ELLINGTON FINANCIAL INC. CONDENSED CONSOLIDATED BALANCE SHEETS (UNAUDITED) June 30, 2026 December 31, 2025 (In thousands, except share amounts) Expressed in U.S. Dollars Assets Cash and cash equivalents(1) $ 247,473 $ 201,893 Restricted cash(1) 42,373 136,297 Securities, at fair value(1)(2) 1,230,743 1,034,882 Loans, at fair value(1)(2) 17,874,430 16,640,647 Loan commitments, at fair value 10,191 9,124 Forward MSR-related investments, at fair value(1) 75,901 77,852 Mortgage servicing rights, at fair value 30,040 28,913 Investments in unconsolidated entities, at fair value(1) 402,259 312,421 Real estate owned(1)(2) 81,042 75,548 Financial derivatives—assets, at fair value 174,889 142,723 Reverse repurchase agreements 577,691 453,037 Due from brokers 59,396 35,919 Investment related receivables(1) 190,166 177,208 Other assets(1) 32,953 26,446 Total Assets $ 21,029,547 $ 19,352,910 Liabilities Securities sold short, at fair value $ 252,118 $ 272,702 Repurchase agreements(1) 3,064,277 2,655,444 Financial derivatives—liabilities, at fair value 80,793 53,073 Due to brokers 59,791 48,104 Investment related payables 40,721 36,092 Other secured borrowings(1) 256,988 296,398 Other secured borrowings, at fair value(1) 3,451,333 2,945,578 HMBS-related obligations, at fair value 11,057,752 10,406,332 Unsecured borrowings, at fair value 654,962 659,832 Base management fee payable to affiliate 7,355 6,869 Incentive fee payable to affiliate 920 — Dividends payable 19,491 19,428 Interest payable(1) 25,680 26,798 Accrued expenses and other liabilities(1) 57,930 55,105 Total Liabilities 19,030,111 17,481,755 Commitments and contingencies (Note 24) Equity Preferred stock, 100,000,000 shares authorized;9,200,089 and 13,800,089 shares issued and outstanding, and $230,002 and $345,002 aggregate liquidation preference, respectively 220,924 331,958 Common stock, par value $0.001 per share, 300,000,000 shares authorized; 127,593,315 and 113,138,860 shares issued and outstanding, respectively 128 113 Additional paid-in-capital 2,106,033 1,915,152 Retained earnings (accumulated deficit) (360,933) (412,964) Total Stockholders' Equity 1,966,152 1,834,259 Non-controlling interests(1) 33,284 36,896 Total Equity 1,999,436 1,871,155 Total Liabilities and Equity $ 21,029,547 $ 19,352,910 (1)Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. (2)Includes assets pledged as collateral to counterparties. See Note 14 for additional details on the Company's borrowings and related collateral. See Notes to Condensed Consolidated Financial Statements 3 Table of Contents ELLINGTON FINANCIAL INC. CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED) Three-Month Period Ended Six-Month Period Ended June 30, 2026 June 30, 2025 June 30, 2026 June 30, 2025 (In thousands, except per share amounts) Net Interest Income Interest income $ 170,837 $ 115,471 $ 320,340 $ 231,384 Interest expense (98,551) (72,128) (186,800) (144,784) Total net interest income 72,286 43,343 133,540 86,600 Other Income (Loss) Realized gains (losses) on securities and loans, net (13,104) 6,911 1,611 (1,893) Realized gains (losses) on financial derivatives, net 4,987 (519) 24,159 11,122 Realized gains (losses) on real estate owned, net (7,083) (1,356) (10,228) (2,290) Realized gains (losses) on unsecured borrowings, at fair value — — — (1,383) Unrealized gains (losses) on securities and loans, net 15,948 59,810 (3,664) 105,918 Unrealized gains (losses) on financial derivatives, net 4,471 (25,608) 11,513 (52,724) Unrealized gains (losses) on real estate owned, net 1,565 (1,396) 2,820 (4,707) Unrealized gains (losses) on other secured borrowings, at fair value, net 10,216 (25,844) 17,209 (57,208) Unrealized gains (losses) on unsecured borrowings, at fair value, net (16,318) (1,699) 4,870 (673) Net change from HECM reverse mortgage loans, at fair value 152,018 168,817 387,053 345,807 Net change related to HMBS obligations, at fair value (121,141) (142,212) (315,248) (289,682) Litigation settlement income — — 17,000 — Other, net 19,289 12,295 23,767 36,563 Total other income (loss) 50,848 49,199 160,862 88,850 Expenses Base management fee to affiliate (Net of fee rebates of $132, $57, $414, and $117, respectively)(1) 7,356 6,270 14,457 12,362 Incentive fee to affiliate 919 — 20,141 4,533 Investment and transaction related expenses: Servicing expense 7,933 7,220 15,733 14,239 Debt issuance costs related to Other secured borrowings, at fair value 4,158 2,280 6,482 2,280 Other 14,510 9,147 24,213 15,756 Professional fees 2,917 3,143 6,551 6,860 Compensation and benefits 28,398 21,332 50,204 38,274 Other expenses 9,831 7,674 18,614 14,746 Total expenses 76,022 57,066 156,395 109,050 Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities 47,112 35,476 138,007 66,400 Income tax expense (benefit) 52 1,475 1,018 1,379 Earnings (losses) from investments in unconsolidated entities 10,975 17,072 28,539 25,376 Net Income (Loss) 58,035 51,073 165,528 90,397 Net income (loss) attributable to non-controlling interests (573) 1,114 1,604 1,754 Dividends on preferred stock 4,205 7,036 10,088 14,071 Issuance costs of redeemed preferred stock — — 3,966 — Net Income (Loss) Attributable to Common Stockholders $ 54,403 $ 42,923 $ 149,870 $ 74,572 Net Income (Loss) per Share of Common Stock: Basic and Diluted $ 0.43 $ 0.45 $ 1.21 $ 0.80 (1)See Note 16 for further details on management fee rebates. See Notes to Condensed Consolidated Financial Statements 4 Table of Contents ELLINGTON FINANCIAL INC. CONDENSED CONSOLIDATED STATEMENT OF CHANGES IN EQUITY (UNAUDITED) Common Stock Additional Paid-in Capital Retained Earnings/(Accumulated Deficit) Total Stockholders' Equity Non-controlling Interest Total Equity Preferred Stock Shares Par Value (In thousands, except share amounts) Expressed in U.S. Dollars BALANCE, December 31, 2025 $ 331,958 113,138,860 $ 113 $ 1,915,152 $ (412,964) $ 1,834,259 $ 36,896 $ 1,871,155 Net income (loss) 105,316 105,316 2,177 107,493 Net proceeds from the issuance of common stock(1) 11,510,163 12 154,582 154,594 154,594 Contributions from non-controlling interests 11,565 11,565 Common dividends (48,613) (48,613) (524) (49,137) Preferred dividends (5,883) (5,883) — (5,883) Distributions to non-controlling interests (17,880) (17,880) Adjustment to non-controlling interests (5,607) (5,607) 5,607 — Redemption of shares of preferred stock (111,034) (3,966) (115,000) (115,000) Share-based long term incentive plan unit awards — — 1,070 1,070 11 1,081 BALANCE, March 31, 2026 $ 220,924 124,649,023 $ 125 $ 2,065,197 $ (366,110) $ 1,920,136 $ 37,852 $ 1,957,988 Net income (loss) 58,608 58,608 (573) 58,035 Net proceeds from the issuance of common stock(1) 2,782,358 3 37,430 37,433 37,433 Shares of common stock issued in connection with incentive fee payment 161,934 — 1,880 1,880 1,880 Contributions from non-controlling interests 1,477 1,477 Common dividends (49,226) (49,226) (632) (49,858) Preferred dividends (4,205) (4,205) (4,205) Distributions to non-controlling interests (4,845) (4,845) Adjustment to non-controlling interests 14 14 (14) — Share-based long term incentive plan unit awards — — 1,512 1,512 19 1,531 BALANCE, June 30, 2026 $ 220,924 127,593,315 $ 128 $ 2,106,033 $ (360,933) $ 1,966,152 $ 33,284 $ 1,999,436 See Notes to Condensed Consolidated Financial Statements 5 Table of Contents ELLINGTON FINANCIAL INC. CONDENSED CONSOLIDATED STATEMENT OF CHANGES IN EQUITY (CONTINUED) (UNAUDITED) Common Stock Additional Paid-in Capital Retained Earnings/(Accumulated Deficit) Total Stockholders' Equity Non-controlling Interest Total Equity Preferred Stock Shares Par Value (In thousands, except share amounts) Expressed in U.S. Dollars BALANCE, December 31, 2024 $ 331,958 90,678,492 $ 91 $ 1,613,540 (375,113) 1,570,476 20,346 1,590,822 Net income (loss) 38,684 38,684 640 39,324 Net proceeds from the issuance of common stock(1) 3,750,388 3 50,822 50,825 50,825 Contributions from non-controlling interests 5,569 5,569 Common dividends (35,852) (35,852) (380) (36,232) Preferred dividends (7,035) (7,035) (7,035) Distributions to non-controlling interests (6,076) (6,076) Adjustment to non-controlling interests (3,249) (3,249) 3,249 — Share-based long term incentive plan unit awards — — 415 415 4 419 BALANCE, March 31, 2025 $ 331,958 94,428,880 $ 94 $ 1,661,528 $ (379,316) $ 1,614,264 $ 23,352 $ 1,637,616 Net income (loss) 49,959 49,959 1,114 51,073 Net proceeds from the issuance of common stock(1) 3,428,400 4 44,516 44,520 44,520 Shares of common stock issued in connection with incentive fee payment 33,877 — 444 444 444 Contributions from non-controlling interests 6,638 6,638 Common dividends (37,655) (37,655) (441) (38,096) Preferred dividends (7,036) (7,036) (7,036) Distributions to non-controlling interests (6,688) (6,688) Adjustment to non-controlling interests 28 28 (28) — Share-based long term incentive plan unit awards — — 1,028 1,028 11 1,039 BALANCE, June 30, 2025 $ 331,958 97,891,157 $ 98 $ 1,707,544 $ (374,048) $ 1,665,552 $ 23,958 $ 1,689,510 (1)Net of discounts and commissions and offering costs. See Notes to Condensed Consolidated Financial Statements 6 Table of Contents ELLINGTON FINANCIAL INC. CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED) Six-Month Period Ended June 30, 2026 June 30, 2025 (In thousands) (Expressed in U.S. Dollars) Cash Flows from Operating Activities: Net cash provided by (used in) operating activities $ (29,100) $ (336,913) Cash Flows from Investing Activities: Purchase of securities (549,442) (523,027) Purchase and origination of loans (5,668,554) (2,833,936) Receipt of distributions on Forward MSR-related investments 12,295 14,169 Proceeds from disposition of securities 380,939 566,191 Proceeds from disposition of loans 182,483 457,423 Contributions to investments in unconsolidated entities (53,070) (137,508) Distributions from investments in unconsolidated entities 290,537 156,919 Proceeds from disposition of real estate owned 51,269 38,645 Capital improvements of real estate owned (168) — Proceeds from FHA insurance claims and other receivables on HECM loans 116,392 54,059 Proceeds from principal payments of securities 102,266 85,449 Proceeds from principal payments of loans 1,080,558 1,096,777 Proceeds from securities sold short 328,355 605,071 Repurchase of securities sold short (343,984) (642,838) Payments on financial derivatives (172,088) (196,336) Proceeds