What changed in this filing

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Item 2. Management’s Discussion and Analysis

2026-08-10 compared with 2026-05-01 · 343 added, 190 removed, 654 unchanged (45% of the section changed)

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• our ability to qualify for an exemption from registration under the Investment Company Act of 1940, as amended (the "Investment Company Act");

• our ability to successfully complete our proposed merger with Cherry Hill Mortgage Investment Corporation and/or realize all of the expected benefits or that such benefits may take longer to realize than expected (including because we incur significant costs associated with such merger).

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.

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

First Quarter 2026 Executive Summary

Second Quarter 2026 Executive Summary

Financial Highlights

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• 13.4x GAAP Leverage Ratio and 1.8x Economic Leverage Ratio;

• $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.

• $0.24 dividend per common share declared in the second quarter 2026.

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).

• The table below summarizes the fair value of purchases and proceeds from sales of investments during the quarter ended June 30, 2026 (in thousands).

Investment Purchases Sales

Agency-Eligible Loans $ 486 $ —

Non-Agency Loans $ — $ 25,585

Re/Non-Performing Loans — 746

Home Equity Loans 70,147 —

Non-Agency RMBS (1)

Agency RMBS — 522

Total $ 107,884 $ 26,853

(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.

(1) During the quarter, we partnered with private funds managed by TPG to execute two rated securitizations collateralized by $429.6 million and $333.4 million of Non-Agency Loans, respectively.

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.

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

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;

• 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.

• Pledged certain Home Equity Loans with a fair value of $63.5 million in which we have no outstanding financing but have $50 million of available financing which is contractually committed as of June 30, 2026;

• Amended a financing arrangement to convert financing on our residential mortgage loans with a total borrowing capacity of $300 million from financing with mark-to-market margin calls to financing without mark-to-market margin calls.

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

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

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

We obtain our assets through Arc Home, LLC ("Arc Home"), our residential mortgage loan originator in which we own an approximate 66.0% interest as of June 30, 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.

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

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

As of June 30, 2026, our investment portfolio consisted of the following Residential Investments and Agency RMBS:

Asset Class Description

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

Proposed Cherry Hill Mortgage Investment Corporation Merger

As previously announced, we entered into an Agreement and Plan of Merger, dated as of August 9, 2026 (the “Merger Agreement”), with Cherry Hill Mortgage Investment Corporation, a Maryland corporation (“CHMI”), Cherry Hill Operating Partnership, LP, a Delaware limited partnership, MIT Merger Sub II, LLC, a Delaware limited liability company and our wholly owned subsidiary (“Merger Sub”), and, solely for the limited purposes set forth in the Merger Agreement, our Manager.

Pursuant to, and subject to the terms and conditions set forth in, the Merger Agreement, CHMI will merge with and into Merger Sub, with Merger Sub surviving (the “Merger”).

Under the terms of the Merger Agreement, at the effective time of the Merger (the “Effective Time”), each outstanding share of CHMI common stock will be converted into the right to receive the following (the “Per Share Merger Consideration”):

(1)(a) 0.3063 shares of our common stock pursuant to a fixed exchange ratio and (b) $0.41 per share in cash, without interest, from us;

and (2) $0.52 per share in cash from our Manager (acting solely on its own behalf), as additional consideration.

In addition, each share of CHMI 8.20% Series A Cumulative Redeemable Preferred Stock outstanding immediately prior to the Effective Time shall be converted into the right to receive one newly issued share of MITT 8.20% Series D Cumulative Redeemable Preferred Stock (“MITT Series D Preferred Stock”).

Also, each share of CHMI 8.250% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock outstanding immediately prior to the Effective Time shall automatically be converted into the right to receive one newly issued share of MITT Series E Floating Rate Cumulative Redeemable Preferred Stock (“MITT Series E Preferred Stock”).

The MITT Series D Preferred Stock and MITT Series E Preferred Stock shall have the rights, preferences, privileges and voting powers substantially the same as those of the CHMI Series A Preferred Stock and CHMI Series B Preferred Stock, respectively.

In the Merger Agreement, we have agreed to take all necessary corporate action so that upon and after the Effective Time, the size of our board of directors is increased by two members, and the members of the CHMI board of directors designated by CHMI to serve on our board of directors (“CHMI Director Designees”) are appointed to our board of directors.

We have further agreed to nominate the CHMI Director Designees to the Company’s board of directors at the next annual meeting following the Effective Time.

The Merger is expected to close in the fourth quarter of 2026, subject to the respective approvals by our stockholders and CHMI’s stockholders and other customary closing conditions set forth in the Merger Agreement.

