair value declines. This typically occurs when prevailing market rates change adversely, with the severity of the change also dependent on the terms of the derivatives involved. We may also receive margin calls on our derivatives based on the implied volatility of interest rates. Our posting of collateral with our counterparties can be done in cash or assets, and is generally bilateral, which means that if the fair value of our interest rate hedges increases, our counterparty will be required to post collateral with us. Refer to the "Liquidity risk – derivatives" section of Item 3 below for a further discussion on margin. Cash flows 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) Net cash provided by (used in) operating activities (1) 20,341 11,997 8,344 Net cash provided by (used in) investing activities (2) 326,897 (314,725) 641,622 Net cash provided by (used in) financing activities (3) (355,837) 293,377 (649,214) Net change in cash and cash equivalents and restricted cash (8,599) (9,351) 752 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 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 62 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. The extent to which we repurchase our shares, and the timing, manner, price, and amount of any such repurchases, will depend upon a variety of factors including market conditions and other corporate considerations as determined by management, as well as the limits of the 2022 Repurchase Program and our liquidity and business strategy. 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 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. As of the date of this filing, the full $15.0 million authorized amount remains available for repurchase under the 2023 Repurchase Program. This authorization is in addition to the amount remaining under the 2022 Repurchase Program. On February 22, 2021, our Board of Directors authorized a stock repurchase program (the "Preferred Repurchase Program") pursuant to which our Board of Directors granted a repurchase authorization to acquire shares of our Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock having an aggregate value of up to $20.0 million. No share repurchases under the Preferred Repurchase Program have been made since its authorization. Shares of stock repurchased by us under any repurchase program, if any, will be cancelled and, until reissued by us, will be deemed to be authorized but unissued shares of our stock as required by Maryland law. The cost of the acquisition by us of shares of our own stock in excess of the aggregate par value of the shares first reduces additional paid-in capital, to the extent available, with any residual cost applied against retained earnings. Equity distribution agreements On November 6, 2024, we entered into separate equity distribution agreements (the "2024 Equity Distribution Agreements") with each of BTIG, LLC, JonesTrading Institutional Services LLC, Keefe, Bruyette & Woods, Inc. and Piper Sandler & Co. (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. 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 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 Based upon our current portfolio, leverage and available borrowing arrangements, we believe the net proceeds of our common equity offerings, preferred equity offerings, senior unsecured note issuances, and private placements, combined with cash flow from operating activities, financing activities, and our available borrowing capacity will be sufficient to enable us to meet our anticipated liquidity requirements, including funding our investment activities, paying fees under our management agreement, funding our distributions to stockholders, funding financing maturities, and paying general corporate expenses. Contractual obligations Management agreement 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. 63 Management fee The management fee is calculated and payable quarterly in arrears in an amount equal to 1.50% of our Stockholders’ Equity, per annum. For purposes of calculating the management fee, "Stockholders’ Equity" means the sum of the net proceeds from any issuances of equity securities (including preferred securities) since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance, and excluding any future equity issuance to the Manager), plus our retained earnings at the end of such quarter (without taking into account any non-cash equity compensation expense or other non-cash items described below incurred in current or prior periods), less any amount that we pay for repurchases of our common stock, excluding any unrealized gains, losses or other non-cash items that have impacted stockholders’ equity as reported in our financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP, and certain other non-cash charges after discussions between the Manager and our independent directors and after approval by a majority of our independent directors. 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 months ended March 31, 2026 and 2025 (in thousands). Three Months Ended Consolidated statements of operations line item: March 31, 2026 March 31, 2025 Management fee to affiliate $ 2,319 $ 2,327 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. Incentive fee The Manager is entitled to an annual incentive fee with respect to each applicable fiscal year, which will be equal to 15% of the amount by which our cumulative adjusted net income from November 22, 2021 exceeds the cumulative hurdle amount, which represents an 8% return (cumulative, but not compounding) on an equity hurdle base consisting of the sum of (i) $341.5 million and (ii) the gross proceeds of any subsequent public or private common stock offerings by us. 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 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 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. 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. 64 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: March 31, 2026 March 31, 2025 Non-investment related expenses $ 1,446 $ 1,839 Investment related expenses 142 200 Transaction related expenses 75 260 Expense reimbursements to Manager or its affiliates $ 1,663 $ 2,299 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 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 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 March 31, 2026. Off-balance sheet arrangements Our investments in debt and equity of affiliates primarily consist of real estate securities and our interest in AG Arc. Investments in debt and equity of affiliates are accounted for using the equity method of accounting. Certain of our investments in debt and equity of affiliates securitize residential mortgage loans and retain interests in the subordinated tranches of the transferred assets. These retained interests are included in the MATT Non-QM Securities and Re/Non-Performing Securities line items of our investment portfolio. See Note 10 to the "Notes to Consolidated Financial Statements (unaudited)" for a discussion of investments i n debt and equity of affiliates. 