from financial derivatives 193,467 188,318 Payments made on reverse repurchase agreements (33,360,748) (32,980,362) Proceeds from reverse repurchase agreements 33,236,072 32,970,398 Due from brokers, net (9,699) (26,160) Due to brokers, net 11,458 (22,754) Net cash provided by (used in) investing activities (4,171,662) (1,129,502) Cash Flows from Financing Activities: Net proceeds from the issuance of common stock(1) 192,472 95,548 Offering costs paid (643) (40) Redemption of preferred stock (115,000) — Dividends paid (109,020) (87,515) Contributions from non-controlling interests 13,372 11,913 Distributions to non-controlling interests (22,725) (12,764) Proceeds from issuance of Other secured borrowings 1,266,911 1,237,735 Principal payments on Other secured borrowings (1,306,321) (1,150,746) Borrowings under repurchase agreements 24,944,664 30,241,488 Repayments of repurchase agreements (21,166,626) (29,237,631) Proceeds from issuance of Other secured borrowings, at fair value, net 125,150 46,425 Repayment of unsecured borrowings, at fair value — (34,931) Proceeds from issuance of HMBS 846,285 777,542 Principal payments on HMBS-related obligations, at fair value (512,397) (399,738) Due from brokers, net (3,428) (391) Due to brokers, net (276) 1,202 Net cash provided by (used in) financing activities $ 4,152,418 $ 1,488,097 See Notes to Condensed Consolidated Financial Statements 7 Table of Contents ELLINGTON FINANCIAL INC. CONSOLIDATED STATEMENTS OF CASH FLOWS (CONTINUED) (UNAUDITED) Six-Month Period Ended June 30, 2026 June 30, 2025 (In thousands) Expressed in U.S. Dollars Net Increase (Decrease) in Cash, Cash Equivalents, and Restricted Cash (48,344) 21,682 Cash, Cash Equivalents, and Restricted Cash, Beginning of Period 338,190 208,948 Cash, Cash Equivalents, and Restricted Cash, End of Period $ 289,846 $ 230,630 Reconciliation of cash, cash equivalents, and restricted cash Cash and cash equivalents, beginning of period $ 201,893 $ 192,387 Restricted cash, beginning of period 136,297 16,561 Cash and cash equivalents and restricted cash, beginning of period 338,190 208,948 Cash and cash equivalents, end of period 247,473 211,013 Restricted cash, end of period 42,373 19,617 Cash and cash equivalents and restricted cash, end of period 289,846 230,630 Supplemental disclosure of cash flow information: Interest paid $ 187,917 $ 146,769 Income tax paid (refunded) 3,752 429 Dividends payable 19,491 17,495 Shares issued in connection with incentive fee payment (non-cash) 1,880 444 Transfers from mortgage loans to real estate owned (non-cash) 64,003 47,803 Transfers from mortgage loans to other sales and claims receivable (non-cash) 117,603 53,995 Transfers from mortgage loans to investments in unconsolidated entities (non-cash) 104,959 30,049 Transfers from investments in unconsolidated entities to mortgage loans (non-cash) 8,225 21,890 Increase (decrease) in HMBS buyout obligations (non-cash) 2,284 (3,558) Contributions to investments in unconsolidated entities (non-cash) (202,032) (73,521) Purchase of investments (non-cash) (141,250) (66,880) Purchase of loans (non-cash) (755,633) (1,070,830) Proceeds from the disposition of loans (non-cash) 3,930,405 2,277,118 Proceeds from principal payments of investments (non-cash) 159,214 93,961 Principal payments on Other secured borrowings, at fair value (non-cash) (159,214) (94,360) Proceeds received from Other secured borrowings, at fair value (non-cash) 548,662 176,229 Repayments of repurchase agreements (non-cash) (3,369,205) (1,240,439) Debt issuance costs related to Other secured borrowings, at fair value (non-cash) (6,482) (2,280) (1)Net of discounts and commissions. See Notes to Condensed Consolidated Financial Statements 8 Table of Contents ELLINGTON FINANCIAL INC. NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS June 30, 2026 (UNAUDITED) 1. Organization and Investment Objective Ellington Financial Inc. commenced operations on August 17, 2007 and is a Delaware corporation. Ellington Financial Operating Partnership LLC (the "Operating Partnership"), a 98.9% owned consolidated subsidiary of Ellington Financial Inc., was formed as a Delaware limited liability company on December 14, 2012 and commenced operations on January 1, 2013. All of Ellington Financial Inc.'s operations and business activities are conducted through the Operating Partnership. Ellington Financial Inc., the Operating Partnership, and their consolidated subsidiaries are hereafter collectively referred to as the "Company." All intercompany accounts are eliminated in consolidation. The Company conducts its operations to qualify and be taxed as a real estate investment trust (a "REIT") under the Internal Revenue Code of 1986, as amended (the "Code"). Ellington Financial Management LLC (the "Manager") is an SEC-registered investment adviser that serves as the manager to the Company pursuant to the terms of its Ninth Amended and Restated Management Agreement (the "Management Agreement"); see Note 16 for additional details. The Manager is an affiliate of Ellington Management Group, L.L.C. ("Ellington"), an investment management firm that is registered as both an investment adviser and a commodity pool operator. In accordance with the terms of the Management Agreement, the Manager implements the investment strategy and manages the business and operations on a day-to-day basis for the Company and performs certain services for the Company, subject to oversight by Ellington Financial Inc.'s Board of Directors (the "Board of Directors"). The Company has two reportable segments, the Investment Portfolio Segment and the Longbridge Segment. The Investment Portfolio Segment is focused on investing in a diverse array of financial assets, including residential and commercial mortgage loans; residential mortgage-backed securities ("RMBS"); commercial mortgage-backed securities ("CMBS"); investments referencing a portfolio of mortgage servicing rights on forward mortgage loans ("Forward MSR-related investments"); consumer loans and asset-backed securities ("ABS") including ABS backed by consumer loans; collateralized loan obligations ("CLOs"); non-mortgage- and mortgage-related derivatives; debt and equity investments in loan origination companies; and other strategic investments. The Longbridge Segment is primarily focused on the origination and servicing of, and investment in, reverse mortgage loans, including associated financial assets, financing, hedging, and allocated expenses. Longbridge Financial, LLC ("Longbridge"), a wholly owned subsidiary of the Company, acquires reverse mortgage loans both through its origination activities and through secondary market purchases. Historically, the majority of loans acquired by Longbridge have been home equity conversion mortgage loans ("HECMs") which are insured by the Federal Housing Administration ("FHA"). Such loans are generally eligible for securitization into HECM-backed MBS ("HMBS") which are guaranteed by the Government National Mortgage Association ("GNMA"). Longbridge is an approved issuer of HMBS, and it transfers HECM loans into HMBS, which it then sells in the secondary market while retaining the servicing rights on the underlying HECM loans. Longbridge also originates and purchases non-FHA-insured reverse mortgage loans originated under guidelines established by private lenders, which the Company refers to as "Proprietary reverse mortgage loans." Proprietary reverse mortgage loans typically carry loan balances or credit lines that exceed FHA limits or have other characteristics that make them ineligible for FHA insurance. 2. Significant Accounting Policies (A) Basis of Presentation: The Company's unaudited condensed consolidated financial statements have been prepared in conformity with generally accepted accounting principles in the United States of America ("U.S. GAAP") and Regulation S-X. The condensed consolidated financial statements include the accounts of the Company, the Operating Partnership, its subsidiaries, and variable interest entities ("VIEs") for which the Company is deemed to be the primary beneficiary. All intercompany balances and transactions have been eliminated. The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be material. In management's opinion, all material adjustments considered necessary for a fair statement of the Company's consolidated financial statements have been included and are only of a normal recurring nature. Interim results are not necessarily indicative of the results that may be expected for the entire fiscal year. The information included in the condensed consolidated financial statements and notes thereto should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, 2025. (B) Valuation: The Company applies ASC 820-10, Fair Value Measurement ("ASC 820") to its holdings of financial instruments. ASC 820 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation 9 Table of Contents hierarchy is based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows: •Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets. Currently, the types of financial instruments the Company generally includes in this category are listed equities and exchange-traded derivatives; •Level 2—inputs to the valuation methodology other than quoted prices included in Level 1 are observable for the asset or liability, either directly or indirectly. The types of financial instruments that the Company generally includes in this category are RMBS, for which the principal and interest payments are guaranteed by a U.S. government agency or a U.S. government-sponsored entity ("Agency RMBS"), U.S. Treasury securities and sovereign debt, certain non-Agency RMBS, CMBS, CLOs, corporate debt, and actively traded derivatives such as interest rate swaps, foreign currency forwards, and other over-the-counter derivatives; and •Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. The types of financial instruments that the Company generally includes in this category are certain RMBS, CMBS, CLOs, ABS, credit default swaps ("CDS") on individual ABS, and total return swaps on distressed corporate debt, in each case where there is less price transparency. Also included in this category are residential and commercial mortgage loans, consumer loans, reverse mortgage loans, private corporate debt and equity investments, loan commitments, loan purchase