In connection with the execution of the Merger Agreement, AG MIT, LLC, one of our subsidiaries, also entered into a Voting and Support Agreement with CHMI (the “Voting Agreement”).

Pursuant to the Voting Agreement, among other things, AG MIT, LLC agreed to vote all shares of CHMI common stock owned of record or beneficially held by AG MIT, LLC, consisting of 734,800 shares, in favor of the approval of the Merger Agreement and the Merger, subject to the terms thereof.

Our Manager and TPG Angelo Gordon

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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.

During the second quarter of 2026, the Federal Reserve underwent a significant shift in leadership.

On May 22, 2026, Kevin Warsh became the new Chairman of the Federal Reserve, succeeding Jerome Powell.

Chairman Warsh has adopted an anti-inflationary posture, signaling a heightened commitment to returning inflation to the Federal Reserve’s 2% target after years of elevated levels.

At the June 2026 Federal Open Market Committee meeting, the Committee held the federal funds target range steady at 3.50% to 3.75%, however transitioned from its previous patient approach in favor of a more hawkish outlook.

Throughout the quarter, the labor market proved resilient as the unemployment rate fell to 4.2% in June, further complicating the disinflation narrative even as headline CPI slowed to 3.5%.

Persistent geopolitical volatility added to inflation uncertainty as the war between the United States, Israel, and Iran failed to reach a lasting resolution.

By quarter end, market expectations for the Fed Funds rate experienced a significant repricing, shifting from anticipating rate cuts to implying nearly two hikes by year-end.

The Treasury market responded with a move to higher nominal rates and a flatter yield curve.

The yield on the 2-year U.S.

Treasury note rose to 4.20% from 3.81% at the start of the quarter, while the 10-year Treasury yield increased to 4.47% from 4.32%.

As a result, the spread between the 2-year and 10-year U.S.

Treasuries compressed to approximately 27 basis points, down from 51 basis points at the end of the first quarter.

Reflecting the rise in benchmark yields, the 30-year fixed mortgage rate continued to face upward pressure, ending the quarter at approximately 6.5%, further dampening mortgage application volumes and refinancing activity.

RMBS spreads tightened during the second quarter, bringing spreads overall tighter year-to-date.

Non-QM spreads for AAA tranches were approximately 10 basis points tighter while the remaining rated tranches were between 20 to 60 basis points tighter during the quarter.

Senior prime jumbo spreads were approximately 10 basis points tighter and other investment grade prime jumbo tranches tightened roughly 10 to 20 basis points.

Investment grade closed-end second lien spreads were 15 to 25 basis points tighter throughout the capital structure.

Primary RMBS market activity slightly declined in the second quarter to $60 billion, a 5% quarterly decline however, a robust 16% annual increase.

The run rate based on the pace of issuance during the first half of the year would bring annual issuance to approximately $250 billion which would exceed $210 billion in 2025.

Issuance during the first six months of the year has already exceeded annual issuance in 2020 and is closing in on 2022, with the prior most active post-GFC issuance vintage being 2021 which totaled $219 billion.

For the second quarter, the most active sector continues to be Non-QM at $28 billion, followed by Prime/Agency-Eligible at $14 billion and Home Equity at $8 billion.

This quarter’s annual growth was largely driven by Non-QM, an increase of approximately $10 billion, and Home Equity, an increase of approximately $3.5 billion.

Non-QM comprised the bulk of the second quarter’s activity at 47% with Prime/Agency-Eligible and Home Equity following at 24% and 13%, respectively.

Securitizations of Re-performing loans and Non-performing loans were each 4% of the second quarter’s issuance and other sectors such as residential transition loans, also known as fix-and-flip loans, and single-family rental comprised the balance.

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

National Home Price Index was 0.9% higher year-over-year in January 2026, the latest data available, about 1.5% lower than the peak established in June 2025.

Regional price variations continued to exist, and on an

annual basis, metros in the Northeast and Midwest continued to lead gains while regions in Southeast, Texas and the Mountain West have been weaker.

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

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

On the other hand, regions in California were mixed.

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

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

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

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

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

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

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

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

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

While this suggests some thawing of the mortgage lock-in effect, or disincentive for existing homeowners to sell their homes because their current mortgage rate is well below current market rates, this rate is up only 21 basis points from the start of 2025, showing the stickiness of low-rate borrowers staying in place and reduced housing activity.

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

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

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

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

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

Presentation of investment, financing and hedging activities

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.