65 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 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 We prepare our consolidated financial statements in conformity with GAAP, which requires the use of estimates and assumptions that affect reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the amounts of income and expenses during the reporting period. These estimates are based, in part, on our judgment and assumptions regarding various economic conditions that we believe are reasonable based on facts and circumstances existing at the time of reporting. 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 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 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, and (vi) Investment consolidation. 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. A discussion of critical accounting policies and estimates is included in our Form 10-K. Our critical accounting policies and estimates have not materially changed since December 31, 2025. REIT Qualification We have elected to be treated as a REIT under Sections 856 through 859 of the Internal Revenue Code of 1986, as amended (the "Code"). Our qualification as a REIT depends upon our ability to meet on a continuing basis, through actual investment and operating results, various complex requirements under the Code relating to, among other things, the sources of our gross income, the composition and values of our assets, our distribution levels and the diversity of ownership of our shares. We believe that we are organized in conformity with the requirements for qualification and taxation as a REIT under the Code, and that our manner of operation enables us to meet the requirements for qualification and taxation as a REIT. We generally need to distribute at least 90% of our ordinary taxable income each year (subject to certain adjustments) to our stockholders in order to qualify as a REIT under the Code. Our ability to make distributions to our stockholders depends, in part, upon the performance of our investment portfolio. As a REIT, we generally are not subject to U.S. federal income tax on our REIT taxable income that we distribute currently to our stockholders. If we fail to qualify as a REIT in any taxable year and do not qualify for certain statutory relief provisions, we will be subject to U.S. federal income tax at regular corporate rates and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year during which we lost our REIT qualification. Accordingly, our failure to qualify as a REIT could have a material adverse impact on our results of operations and our ability to pay distributions, if any, to our stockholders. Even if we qualify for taxation as a REIT, we may be subject to some U.S. federal, state and local taxes on our income or property. In addition, any income earned by a domestic taxable REIT subsidiary, or TRS, will be subject to corporate income taxation. Investment Company Act Exemption We conduct our business so as to maintain our exempt status under, and not to become regulated as an investment company for purposes of, the Investment Company Act. Under Section 3(a)(1)(A) of the Investment Company Act, a company is an investment company if it is, or holds itself out as being, engaged primarily, or proposes to engage primarily, in the business of investing, reinvesting or trading in securities. Under Section 3(a)(1)(C) of the Investment Company Act, a company is deemed to be an investment company if it is engaged, or proposes to engage, in the business of investing, reinvesting, owning, holding or trading in securities and owns or proposes to acquire "investment securities" having a value exceeding 40% of the value of its total assets (exclusive of U.S. government securities and cash items) on an unconsolidated basis (the "40% Test"). "Investment securities" do not include, among other things, U.S. government securities, and securities issued by majority-owned subsidiaries 66 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. Rather, through wholly-owned or majority-owned subsidiaries, we are primarily engaged in the non-investment company businesses of these subsidiaries, namely the real estate finance business of purchasing or otherwise acquiring mortgage loans and other interests in real estate. We currently have several subsidiaries that rely on the exclusion provided by Section 3(c)(7) of the Investment Company Act, each a "3(c)(7) subsidiary." In addition, we currently have several subsidiaries that rely on the exclusion provided by Section 3(c)(5)(C) of the Investment Company Act, each a "3(c)(5)(C) subsidiary." While investments in 3(c)(7) subsidiaries are considered investment securities for the purposes of the 40% Test, investments in 3(c)(5)(C) subsidiaries are not considered investment securities for the purposes of the 40% Test, nor are investments in subsidiaries that rely on the exclusion provided by Section 3(a)(1)(C). Therefore, our investments in 3(c)(7) subsidiaries and other investment securities cannot exceed 40% of the value of our total assets (excluding U.S. government securities and cash) on an unconsolidated basis. Section 3(c)(5)(C) of the Investment Company Act exempts from the definition of "investment company" entities primarily engaged in the business of purchasing or otherwise acquiring mortgages and other liens on and interests in real estate. The SEC staff generally requires an entity relying on Section 3(c)(5)(C) to invest at least 55% of its portfolio in "qualifying assets" and at least another 25% in additional qualifying assets or in "real estate-related assets" (with no more than 20% comprised of miscellaneous assets). Both the 40% Test and the requirements of the Section 3(c)(5)(C) exclusion limit the types of businesses in which we may engage and the types of assets we may hold, as well as the timing of sales and purchases of assets. For example, these restrictions limit our and our 3(c)(5)(C) subsidiaries’ ability to invest directly in Agency RMBS that represent less than the entire ownership in a pool of mortgage loans or debt and equity tranches of Non-Agency RMBS (in each case to the extent such interest are not retained interest in securitizations consisting of mortgage loans that were owned by us and such securitizations were not sponsored by us in order to obtain financing to acquire additional mortgage loans), certain real estate companies and assets not related to real estate. The determination that we qualify for this exemption from being regulated as an investment company depends on various factual matters and circumstances. We closely monitor our holdings to ensure continuing and ongoing compliance with these tests. If we failed to comply with the 40% Test or another exemption under the Investment Company Act and became regulated as an investment company, our ability to, among other things, use leverage would be substantially reduced and, as a result, we would be unable to conduct our business as described in this report. 67