commitments, mortgage servicing rights ("MSRs"), Forward MSR-related investments, other secured borrowings, at fair value, HMBS-related obligations, at fair value, and Unsecured borrowings, at fair value. For certain financial instruments, the various inputs that management uses to measure fair value may fall into different levels of the fair value hierarchy. For each such financial instrument, the determination of which category within the fair value hierarchy is appropriate is based on the lowest level of input that is significant to the fair value measurement. ASC 820 prioritizes the various inputs that management uses to measure fair value, with the highest priority given to inputs that are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets (Level 1), and the lowest priority given to inputs that are unobservable and significant to the fair value measurement (Level 3). The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument. The Company may use valuation techniques consistent with the market and income approaches to measure the fair value of its financial instruments. The market approach uses third-party valuations and information obtained from market transactions involving identical or similar financial instruments. The income approach uses projections of the future economic benefit of an instrument to determine its fair value, such as in the discounted cash flow methodology. The inputs or methodology used for valuing financial instruments are not necessarily an indication of the risk associated with investing in these financial instruments. The leveling of each financial instrument is reassessed at the end of each period. Transfers between levels of the fair value hierarchy are assumed to occur at the end of the reporting period. Summary Valuation Techniques For financial instruments that are traded in an "active market," the best measure of fair value is the quoted market price. However, many of the Company's financial instruments are not traded in an active market. Therefore, management generally uses third-party valuations when available. If third-party valuations are not available, management uses other valuation techniques, such as the discounted cash flow methodology. The following are summary descriptions, for various categories of financial instruments, of the valuation methodologies management uses in determining fair value of the Company's financial instruments in such categories. Management utilizes such methodologies to assign a fair value (the estimated price that, in an orderly transaction at the valuation date, would be received to sell an asset, or paid to transfer a liability, as the case may be) to each such financial instrument. For mortgage-backed securities ("MBS"), forward settling to-be-announced mortgage-backed-securities ("TBAs"), CLOs, and corporate debt and equity, management seeks to obtain at least one third-party valuation, and often obtains multiple valuations when available. Management has been able to obtain third-party valuations on the vast majority of these instruments and expects to continue to solicit third-party valuations in the future. Management generally values each financial instrument at the average of third-party valuations received and not rejected as described below. Third-party valuations are not binding, management may adjust the valuations it receives (e.g., downward adjustments for odd lots), and management may challenge or reject a valuation when, based on its validation criteria, management determines that such valuation is unreasonable or erroneous. Furthermore, based on its validation criteria, management may determine that the average of the third-party valuations received for a given financial instrument does not result in what management believes to be the fair value of such instrument, and in such circumstances management may override this average with its own good faith valuation. The validation criteria may take into account output from management's own models, recent trading activity in the same or similar instruments, and valuations received from third parties. The use of proprietary models requires the use of a significant amount of judgment and the application of various assumptions including, but not limited to, assumptions concerning future prepayment rates and default rates. Given their relatively high level of price transparency, Agency RMBS pass-throughs are typically classified as Level 2. Non-Agency RMBS, CMBS, Agency interest only and inverse interest only RMBS, CLOs, and corporate bonds are 10 Table of Contents generally classified as either Level 2 or Level 3 based on analysis of available market data and/or third-party valuations. The Company's investments in distressed corporate debt can be in the form of loans as well as total return swaps on loans. These investments, as well as related non-listed equity investments, are generally designated as Level 3 assets. Valuations for total return swaps are typically based on prices of the underlying loans received from third-party pricing services. Private equity investments are generally classified as Level 3. Furthermore, the methodology used by the third-party valuation providers is reviewed at least annually by management, so as to ascertain whether such providers are utilizing observable market data to determine the valuations that they provide. For residential mortgage loans, reverse mortgage loans, commercial mortgage loans, and consumer loans, management determines fair value by taking into account both external pricing data, which includes third-party valuations, and internal pricing models. Management has obtained third-party valuations on the majority of these loans and expects to continue to solicit third-party valuations in the future. In determining fair value for non-performing mortgage loans, management evaluates third-party valuations, if applicable, as well as management's estimates of the value of the underlying real estate, using information including general economic data, broker price opinions ("BPOs"), recent sales, property appraisals, and bids. In determining fair value for performing mortgage loans and consumer loans, management evaluates third-party valuations, if applicable, as well as discounted cash flows of the loans based on market assumptions. Cash flow assumptions typically include projected default and prepayment rates and loss severities, and may include adjustments based on appraisals and BPOs, and in the case of HECM reverse mortgage loans, projected future tail draws. Many adjustable-rate reverse mortgage loans provide the borrower with a line of credit that can be drawn over time, and a "tail draw" is a principal addition that results when a borrower takes such a draw, which may be securitized. Mortgage and consumer loans are classified as Level 3. The Company has elected the fair value option ("FVO") for its HMBS-related obligations. It determines fair value by taking into account both external pricing data, which includes third-party valuations, and internal pricing models. The estimated fair value of HMBS-related obligations also includes the consideration that would be required by a market participant to transfer the HECM loan net of the related servicing, including exposure resulting from shortfalls in FHA insurance proceeds. HMBS-related obligations, at fair value are classified as Level 3. The Company has elected the FVO for its MSRs and Forward MSR-related investments. It determines fair value by taking into account both external pricing data, which includes third-party valuations, and internal pricing models. MSRs and Forward MSR-related investments are classified as Level 3. The Company has securitized certain mortgage loans, including residential mortgage loans that are not deemed "qualified mortgage" loans under the rules of the Consumer Financial Protection Bureau ("non-QM loans"), and proprietary reverse mortgage loans. The Company's securitized loans, which include non-QM loans, certain European residential mortgage loans, and reverse mortgage loans, are held as part of a collateralized financing entity ("CFE"). A CFE is a VIE that holds financial assets, issues beneficial interests in those assets, and has no more than nominal equity, and for which the issued beneficial interests have contractual recourse only to the related assets of the CFE. ASC 810, Consolidation ("ASC 810") allows the Company to elect to measure both the financial assets and financial liabilities of the CFE using the more observable of the fair value of the financial assets and the fair value of the financial liabilities of the CFE. The Company has elected the FVO for initial and subsequent recognition of the debt issued by its consolidated securitization trusts and has determined that each consolidated securitization trust meets the definition of a CFE; see Note 13—Securitization Transactions, —Consolidated Residential Mortgage Loan Securitizations, —Residential Transition Loans, —European Residential Mortgage Loans, and —Proprietary Reverse Mortgage Loan Securitizations for further discussion on the Company's consolidated securitization trusts. The Company has determined the inputs to the fair value measurement of the financial liabilities of each of its CFEs to be more observable than those of the financial assets and, as a result, has used the fair value of the financial liabilities of each of the CFEs to measure the fair value of the financial assets of each of the CFEs. The fair value of the debt issued by each CFE is typically valued using both external pricing data, which includes third-party valuations, and internal pricing models. The securitized loans, which are assets of the consolidated CFEs, are included in Loans, at fair value, on the Company's Consolidated Balance Sheet. The debt issued by the consolidated CFEs is included in Other secured borrowings, at fair value, on the Company's Consolidated Balance Sheet. Unrealized gains (losses) from changes in fair value of Other secured borrowings, at fair value, are included in Unrealized gains (losses) on other secured borrowings, at fair value, net, on the Company's Consolidated Statement of Operations. The securitized loans and the debt issued by the Company's CFEs are both classified as Level 3. The Company has elected the FVO for its loan commitments related to reverse mortgage loans, and uses market pricing for instruments with similar characteristics in determining fair value. The valuation process incorporates various inputs, such as an estimate of the fair value of the servicing rights expected to be recorded upon sale of a loan to a third party, estimated cost to originate the loan, and the expected pull-through rate. The Company's loan commitments are classified as Level 3. 