• 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.

National Home Price Index was 0.8% higher year-over-year in April 2026, the latest data available.

The Index established a new peak that just eclipsed the previous set in June 2025.

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

Chicago area home prices led annual gains at 5.8%.

New York City followed at 5% with Cleveland and Detroit each higher by 4.1% and Boston rising 2.9%.

On the other hand, regions in California were mixed, with Los Angeles and San Francisco increasing annually by 10 basis points and 30 basis points, respectively, and San Diego declining 60 basis points compared to April 2025.

Denver and Dallas fell by 1.3% and 1.5%, respectively.

In the Southeast, Atlanta fell 10 basis points while Miami and Tampa were 1.1% and 4.2% lower, respectively, 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 since baseline 2019 have had weaker home price gains, and vice versa.

According to the Freddie Mac Primary Mortgage Market Survey, prevailing mortgage rates increased from the low-to-mid 6% range in April to 6.5% by quarter end, and continued to trend upward through July 2026, reaching 6.6%.

Conforming and jumbo loan interest rate locks have mirrored Freddie Mac’s survey rate, though jumbo locks have held higher than conforming and were as high as 6.8% in mid-July 2026.

The increase in the rate on outstanding mortgage debt continued to stabilize, rising just another 4 basis points to 4.28% as of the first quarter of 2026, the latest data available, roughly 225 to 235 basis points lower than prevailing rates.

This rate is almost 100 basis points higher than the 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 has increased only 25 basis points from the start of the 2025, showing the stickiness of low-rate borrowers staying in place and reduced housing activity.

Total existing home inventory was relatively steady in the second quarter, seasonally rising from 1.5 million in April to 1.56 million in June, the latest data available, roughly in-line with year-ago levels.

Existing home inventory in 2026 has been slightly higher than 2025.

While running at the highest levels since 2020, averaging 1.3 to 1.6 million for most of this year and last year, these levels hardly breach the typical inventory levels of 1.5 to 2 million units from 2016 to 2019 and well below the range of 1.7 to 2.5 million units from 2000 to 2004, periods with a smaller count of U.S.

When evaluating new listings, which are a timelier barometer of home sale activity, only 2.3 million new listings came to market in the first half of 2026, in line with the second half of 2024 and 2025.

By comparison, new listings in the first half averaged nearly 3 million units during 2015 through 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 through 2019 as well as the pandemic-affected periods of 2020 through 2022, underscoring the limited supply theme.

Book value per share

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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

June 30, 2026 December 31, 2025

Stockholders’ Equity $ 546,004 $ 560,734

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

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 June 30, 2026 compared to the Three Months Ended June 30, 2025

The table below presents certain information from our consolidated statements of operations for the three months ended June 30, 2026 and 2025 (in thousands).

Three Months Ended

March 31, 2026 March 31, 2025 Change

June 30, 2026 June 30, 2025 Change

Statement of Operations Data:

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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).

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

Interest income increased from the three months ended June 30, 2025 to the three months ended June 30, 2026 primarily due to a higher weighted average amortized cost of our 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 investment portfolio ($ in millions).

Three Months Ended

March 31, 2026 March 31, 2025 Change

Weighted average amortized cost of our GAAP investment portfolio

June 30, 2026 June 30, 2025 Change

Weighted average amortized cost of our investment portfolio

$ 8,201 $ 7,365 $ 836

Weighted average yield on our GAAP investment portfolio 6.08 % 6.07 % 0.01 %

Weighted average yield on our investment portfolio 6.06 % 6.02 % 0.04 %

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).

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

Interest expense increased from the three months ended June 30, 2025 to the three months ended June 30, 2026 due to a higher weighted average financing balance outstanding resulting primarily from the issuance of securitized debt during the period.

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

Three Months Ended

March 31, 2026 March 31, 2025 Change

Weighted average GAAP financing balance

June 30, 2026 June 30, 2025 Change

Weighted average financing balance

$ 7,728 $ 6,909 $ 819

Weighted average financing rate on our GAAP investment portfolio 5.42 % 5.35 % 0.07 %

Weighted average financing rate on our investment portfolio 5.38 % 5.39 % 0.01 %

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).

We recorded income on the net interest component of interest rate swaps during the three months ended June 30, 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 June 30, 2025 to the three months ended June 30, 2026 was the result of a decrease in the weighted average receive rate.

Three Months Ended

March 31, 2026 March 31, 2025 Change

June 30, 2026 June 30, 2025 Change

Net weighted average interest rate swap notional value

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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).