11 Table of Contents The Company has elected the FVO for loan purchase commitments related to certain residential mortgage loans, and uses the agreed-upon loan purchase price with adjustments made for interest rate and credit spread movements in determining fair value. The Company's loan purchase commitments are classified as Level 3. For financial derivatives with greater price transparency, such as CDS on asset-backed indices, CDS on corporate indices, certain options on the foregoing, and total return swaps on publicly traded equities or indices, market-standard pricing sources are used to obtain valuations; these financial derivatives are generally classified as Level 2. Interest rate swaps, swaptions, and foreign currency forwards are typically valued based on internal models that use observable market data, including applicable interest rates and foreign currency rates in effect as of the measurement date; the model-generated valuations are then typically compared to counterparty valuations for reasonableness. These financial derivatives are also generally classified as Level 2. Financial derivatives with less price transparency, such as CDS on individual ABS, are generally valued based on internal models, and are classified as Level 3. In the case of CDS on individual ABS, the valuation process typically starts with an estimation of the value of the underlying ABS. In valuing its financial derivatives, the Company also considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each financial derivative agreement. Investments in private operating entities, such as loan originators, are valued based on available metrics, such as relevant market multiples and comparable company valuations, company-specific financial data including actual and projected results, and independent third party valuation estimates. These investments are classified as Level 3. The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value. Repurchase and reverse repurchase agreements are classified as Level 2, based on the adequacy of the collateral and their short-term nature. The Company's valuation process, including the application of validation criteria, is directed by the Manager's Valuation Committee (the "Valuation Committee"), and overseen by the Company's audit committee. The Valuation Committee includes senior level executives from various departments within the Manager, and each quarter, the Valuation Committee reviews and approves the valuations of the Company's financial instruments. The valuation process also includes a monthly review by the Company's third-party administrator. The goal of this review is to replicate various aspects of the Company's valuation process based on the Company's documented procedures. Because of the inherent uncertainty of valuation, the estimated fair value of the Company's financial instruments may differ significantly from the values that would have been used had a ready market for the financial instruments existed, and the differences could be material to the Company's consolidated financial statements. (C) Accounting for Securities: Purchases and sales of investments in securities are generally recorded on trade date, and realized and unrealized gains and losses are calculated based on identified cost. Investments in securities are recorded in accordance with ASC 320, Investments—Debt and Equity Securities ("ASC 320") or ASC 325-40, Beneficial Interests in Securitized Financial Assets ("ASC 325-40"). The Company generally classifies its securities as available-for-sale. The Company has chosen to elect the FVO pursuant to ASC 825, Financial Instruments ("ASC 825") for its investments in securities. Electing the FVO allows the Company to record changes in fair value in the Consolidated Statement of Operations, as a component of Unrealized gains (losses) on securities and loans, net, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. Many of the Company's investments in securities, such as MBS and CLOs, are issued by entities that are deemed to be VIEs. For the majority of such investments, the Company has determined it is not the primary beneficiary of such VIEs and therefore has not consolidated such VIEs. The Company's maximum risk of loss in these unconsolidated VIEs is generally limited to the fair value of the Company's investment in the VIE. The Company evaluates its investments in interest only securities to determine whether they meet the requirements for classification as financial derivatives under ASC 815, Derivatives and Hedging ("ASC 815"). For interest only securities, where the holder is entitled only to a portion of the interest payments made on the mortgages underlying certain MBS, and inverse interest only securities, which are interest only securities whose coupon has an inverse relationship to its benchmark rate, such as SOFR, the Company has determined that such investments do not meet the requirements for treatment as financial derivatives and are classified as securities. The Company applies the principles of ASU 2016-13, Financial Instruments—Credit Losses ("ASU 2016-13") and evaluates the cost basis of its investments in securities on at least a quarterly basis, under ASC 326-30, Financial Instruments—Credit Losses: Available-for-Sale Debt Securities ("ASC 326-30"). When the fair value of a security is less than its amortized cost basis as of the balance sheet date, the security's cost basis is considered impaired. The Company must evaluate the decline in the fair value of the impaired security and determine whether such decline resulted from a credit loss or non-credit related factors. In its assessment of whether a credit loss exists, the Company compares the present value of estimated future cash flows 12 Table of Contents of the impaired security with the amortized cost basis of such security. The estimated future cash flows reflect those that a "market participant" would use and typically include assumptions related to fluctuations in interest rates, prepayment speeds, default rates, collateral performance, and the timing and amount of projected credit losses, as well as incorporating observations of current market developments and events. Cash flows are discounted at an interest rate equal to the current yield used to accrete interest income. If the present value of estimated future cash flows is less than the amortized cost basis of the security, an expected credit loss exists and is included in Unrealized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations. If it is determined as of the financial reporting date that all or a portion of a security's cost basis is not collectible, then the Company will recognize a realized loss to the extent of the adjustment to the security's cost basis. This adjustment to the amortized cost basis of the security is reflected in Net realized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations. (D) Accounting for Loans: The Company's loan portfolio primarily consists of residential mortgage, commercial mortgage, consumer, and reverse mortgage loans. The Company's loans are accounted for under ASC 310-10, Receivables, and are classified as held-for-investment when the Company has the intent and ability to hold such loans for the foreseeable future or to maturity/payoff. When the Company has the intent to sell loans, such loans will be classified as held-for-sale. Mortgage loans held-for-sale are accounted for under ASC 948-310, Financial services—mortgage banking. Transfers between held-for-investment and held-for-sale occur once the Company's intent to sell the loans changes. The Company may aggregate its loans into pools based on common risk characteristics at purchase. The Company has chosen to elect the FVO pursuant to ASC 825 for its loan portfolios. Loans are recorded at fair value on the Consolidated Balance Sheet and changes in fair value are recorded in earnings on the Consolidated Statement of Operations. Changes in fair value on residential mortgage, commercial mortgage, consumer, corporate loans, and proprietary reverse mortgage loans are included as a component of Unrealized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations. Changes in fair value on HECM reverse mortgage loans held-for-investment are included as a component of Net change from HECM reverse mortgage loans, at fair value, on the Consolidated Statement of Operations. The Company generates income from fees on certain loans, generally reverse mortgage and commercial mortgage loans, that it originates and holds for investment, including origination, servicing, and exit fees. Such fee income is recorded when earned and included in Other, net on the Consolidated Statement of Operations. For residential and commercial mortgage loans, the Company generally accrues interest payments. Such loans are typically moved to non-accrual status if the loan becomes 90 days or more delinquent. Although reverse mortgage loans do not require monthly principal and interest payments, the terms of such loans require the borrower to occupy the property and to stay current on payment of property taxes and homeowners insurance. In the event that the borrower no longer occupies the property due to death or other circumstances or becomes delinquent on their tax or insurance payments, the loan will be classified as inactive. The Company does not accrue interest payments on its consumer loans; interest payments are recorded upon receipt. The Company evaluates the collectibility of both interest and principal on each of its loan investments and whether the cost basis of the loan is impaired. A loan's cost basis is impaired when, based on current information and market developments, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan's cost basis is impaired, the Company does not record an allowance for loan loss as it elected the FVO on all of its loan investments. Consistent with the Company's application of the principles of ASU 2016-13, in its assessment of whether a credit loss exists, the Company compares the present value of the amount expected to be collected on the impaired loan with the amortized cost basis of such loan. If the present value of the amount expected to be collected on the impaired loan is less than the amortized cost basis of such loan, an expected credit loss exists and is included in Unrealized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations. If it is determined as of the financial reporting date that all or a portion of a loan's cost basis is not collectible, then the Company will recognize a realized loss to the extent of the adjustment to the loan's cost basis. This adjustment to the amortized cost basis of the loan is reflected in Realized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations. (E) Interest Income: The Company generally amortizes premiums and accretes discounts on its debt securities. Coupon interest income on fixed-income investments is generally accrued based on the outstanding principal balance or notional value and the current coupon rate. For debt securities that are deemed to be of high credit quality at the time of purchase (generally Agency RMBS, exclusive of interest only securities), premiums and discounts are amortized/accreted into interest income over the life of such securities using the effective interest method. For such securities whose cash flows vary depending on prepayments, an effective yield retroactive to the time of purchase is periodically recomputed based on actual prepayments and changes in projected prepayment activity, and a catch-up adjustment ("Catch-up Amortization Adjustment") is made to amortization to reflect the cumulative impact of the change in effective yield. 13 Table of Contents For debt securities (generally non-Agency RMBS, CMBS, ABS, CLOs, and interest only securities) that are deemed not to be of high credit quality at the time of purchase, interest income is recognized based on the effective interest method. For purposes of estimating future expected cash flows, management uses assumptions including, but not limited to, assumptions for future prepayment rates, default rates, and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing prices, GDP growth rates, and unemployment rates). These assumptions are re-evaluated not less than quarterly. Changes in projected cash flows may result in prospective changes in the yield/interest income recognized on such securities based on the updated expected future cash flows. For each loan (including residential, commercial, and proprietary reverse mortgage loans and consumer loans) purchased with the expectation that both interest and principal will be paid in full, the Company generally amortizes or accretes any premium or discount over the life of the loan utilizing the effective interest method. However, based on current information and market developments, the Company re-assesses the collectibility of interest and principal, and generally designates a loan as in non-accrual status either when any payments have become 90 or more days past due, or when, in the opinion of management, it is probable that the Company will be unable to collect either interest or principal in full. Once a loan is designated as in non-accrual status, as long as principal is still expected to be collectible in full, interest payments are recorded as interest income only when received (i.e., under the cash basis method); accruals of interest income are only resumed when the loan becomes contractually current and performance is demonstrated to be resumed. However, if principal is not expected to be collectible in full, the cost recovery method is used (i.e., no interest income is recognized, and all payments received—whether contractually interest or principal—are applied to cost). Interest income on HECM reverse mortgage loans held-for-investment is recognized based on the stated rate of the loan. Such interest income is included on the Consolidated Statement of Operations as a component of Net change from HECM reverse mortgage loans, at fair value. For Forward MSR-related investments, the Company recognizes interest income based on the effective interest method. For purposes of estimating future expected cash flows, management uses various assumptions about the mortgage loans underlying the MSRs, including but not limited to the timing and amount of prepayments. These assumptions are re-evaluated at least quarterly. Changes in projected cash flows may result in prospective changes in the yield/interest income recognized on such investments based on the updated expected future cash flows. Interest income on Forward MSR-related investments is included on the Consolidated Statement of Operations as a component of Interest income. Certain of the Company's debt securities and loans, at the date of acquisition, have experienced or are expected to experience more-than-insignificant deterioration in credit quality since origination. Consistent with the Company's application of the principles of ASU 2016-13, if at the date of acquisition for a particular asset the Company projects a significant difference between contractual cash flows and expected cash flows, it establishes an initial estimate for credit losses as an upward adjustment to the acquisition cost of the asset for the purpose of calculating interest income using the effective yield method. In estimating future cash flows on the Company's debt securities, there are a number of assumptions that are subject to significant uncertainties and contingencies, including, in the case of MBS, assumptions relating to prepayment rates, default rates, loan loss severities, and loan repurchases. These estimates require the use of a significant amount of judgment. (F) Mortgage Servicing Rights: MSRs represent contractual rights to perform specific administrative functions for the underlying loans including specified mortgage servicing activities, which include collecting loan payments, remitting principal and interest payments, managing escrow accounts for mortgage-related expenses such as taxes and insurance, and various other administrative tasks required to adequately service the mortgage loan portfolio. MSRs are created when the Company sells originated or purchased reverse mortgage loans but retains the servicing rights; MSRs can also be acquired in the secondary market. The Company has elected the FVO for its MSRs in accordance with ASC 860-50, Transfers and Servicing—Servicing assets and liabilities ("ASC 860-50"). Under this methodology, the Company fair values its MSRs on a recurring basis with changes in fair value recorded through earnings on the Consolidated Statement of Operations in Other, net. The Company accrues a base servicing fee for each serviced loan, typically based on the remaining outstanding principal balance of the loan and a fixed annual percentage fee, which is included in Other, net on the Consolidated Statement of Operations. Costs of servicing and ancillary fees are recognized as incurred or earned, and are included in Servicing expense on the Consolidated Statement of Operations. (G) Loan Commitments: The Company's loan commitments relate to certain reverse mortgage loans extended to borrowers and other third parties. The Company has elected the FVO for its loan commitments which are included in Loan commitments, at fair value on the Consolidated Balance Sheet. Changes in the fair value of the Company's loan commitments are included in Other, net on the Consolidated Statement of Operations. 14 Table of Contents (H) Loan Purchase Commitments: The Company's loan purchase commitments relate to commitments to purchase certain residential mortgage loans originated by third parties. The Company has elected the FVO for certain of its loan purchase commitments which are included in Other Assets or Accrued expenses and other liabilities on the Consolidated Balance Sheet. Changes in the fair value of such loan purchase commitments are included in Other, net on the Consolidated Statement of Operations. (I) Investments in unconsolidated entities: The Company has made and may in the future make non-controlling equity investments in various entities, such as loan originators. Such investments are generally in the form of preferred and/or common equity, or membership interests. In certain cases, the Company can exercise significant influence over the entity (e.g., by having representation on the entity's board of directors) but the requirements for consolidation under ASC 810 are not met; in such cases the Company is required to account for such equity investments under ASC 323-10, Investments—Equity Method and Joint Ventures ("ASC 323-10"). The Company has chosen to elect the FVO pursuant to ASC 825 for its investments in unconsolidated entities, which, in management's view, more appropriately reflects the results of operations for a particular reporting period, as all investment activities will be recorded in a similar manner. The period change in fair value of the Company's investments in unconsolidated entities is recorded on the Consolidated Statement of Operations in Earnings (losses) from investments in unconsolidated entities. (J) Real Estate Owned ("REO"): When the Company obtains possession of real property in connection with a foreclosure or similar action, the Company de-recognizes the associated mortgage loan according to ASU 2014-04, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure ("ASU 2014-04"). Under the provisions of ASU 2014-04, the Company is deemed to have received physical possession of real estate property collateralizing a mortgage loan when it obtains legal title to the property upon completion of a foreclosure or when the borrower conveys all interest in the property to it through a deed in lieu of foreclosure or similar legal agreement. The Company's initial cost basis in REO is equal to the fair value of the real estate associated with the foreclosed mortgage loan, less expected costs to sell. REO valuations are reflected at the lower of cost or fair value. The fair value of such REO is typically based on management's estimates which generally use information including general economic data, BPOs, recent sales, property appraisals, and bids, and takes into account the expected costs to sell the property. (K) Securities Sold Short: The Company may purchase