The following table presents a summary of Net realized gain/(loss) for the three months ended June 30, 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

June 30, 2026 June 30, 2025

Sales of residential mortgage loans and loans transferred to or sold from Other assets $ (1,799) $ (697)

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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).

The following table presents a summary of Net unrealized gain/(loss) for the three months ended June 30, 2026 and 2025 (in thousands).

Three Months Ended

March 31, 2026 March 31, 2025

June 30, 2026 June 30, 2025

Residential mortgage loans $ (10,635) $ (11,500)

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Other assets (145) —

Loan purchase commitments — 424

Derivatives 4,259 (158)

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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).

The following table presents a summary of our non-investment related expenses for the three months ended June 30, 2026 and 2025 (in thousands).

Three Months Ended

March 31, 2026 March 31, 2025

June 30, 2026 June 30, 2025

Affiliate reimbursement (1) $ 1,183 $ 1,304

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See the "Contractual obligations" section of this Item 2 for further detail.

(2) We did not recognize any excise tax during the three months ended June 30, 2026.

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

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.

The following table presents a summary of our investment related expenses for the three months ended June 30, 2026 and 2025 (in thousands).

These expenses increased from the three months ended June 30, 2025 to the three months ended June 30, 2026 primarily due to an increase in our GAAP residential mortgage loan portfolio.

Three Months Ended

March 31, 2026 March 31, 2025

June 30, 2026 June 30, 2025

Affiliate reimbursement (1) $ 216 $ 95

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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.

During the three months ended June 30, 2026, the expenses were related to purchases of residential mortgage loans.

During the three months ended June 30, 2025, the expenses were primarily related to the execution of one rated securitization.

Equity in earnings/(loss) from affiliates

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Three Months Ended

March 31, 2026 March 31, 2025

June 30, 2026 June 30, 2025

MATT Non-QM Securities $ (444) $ 268

2 unchanged sentences

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%.

2 unchanged sentences

Three Months Ended

March 31, 2026 March 31, 2025

June 30, 2026 June 30, 2025

Interest income $ 173 642

1 unchanged sentence

Total Net Interest Income (1) 173 642

Other Income/(Loss)

Net unrealized gain/(loss) (564) (318)

1 unchanged sentence

Total MATT Non-QM Securities and Re/Non Performing Securities (2) (446) 268

AG Arc Earnings/(Loss)

Net operating income/(loss) from AG Arc (1) (3) 1,163 (130)

1 unchanged sentence

Unrealized gain/(loss) on investment in AG Arc (4) (280) —

Total AG Arc Earnings/(Loss) 715 (37)

Equity in earnings/(loss) from affiliates

(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 June 30, 2026, the fair value of our investment in Arc Home was calculated using a valuation multiple of 1.05x of book value, which was consistent with the valuation multiple as of March 31, 2026.

We recognized an unrealized loss related to our investment in AG Arc during the three months ended June 30, 2026 as a result of a distribution received from AG Arc of $6.6 million.

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

Income tax expense

Income tax expense for the three months ended June 30, 2026 relates to taxable income recognized on investments in residential mortgage loans held within our taxable REIT subsidiary.

During the three months ended June 30, 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%.

Six Months Ended June 30, 2026 compared to the Six Months Ended June 30, 2025

The table below presents certain information from our consolidated statements of operations for the six months ended June 30, 2026 and 2025 (in thousands).

Six Months Ended

June 30, 2026 June 30, 2025 Change

Statement of Operations Data:

Net Interest Income

Interest income $ 253,963 $ 219,995 $ 33,968

Interest expense 213,077 183,394 29,683

Total Net Interest Income 40,886 36,601 4,285

Other Income/(Loss)

Net interest component of interest rate swaps 698 1,558 (860)

Net realized gain/(loss) (1,962) (3,484) 1,522

Net unrealized gain/(loss) (12,038) 762 (12,800)

Total Other Income/(Loss) (13,302) (1,164) (12,138)

Management fee to affiliate 4,630 4,628 2

Non-investment related expenses 4,962 5,787 (825)

Investment related expenses 8,518 6,883 1,635

Transaction related expenses 666 4,079 (3,413)

Total Expenses 18,776 21,377 (2,601)

Income/(loss) before equity in earnings/(loss) from affiliates 8,808 14,060 (5,252)

Equity in earnings/(loss) from affiliates 2,269 1,416 853

Income/(Loss) before Income Taxes 11,077 15,476 (4,399)

Income tax expense 370 54 316

Net Income/(Loss) 10,707 15,422 (4,715)

Dividends on preferred stock 10,330 10,625 (295)

Net Income/(Loss) Available to Common Stockholders $ 377 $ 4,797 $ (4,420)

Interest income

Interest income increased from the six months ended June 30, 2025 to the six months ended June 30, 2026 primarily due to a higher weighted average amortized cost of our investment portfolio as a result of purchases of residential mortgage loans and Non-Agency RMBS and an increase in the weighted average yield of our investment portfolio.