or engage in short sales of U.S. Treasury securities and sovereign debt to mitigate the potential impact of changes in interest rates and/or foreign exchange rates on the performance of its portfolio. When the Company sells securities short, it typically satisfies its security delivery settlement obligation by borrowing or purchasing the security sold short from the same or a different counterparty. When borrowing a security sold short from a counterparty, the Company generally is required to deliver cash or securities to such counterparty as collateral for the Company's obligation to return the borrowed security. The Company has chosen to elect the FVO pursuant to ASC 825 for its securities sold short. Electing the FVO allows the Company to record changes in fair value in the Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. As such, securities sold short are recorded at fair value on the Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on the Consolidated Statement of Operations as a component of Unrealized gains (losses) on securities and loans, net. A realized gain or loss will be recognized upon the termination of a short sale if the market price is less or greater than the original sale price. Such realized gain or loss is recorded on the Company's Consolidated Statement of Operations in Realized gains (losses) on securities and loans, net. (L) Financial Derivatives: The Company enters into various types of financial derivatives subject to its investment guidelines, which include restrictions associated with maintaining qualification as a REIT. The Company's financial derivatives are predominantly subject to bilateral master trade agreements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (the "Dodd-Frank Act"). The Company may be required to deliver or receive cash or securities as collateral upon entering into derivative transactions. In addition, changes in the value of derivative transactions may require the Company or the counterparty to post or receive additional collateral. In the case of cleared derivatives, the clearinghouse becomes the Company's counterparty and a futures commission merchant acts as an intermediary between the Company and the clearinghouse with respect to all facets of the related transaction, including the posting and receipt of required collateral. Cash collateral received by the Company is included in Due to brokers, on the Consolidated Balance Sheet. Conversely, cash collateral posted by the Company is included in Due from brokers, on the Consolidated Balance Sheet. The types of derivatives primarily utilized by the Company are swaps, TBAs, futures, options, and forwards. Swaps: The Company may enter into various types of swaps, including interest rate swaps, credit default swaps, and total return swaps. The primary risk associated with the Company's interest rate swap activity is interest rate risk. The primary risk associated with the Company's credit default swaps and total return swaps is credit risk. The Company is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Primarily to help mitigate interest rate risk, the Company enters into interest rate swaps. Interest rate swaps are contractual 15 Table of Contents agreements whereby one party pays a floating interest rate on a notional principal amount and receives a fixed-rate payment on the same notional principal, or vice versa, for a fixed period of time. Interest rate swaps change in value with movements in interest rates. The Company also enters into interest rate swaps whereby the Company pays one floating rate and receives a different floating rate ("basis swaps"). The Company enters into credit default swaps. A credit default swap is a contract under which one party agrees to compensate another party for the financial loss associated with the occurrence of a "credit event" in relation to a "reference amount" or notional value of a "reference asset" (usually a bond or an index or basket of bonds). The definition of a credit event may vary from contract to contract. A credit event may occur (i) when the reference asset (or underlying asset, in the case of a reference asset that is an index or basket) fails to make scheduled principal or interest payments to its holders, (ii) with respect to credit default swaps referencing mortgage/asset-backed securities and indices, when the reference asset (or underlying asset, in the case of a reference asset that is an index or basket) is downgraded below a certain rating level, or (iii) with respect to credit default swaps referencing corporate entities and indices, upon the bankruptcy of the obligor of the reference asset (or underlying obligor, in the case of a reference asset that is an index). The Company typically writes (sells) protection to take a "long" position with respect to the underlying reference assets, or purchases (buys) protection to take a "short" position with respect to the underlying reference assets or to hedge exposure to other investment holdings. The Company enters into total return swaps in order to take a "long" or "short" position with respect to an underlying reference asset. The Company is subject to market price volatility of the underlying reference asset. A total return swap involves commitments to pay interest in exchange for a market-linked return based on a notional value. To the extent that the total return of the corporate debt, security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Company will receive a payment from or make a payment to the counterparty. Swaps change in value with movements in interest rates, credit quality, or total return of the reference securities. During the term of swap contracts, changes in value are recognized as unrealized gains or losses on the Consolidated Statement of Operations. When a contract is terminated, the Company realizes a gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company's basis in the contract, if any. Periodic payments or receipts required by swap agreements are recorded as unrealized gains or losses when accrued and realized gains or losses when received or paid. Upfront payments paid and/or received by the Company to open swap contracts are recorded as an asset and/or liability on the Consolidated Balance Sheet and are recorded as a realized gain or loss on the termination date. TBA Securities: The Company transacts in the forward settling TBA market. A TBA position is a forward contract for the purchase ("long position") or sale ("short position") of Agency RMBS at a predetermined price, face amount, issuer, coupon, and maturity on an agreed-upon future delivery date. For each TBA contract and delivery month, a uniform settlement date for all market participants is determined by the Securities Industry and Financial Markets Association. The specific Agency RMBS to be delivered into the contract at the settlement date are not known at the time of the transaction. The Company usually does not take delivery of TBAs, but rather enters into offsetting transactions and settles the associated receivable and payable balances with its counterparties. The Company uses TBAs to mitigate interest rate risk, usually by taking short positions. The Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for speculative purposes, including holding long positions. TBAs are accounted for by the Company as financial derivatives. The difference between the forward contract price and the market value of the TBA position as of the reporting date is included in Unrealized gains (losses) on financial derivatives, net, on the Consolidated Statement of Operations. Futures Contracts: A futures contract is an exchange-traded agreement to buy or sell an asset for a set price on a future date. The Company enters into Eurodollar and/or U.S. Treasury security futures contracts to hedge its interest rate risk. The Company may also enter into various other futures contracts, including equity index futures and foreign currency futures. Initial margin deposits are made upon entering into futures contracts and can generally be either in the form of cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by marking-to-market to reflect the current market value of the contract. Variation margin payments are made or received periodically, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. Options: The Company may purchase or write put or call options contracts or enter into swaptions. The Company enters into options contracts typically to help mitigate overall market, credit, or interest rate risk depending on the type of options contract. However, the Company also enters into options contracts from time to time for speculative purposes. When the Company purchases an options contract, the option asset is initially recorded at an amount equal to the premium paid, if any, and is subsequently marked-to-market. Premiums paid for purchasing options contracts that expire unexercised are recognized on the expiration date as realized losses. If an options contract is exercised, the premium paid is subtracted from the proceeds of 16 Table of Contents the sale or added to the cost of the purchase to determine whether the Company has realized a gain or loss on the related transaction. When the Company writes an options contract, the option liability is initially recorded at an amount equal to the premium received, if any, and is subsequently marked-to-market. Premiums received for writing options contracts that expire unexercised are recognized on the expiration date as realized gains. If an options contract is exercised, the premium received is subtracted from the cost of the purchase or added to the proceeds of the sale to determine whether the Company has realized a gain or loss on the related investment transaction. When the Company enters into a closing transaction, the Company will realize a gain or loss depending upon whether the amount from the closing transaction is greater or less than the premiums paid or received. The Company may also enter into options contracts that contain forward-settling premiums. In this case, no money is exchanged upfront. Instead, the agreed-upon premium is paid by the buyer upon expiration of the option, regardless of whether or not the option is exercised. Forward Currency Contracts: A forward currency contract is an agreement between two parties to purchase or sell a specific quantity of currency with the delivery and settlement at a specific future date and exchange rate. During the period the forward currency contract is open, changes in the value of the contract are recognized as unrealized gains or losses. When the contract is settled, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. Financial derivative assets are included in Financial derivatives—assets, at fair value, on the Consolidated Balance Sheet. Financial derivative liabilities are included in Financial derivatives—liabilities, at fair value, on the Consolidated Balance Sheet. The Company has chosen to elect the FVO pursuant to ASC 825 for its financial derivatives. Electing the FVO allows the Company to record changes in fair value in the Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all investment activities will be recorded in a similar manner. Changes in unrealized gains and losses on financial derivatives are included in Unrealized gains (losses) on financial derivatives, net, on the Consolidated Statement of Operations. Realized gains and losses on financial derivatives are included in Realized gains (losses) on financial derivatives, net, on the Consolidated Statement of Operations. (M) Intangible Assets: The Company has acquired intangible assets including internally developed software, trademarks, and customer relationships. Intangible assets are amortized over their expected useful lives on a straight-line basis. See Note 11 for additional details on the Company's intangible assets. (N) Cash and Cash Equivalents: Cash and cash equivalents include cash and short-term investments with original maturities of three months or less at the date of acquisition. Cash and cash equivalents typically include amounts held in interest bearing overnight accounts and amounts held in money market funds, and these balances generally exceed insured limits. The Company holds its cash at institutions that it believes to be highly creditworthy. Restricted cash represents cash that the Company can use only for specific purposes. (O) Repurchase Agreements: The Company enters into repurchase agreements with third-party broker-dealers whereby it sells securities under agreements to be repurchased at an agreed-upon price and date. The Company accounts for repurchase agreements as collateralized borrowings, with the initial sale price representing the amount borrowed, and with the future repurchase price consisting of the amount borrowed plus interest, at the implied interest rate of the repurchase agreement, on the amount borrowed over the term of the repurchase agreement. The interest rate on a repurchase agreement is based on competitive rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. When the Company enters into a repurchase agreement, the lender establishes and maintains an account containing cash and/or securities having a value not less than the repurchase price, including accrued interest, of the repurchase agreement. Repurchase agreements are carried at their contractual amounts, which approximate fair value as the debt is short-term in nature. (P) Reverse Repurchase Agreements: The Company enters into reverse repurchase agreement transactions whereby it purchases securities under agreements to resell at an agreed-upon price and date. In general, securities received pursuant to reverse repurchase agreements are delivered to counterparties of short sale transactions. The interest rate on a reverse repurchase agreement is based on competitive rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. Assets held pursuant to reverse repurchase agreements are reflected as assets on the Consolidated Balance Sheet. Reverse repurchase agreements are carried at their contractual amounts, which approximates fair value due to their short-term nature. Repurchase and reverse repurchase agreements that are conducted with the same counterparty may be reported on a net basis if they meet the requirements of ASC 210-20, Balance Sheet Offsetting. There are no repurchase and reverse repurchase agreements reported on a net basis in the Company's consolidated financial statements. (Q) Transfers of Financial Assets: The Company enters into transactions whereby it transfers financial assets to third parties. Upon such a transfer of financial assets, the Company will sometimes retain or acquire interests in the related assets. 17 Table of Contents The Company evaluates transferred assets pursuant to ASC 860-10, Transfers of Financial Assets ("ASC 860-10") which requires that a determination be made as to whether a transferor has surrendered control over transferred financial assets. That determination must consider the transferor's continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. When a transfer of financial assets does not qualify as a sale, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral. ASC 860-10 is a standard that requires the Company to exercise significant judgment in determining whether a transaction should be recorded as a "sale" or a "financing." (R) Variable Interest Entities: VIEs are entities in which: (i) the equity investors do not have the characteristics of a controlling financial interest, or (ii) there is insufficient equity to permit the entity to finance its activities without additional subordinated financial support from other parties. Consolidation of a VIE is required by the entity that is deemed to be the primary beneficiary of the VIE. The Company evaluates all of its interests in VIEs for consolidation under ASC 810. The primary beneficiary is generally the party with both (i) the power to direct the activities of the VIE that most significantly impact its economic performance, and (ii) the obligation to absorb losses and the right to receive benefits from the VIE which could be potentially significant to the VIE. When the Company has an interest in an entity that has been determined to be a VIE, the Company assesses whether it is deemed to be the primary beneficiary of the VIE. The Company will only consolidate a VIE for which it has concluded it is the primary beneficiary. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE's economic performance, the Company considers all facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes (i) identifying the activities that most significantly impact the VIE's economic performance; and (ii) identifying which party, if any, has power over those activities. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, it considers all of its economic interests, including debt and/or equity investments, as well as other arrangements deemed to be variable interests in the VIE. These assessments to determine whether the Company is the primary beneficiary require significant judgment. In instances where the Company and its related parties have interests in a VIE, the Company considers whether there is a single party in the related party group that meets the criteria to be deemed the primary beneficiary. If one party within the related party group meets such criteria, that reporting entity would be deemed to be the primary beneficiary of the VIE and no further analysis is needed. If no party within the related party group on its own meets the criteria to be deemed the primary beneficiary, but the related party group as a whole meets such criteria, the determination of the primary beneficiary within the related party group requires significant judgment. The Company performs analysis, which is based upon qualitative as well as quantitative factors, such as the relationship of the VIE to each of the members of the related party group, as well as the significance of the VIE's activities to those members, with the objective of determining which party is most closely associated with the VIE. The Company performs ongoing reassessments of (i) whether any entities previously evaluated have become VIEs, based on certain events, and therefore subject to assessment to determine whether consolidation is appropriate, and (ii) whether changes in the facts and circumstances regarding the Company's involvement with a VIE causes its consolidation conclusion regarding the VIE to change. See Note 12, Note 13, and Note 16 for further information on the Company's investments in VIEs. The Company's maximum amount at risk is generally limited to the Company's investment in the VIE. The Company holds beneficial interests in certain securitization trusts that are considered VIEs. The beneficial interests in these securitization trusts are represented by certificates issued by the trusts. The securitization trusts have been structured as pass-through entities that receive principal and interest payments on the underlying collateral and distribute those payments to the certificate holders, which include both third-party investors and the Company. The certificates held by the Company typically include some or all of the most subordinated tranches. The assets held by the trusts are restricted in that they can only be used to fulfill the obligations of the related trust. In certain cases, the design and structure of the securitization trust is such that the Company effectively retains control of the assets as well as the activities that most significantly impact the economic performance of the trust. In such cases, the Company is determined to be the primary beneficiary, and the Company consolidates the trust and all intercompany transactions are eliminated in consolidation. In cases where the Company does not effectively retain control of the assets of, or have the power to direct the activities that most significantly impact the economic performance of, the related trust, it does not consolidate the trust. See Note 13 for further discussion of the Company's securitization trusts. (S) Offering Costs/Underwriters' Discount: Offering costs and underwriters' discount are generally charged against stockholders' equity upon the completion of a capital raise. Offering costs typically include legal, accounting, and other fees associated with the cost of raising capital. (T) Debt Issuance Costs: Debt issuance costs associated with debt for which the Company has elected the FVO are expensed at the issuance of the debt, and are included in Investment and transaction related expenses—Other on the 18 Table of Contents Consolidated Statement of Operations. Costs associated with the issuance of debt