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

Six Months Ended

June 30, 2026 June 30, 2025 Change

Weighted average amortized cost of our investment portfolio

$ 8,367 $ 7,281 $ 1,086

Weighted average yield on our investment portfolio 6.07 % 6.04 % 0.03 %

Interest expense

Interest expense increased from the six months ended June 30, 2025 to the six months ended June 30, 2026 due to a higher weighted average financing balance outstanding resulting from the issuance of securitized debt.

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 investment portfolio ($ in millions).

Six Months Ended

June 30, 2026 June 30, 2025 Change

Weighted average financing balance

$ 7,895 $ 6,829 $ 1,066

Weighted average financing rate on our investment portfolio 5.40 % 5.37 % 0.03 %

Net interest component of interest rate swaps

We recorded income on the net interest component of interest rate swaps during the six months ended June 30, 2026 and 2025 as a result of our swap portfolio being in a net receive position.

The decrease in income from the six months ended June 30, 2025 to the six months ended June 30, 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 six months ended June 30, 2026 and 2025 ($ in millions).

Six Months Ended

June 30, 2026 June 30, 2025 Change

Net weighted average interest rate swap notional value

$ 402 $ 369 $ 33

Net weighted average (pay)/receive rate

0.35 % 0.84 % (0.49) %

Net realized gain/(loss)

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

Six Months Ended

June 30, 2026 June 30, 2025

Sales of residential mortgage loans and loans transferred to or sold from Other assets $ (1,973) $ (1,707)

Sales of real estate securities (45) 169

Settlement of derivatives and other instruments 56 (1,946)

Total Net realized gain/(loss) $ (1,962) $ (3,484)

Net unrealized gain/(loss)

The following table presents a summary of Net unrealized gain/(loss) for the six months ended June 30, 2026 and 2025 (in thousands).

Six Months Ended

June 30, 2026 June 30, 2025

Residential mortgage loans $ (90,356) $ 96,257

Commercial loans (1,860) (2,455)

Real estate securities (2,341) 5,130

Securitized debt 76,636 (92,032)

Other assets (234) —

Loan purchase commitments — 424

Derivatives 6,117 (6,562)

Total Net unrealized gain/(loss) $ (12,038) $ 762

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 six months ended June 30, 2026 and 2025 (in thousands).

Six Months Ended

June 30, 2026 June 30, 2025

Affiliate reimbursement (1) $ 2,629 $ 3,143

Professional fees 650 870

D&O insurance 510 510

Directors' fees and equity based compensation 550 613

Excise tax expense (2) — 43

Other 623 608

Total Non-investment related expenses $ 4,962 $ 5,787

(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.

(2) We did not recognize any excise tax during the six months ended June 30, 2026.

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

Investment related expenses

The following table presents a summary of our investment related expenses for the six months ended June 30, 2026 and 2025 (in thousands).

These expenses increased from the six months ended June 30, 2025 to the six months ended June 30, 2026 primarily due to an increase in our GAAP residential mortgage loan portfolio.

Six Months Ended

June 30, 2026 June 30, 2025

Affiliate reimbursement $ 358 $ 295

Servicing fees 5,181 3,950

Residential mortgage loan asset management fees 1,031 1,079

Trustee and bank fees 1,299 1,178

Other 649 381

Total Investment related expenses $ 8,518 $ 6,883

Transaction related expenses

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

However, during the six months ended June 30, 2026, the expenses primarily consisted of $0.2 million related to legacy WMC commercial loans expenses, $0.2 million related to the expenses associated with our “at-the-market” equity offering program, and $0.1 million related to purchases of residential mortgage loans.

During the six months ended June 30, 2025, the expenses were primarily related to the execution of rated securitizations.

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).

Six Months Ended

June 30, 2026 June 30, 2025

MATT Non-QM Securities $ (718) $ 197

Re/Non-Performing Securities (40) (120)

AG Arc (1) 3,027 1,339

Equity in earnings/(loss) from affiliates

$ 2,269 $ 1,416

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

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

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

Six Months Ended

June 30, 2026 June 30, 2025

Interest income $ 541 $ 1,326

Interest expense — 3

Total Net Interest Income (1) 541 1,323

Net unrealized gain/(loss) (1,214) (1,149)

Other operating expenses (1) 85 97

Total MATT Non-QM Securities and Re/Non Performing Securities (2) (758) 77

Net operating income/(loss) from AG Arc (1) (3) 2,439 (20)

Other income/(loss) from AG Arc (3) (257) 44

Unrealized gain/(loss) on investment in AG Arc (4) 851 1,403

Elimination of gains on loans sold from AG Arc to MITT (1) (5) (6) (88)

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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.

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

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

(4) As of 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.

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

(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.

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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.

Income tax expense for the six months ended June 30, 2026 relates to taxable income recognized on investments in residential mortgage loans held within our taxable REIT Subsidiary.

During the six months ended June 30, 2025, tax expense represented minimum state and local tax filing fees.

Dividends on Preferred Stock

8 unchanged sentences

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

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.

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

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

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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).

A reconciliation of "Net Income/(loss) available to common stockholders" to EAD for three and six months ended June 30, 2026 and 2025 is set forth below (in thousands, except per share data).

Three Months Ended

March 31, 2026 March 31, 2025

Six Months Ended

June 30, 2026 June 30, 2025 June 30, 2026 June 30, 2025

Net Income/(loss) available to common stockholders $ 9,092 $ (1,376) $ 377 $ 4,797

5 unchanged sentences

EAD from equity method investments (2) 1,281 456 2,889 1,118

Dollar roll income/(loss) — (111) — (111)

Earnings available for distribution $ 7,736 $ 5,351 $ 15,863 $ 11,333

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Three Months Ended

Six Months Ended

Consolidated statements of operations line item:

March 31, 2026 March 31, 2025

June 30, 2026 June 30, 2025 June 30, 2026 June 30, 2025

Transaction related expenses $ 92 $ 3,018 $ 666 $ 4,079

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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

Three Months Ended Six Months Ended

June 30, 2026 June 30, 2025 June 30, 2026 June 30, 2025

Net interest income $ 173 $ 642 $ 541 $ 1,323

17 unchanged sentences

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.

Net interest margin is calculated by subtracting the weighted average cost of funds from the weighted average yield for our investment portfolio.

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.

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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.

The cost of funds is weighted by the outstanding financing arrangements on our investment portfolio, 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.

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Investment portfolio

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

The following table presents a summary of our Investment Portfolio, inclusive of net interest margin and leverage ratios, as of June 30, 2026 ($ in thousands).

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

18 unchanged sentences

Interest Rate Swaps (j) 11,211 0.28 %

Investments in Debt and Equity of Affiliates

Arc Home 46,435

Senior Unsecured Notes (96,655) 10.61 %

Securities (k) 8,345 6.03 %

Other Assets/Liabilities 225

Senior Unsecured Notes (c) (96,858) 10.61 %

Non-Interest Earning Assets, net 21,294

Total Stockholders' Equity $ 546,004 1.8x

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

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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.

The leverage ratio on our 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.

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

(k) Represents certain investments recorded in the “Investments in debt and equity of affiliates” line item on our consolidated balance sheets which are collateralized by MATT Non-QM Securities and Re/Non-Performing Securities.

Securitized Non-Agency Loans and Home Equity Loans

2 unchanged sentences

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.

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.

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

The following table summarizes our Securitized residential mortgage loans and Securitized debt, as well as the economic interest on retained Certificates related to our Non-Agency VIEs and Home Equity VIEs as of March 31, 2026 (in thousands).

Non-Agency VIEs Home Equity VIEs

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(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.

As of June 30, 2026, there were 11 Non-Agency securitizations with an unpaid principal balance of $2.4 billion that met the criteria for an Optional Redemption.

Securitized residential mortgage loans and Residential mortgage loans

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

The following table presents information regarding collateral characteristics of our residential mortgage loans as of June 30, 2026 ($ in thousands).

Unpaid Principal Balance Weighted Average (1)(2)

11 unchanged sentences

Total Residential mortgage loans $ 253,882 $ 262,285 2,425 65.28 % 753 8.65 % 4.73

Total as of March 31, 2026

Total as of June 30, 2026

$ 7,526,027 $ 7,381,460 29,617 70.31 % 750 6.24 % 6.95

10 unchanged sentences

Legacy WMC Commercial loans

As of March 31, 2026, the borrowers of the Legacy WMC Commercial loans were in maturity default.

As of June 30, 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.

1 unchanged sentence

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).

The following table presents the fair value, coupon, and weighted average life of our Non-Agency RMBS and Legacy WMC CMBS portfolios as of June 30, 2026 ($ in thousands).

Weighted Average

5 unchanged sentences

Prime Jumbo Loans 4,281 3,349 4.43 % 17.75

Re- and Non-Performing Loans (3) N/A 547 — % 3.04

Total Non-Agency RMBS $ 232,656 $ 251,845 3.92 % 4.80

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Total Non-Agency RMBS and Legacy WMC CMBS $ 314,729 $ 294,539 4.31 % 4.45

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.

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

The notional value of interest only classes included in the Non-QM Loans, Agency-Eligible Loans, Home Equity Loans, and Re- and Non-Performing Loans line items was $278.0 million, $37.8 million, $290.8 million, and $0.7 million, respectively.

The notional value of interest only classes included in the Non-QM Loans, Agency-Eligible Loans, and Home Equity Loans items was $134.7 million, $35.7 million, and $273.8 million, respectively.

(4) There are Legacy WMC CMBS with an unpaid principal balance of $23.5 million and a fair value of $4.9 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).

The following table presents the fair value of our Non-Agency RMBS and Legacy WMC CMBS by credit rating as of June 30, 2026 (in thousands).

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

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Total Non-Agency RMBS and Legacy WMC CMBS $ 251,845 $ 42,694

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.

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).

The following table presents the geographic concentration of the underlying collateral for our Non-Agency RMBS and Legacy WMC CMBS portfolios as of June 30, 2026 ($ in thousands).

Non-Agency RMBS Legacy WMC CMBS

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Texas 4.3 % 10,742 New York 6.9 % 2,933

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

New Jersey 3.7 % 9,266 Pennsylvania 4.4 % 1,870

Other 47.6 % 119,916 Other 13.0 % 5,572

1 unchanged sentence

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).

The following table presents the fair value, constant prepayment rate (“CPR”), coupon, and weighted average life experienced on our Agency RMBS portfolio as of June 30, 2026 ($ in thousands).

Weighted Average

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

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

We had outstanding financing arrangements with six counterparties as of June 30, 2026.

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

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

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

As of June 30, 2026, we are in compliance with all of our financial covenants.

Securitized Debt

23 unchanged sentences

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

March 31, 2026 Leverage Stockholders’ Equity Leverage Ratio

June 30, 2026 Leverage Stockholders’ Equity Leverage Ratio

Securitized debt, at fair value (1) $ 6,355,237

2 unchanged sentences

Restricted cash posted on financing arrangements (8,030)

Payable on unsettled trades 133

GAAP Leverage $ 7,335,080 $ 546,004 13.4x

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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 six months ended June 30, 2026, the Company declared common stock dividends of $0.48 per share.

During the same period, the Company declared and paid preferred stock dividends on its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock of $1.03126, $1.00, and $1.318343 per share, respectively.

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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.

As of June 30, 2026, we pledged Home Equity Loans with a fair value of $63.5 million in which we have no outstanding financing but have $50.0 million of available financing which is contractually committed.

At June 30, 2026, we had $111.6 million of liquidity, which consisted of $61.6 million of cash and cash equivalents and $50.0 million of available committed financing on certain Home Equity Loans available to support our liquidity needs.

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.

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.

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

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

Three Months Ended

March 31, 2026 March 31, 2025 Change

The below details changes to our cash, cash equivalents, and restricted cash for the six months ended June 30, 2026 and 2025 (in thousands).

Six Months Ended

June 30, 2026 June 30, 2025 Change

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

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Cash and cash equivalents and restricted cash, End of Period $ 82,162 $ 100,169 $ (18,007)

(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.

(1) Cash provided by operating activities is primarily attributable to net interest income less operating expenses for the six months ended June 30, 2026.

(2) Cash provided by investing activities for the six months ended June 30, 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 six months ended June 30, 2026 was primarily attributable to principal repayments on securitized debt and dividend payments, offset by net borrowing of repurchase agreements.

Stock repurchase programs

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

The 2022 Repurchase Program does not have an expiration

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

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

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

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 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.

There were no shares repurchased during the three and six months ended June 30, 2026 and 2025.

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

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

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.

We did not issue any shares of common stock under the 2024 Equity Distribution Agreements during the three and six months ended June 30, 2026 and 2025.

Acquisition of additional interest in AG Arc

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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.

As June 30, 2026, the Holders no longer hold any shares of our common stock.

Forward-looking statements regarding liquidity

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The management agreement, as amended, provides for payment to the Manager of a management fee, an incentive fee, and reimbursements of certain expenses incurred by the Manager or its affiliates on behalf of us.

Contemporaneously with the execution of the Merger Agreement, and in consideration of our Manager’s approximate $20 million cash payment to CHMI stockholders in the Merger, we and our Manager entered into an amendment (the “MITT Management Agreement Amendment”) to the existing MITT Management Agreement, as amended on April 6, 2020, September 24, 2020, November 22, 2021, and August 8, 2023 (as amended, the “Existing MITT Management Agreement”).

Management Agreement Amendment will become effective automatically upon the closing of the Merger, and will have no force and effect if the Merger does not close.

The MITT Management Agreement Amendment makes certain changes to the Existing MITT Management Agreement, including, (i) updating the calculation of the “Equity Hurdle Base” to be based on the Company’s book value immediately after the Effective Time, (ii) updating the income component of the incentive fee from “Adjusted Net Income” to “Earnings Available for Distribution”, (iii) updating the calculation mechanics of the incentive fee to a rolling four quarter basis, (iv) providing that no incentive fee shall be payable with respect to any calendar quarter unless Earnings Available for Distribution for the twelve most recently completed calendar quarters is greater than zero, (v) that the termination fee will be three times the sum of the average annual base management fee and the average annual incentive fee during the prior 24-month period, and (vi) providing that the incentive fee will be calculated quarterly and payable annually.

The incentive fee will continue to be payable in cash, or, at the option of our board of directors, shares of our common stock or a combination of cash and shares, provided that no more than 50% of the incentive fee may be paid in shares of our common stock without our Manager’s consent.

All other terms and conditions of the Existing MITT Management Agreement remain substantially the same.

Management fee

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

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

Three Months Ended

The below table details the management fees incurred during the three and six months ended June 30, 2026 and 2025 (in thousands).

Three Months Ended Six Months Ended

Consolidated statements of operations line item:

March 31, 2026 March 31, 2025

June 30, 2026 June 30, 2025 June 30, 2026 June 30, 2025

Management fee to affiliate $ 2,311 $ 2,301 $ 4,630 $ 4,628

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

As of June 30, 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.

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.

During the three and six months ended June 30, 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.

As of June 30, 2026 and December 31, 2025, no event of termination of the management agreement had occurred.

Expense reimbursement

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

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

Three Months Ended

The below table details the expense reimbursement incurred during the three and six months ended June 30, 2026 and 2025 (in thousands).

Three Months Ended Six Months Ended

Consolidated statements of operations line item:

March 31, 2026 March 31, 2025

June 30, 2026 June 30, 2025 June 30, 2026 June 30, 2025

Non-investment related expenses

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Investment related expenses

216 95 358 295

Transaction related expenses 73 109 148 369

Expense reimbursements to Manager or its affiliates $ 1,472 $ 1,508 $ 3,135 $ 3,807

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.

As of June 30, 2026 and December 31, 2025, we recorded a reimbursement payable to our Manager or its affiliates of $1.8 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

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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.

Since inception of the 2025 Equity Incentive Plan and through June 30, 2026, we have granted an aggregate 103,604 shares of restricted common stock and 1,787 dividend equivalent units to our independent directors, all of which have vested.

As of June 30, 2026, there were 915,390 remaining shares available to be issued under the 2025 Equity Incentive Plan.

As of June 30, 2026, we have 12,981 restricted stock units and 3,836 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.

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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.

As of June 30, 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.

See Note 12 of the "Notes to Consolidated Financial Statements (unaudited)" for detail on our commitments as of June 30, 2026.

Off-balance sheet arrangements

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

Refer to Note 7 to the "Notes to Consolidated Financial Statements (unaudited)" for additional detail on TBAs as of 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.

Refer to Note 7 to the "Notes to Consolidated Financial Statements (unaudited)" for additional detail on TBAs as of June 30, 2026, if applicable.

For additional information on our commitments as of June 30, 2026, refer to Note 12 of the "Notes to Consolidated Financial Statements (unaudited)." We do not expect these commitments, taken as a whole, to be significant to, or to have a material impact on, our overall liquidity or capital resources or our operations.

Critical accounting policies and estimates

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

Although our estimates contemplate conditions as of 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.

Although our estimates contemplate conditions as of June 30, 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.

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

government securities, and securities issued by majority-owned subsidiaries

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

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

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

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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.

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.

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

What changed 10-Q

Item 2. Management’s Discussion and Analysis