for which the Company has not elected the FVO are deferred and amortized over the life of the debt, which approximates the effective interest rate method, and are included in Interest expense on the Consolidated Statement of Operations. Deferred debt issuance costs are presented on the Consolidated Balance Sheet as a direct deduction from the related debt liability, unless such deferred debt issuance costs are associated with borrowing facilities that are expected to have a future benefit, such as giving the Company the ability to access additional borrowings over the contractual term of the debt, in which case such deferred debt issuance costs are included in Other assets on the Consolidated Balance Sheet. Debt issuance costs include legal and accounting fees, purchasers' or underwriters' discount, as well as other fees associated with the cost of the issuance of the related debt. (U) Expenses: Expenses are recognized as incurred on the Consolidated Statement of Operations. (V) Leases: The Company accounts for its leases under ASU 842, Leases ("ASC 842") using a right-of-use ("ROU") model, which recognizes that, at the date of commencement, a lessee has a financial obligation to make lease payments to the lessor for the right to use the underlying asset during the lease term. For each lease with a term greater than one year, the Company recognizes a ROU asset as well as a lease liability, which is included in Other assets and Accrued expenses and other liabilities, respectively, on the Consolidated Balance Sheet. Operating lease liabilities and their corresponding ROU assets are recorded based on the present value of lease payments over the expected remaining lease term. The interest rate implicit in lease contracts is typically not readily determinable, and as a result, the Company utilizes an incremental borrowing rate, which reflects the fixed rate at which the Company could borrow on a collateralized basis the amount of the lease payments for a similar term. Lease expense for lease payments is recognized on a straight-line basis over the lease term. (W) Investment and Transaction Related Expenses: Investment and transaction related expenses consist of expenses directly related to specific financial instruments. Such expenses generally include servicing fees and corporate and escrow advances on mortgage and consumer loans, loan origination fees, and various other expenses and fees related directly to the Company's financial instruments. The Company has elected the FVO for its investments, and as a result all investment and transaction related expenses are expensed as incurred and included in Investment and transaction related expenses on the Consolidated Statement of Operations. (X) Investment Related Receivables: Investment related receivables on the Company's Consolidated Balance Sheet includes receivables for securities sold and interest and principal receivable on securities and loans. (Y) Share Based Compensation: The Company applies the provisions of ASC 718, Compensation—Stock Compensation ("ASC 718"), with regard to its equity incentive plans. ASC 718 covers a wide range of share-based compensation arrangements including share options, restricted share plans, performance-based awards, share appreciation rights, and employee share purchase plans. ASC 718 requires that compensation cost relating to share-based payment transactions be recognized in the financial statements. The cost is measured based on the fair value, at the grant date, of the equity or liability instruments issued and is amortized over the vesting period. Long term incentive plan units of the Operating Partnership ("OP LTIP Units") have been issued to certain Ellington and Longbridge personnel dedicated or partially dedicated to the Company, certain of the Company's directors, as well as the Manager. Additionally, the Company has issued restricted shares of common stock in exchange for unvested OP LTIP Units. Costs associated with OP LTIP Units and restricted shares of common stock ("Restricted Shares") issued to dedicated or partially dedicated personnel, or to the Company's directors, are measured as of the grant date based on the Company's closing stock price on the New York Stock Exchange and are amortized over the vesting period in accordance with ASC 718-10, Compensation—Stock Compensation. The vesting periods for OP LTIP Units and Restricted Shares are typically one year from issuance for non-executive directors, and are typically one year to two years from issuance for dedicated or partially dedicated personnel. Forfeited shares decrease the total number of shares issued and outstanding and are immediately retired upon settlement. (Z) Non-controlling interests: Non-controlling interests include interests in the Operating Partnership represented by units convertible into shares of the Company's common stock ("Convertible Non-controlling Interests"). Convertible Non-controlling Interests include both the OP LTIP Units and those common units ("OP Units") of the Operating Partnership not held by the Company (collectively, the "Convertible Non-controlling Interest Units"). Non-controlling interests also include the interests of joint venture partners in certain of the Company's consolidated subsidiaries. The joint venture partners' interests are not convertible into shares of the Company's common stock. The Company adjusts the Convertible Non-controlling Interests to align their carrying value with their share of total outstanding Operating Partnership units, including both the OP Units held by the Company and the Convertible Non-controlling Interests. Any such adjustments are reflected in Adjustment to non-controlling interests, on the Consolidated Statement of Changes in Equity. See Note 18 for further discussion of non-controlling interests. 19 Table of Contents (AA) Dividends: Dividends payable on shares of common stock and Convertible Non-controlling Interest Units are recorded on the declaration date. Dividends on shares of preferred stock are accrued daily based on contractual rates. (AB) Shares Repurchased: Shares of common stock that are repurchased by the Company subsequent to issuance are immediately retired upon settlement and decrease the total number of shares of common stock issued and outstanding. The cost of such repurchases is charged against Additional paid-in-capital on the Company's Consolidated Balance Sheet. (AC) Earnings Per Share ("EPS"): Basic EPS is computed using the two class method by dividing net income (loss) after adjusting for the impact of Convertible Non-controlling Interests which are participating securities, by the weighted average number of shares of common stock outstanding calculated including Convertible Non-controlling Interests. Because the Company's Convertible Non-controlling Interests are participating securities, they are included in the calculation of both basic and diluted EPS. (AD) Foreign Currency: The functional currency of the Company is U.S. dollars. Assets and liabilities denominated in foreign currencies are remeasured into U.S. dollars at current exchange rates at the following dates: (i) assets, liabilities, and unrealized gains/losses—at the valuation date; and (ii) income, expenses, and realized gains/losses—at the accrual/transaction date. The Company isolates the portion of realized and change in unrealized gain (loss) resulting from changes in foreign currency exchange rates on investments and financial derivatives from the fluctuations arising from changes in fair value of investments and financial derivatives held. Changes in realized and change in unrealized gain (loss) due to foreign currency are included in Other, net, on the Consolidated Statement of Operations. The Company's reporting currency is U.S. Dollars. If the Company has investments in unconsolidated entities that have a functional currency other than U.S. Dollars, the fair value is translated to U.S. dollars using the current exchange rate at the valuation date. The cumulative remeasurement adjustment, if any, associated with the Company's investments in unconsolidated entities is recorded in accumulated other comprehensive income (loss), a component of consolidated stockholders' equity. (AE) Income Taxes: The Company has elected to be taxed as a REIT under Sections 856 through 860 of the Code. As a REIT, the Company is generally not subject to federal and state income tax to the extent it distributes its taxable income to its stockholders within the prescribed timeframes. To qualify as a REIT, the Company must meet a number of organizational and operational requirements, including distributing at least 90% of its annual taxable income to stockholders. Even if the Company qualifies as a REIT, it may be subject to certain federal, state, local, and foreign taxes on its income and property. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state, and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT. As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for deficiency dividends) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% federal excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax. The Company elected to treat certain domestic and foreign subsidiaries as taxable REIT subsidiaries (or "TRSs"), and may elect to treat other current or future subsidiaries as TRSs. In general, a TRS may hold assets and engage in any real estate or non-real estate-related activities that the Company cannot hold or engage in directly. A domestic TRS may, but is not required to, declare dividends to the Company; such dividends will be included in the Company's taxable income/(loss) and may necessitate a distribution to the Company's stockholders. Conversely, if the Company retains earnings at the level of a domestic TRS, such earnings will increase the book equity of the consolidated entity. A domestic TRS is subject to U.S. federal, state, and local corporate income taxes. The Company has elected and may elect in the future to treat certain of its foreign corporate subsidiaries as TRSs and, accordingly, taxable income generated by these TRSs may not be subject to U.S. federal, state, and local corporate income taxation, but generally will be included in the Company's income on a current basis as Subpart F income, whether or not distributed. The Company's foreign subsidiaries may be subject to income taxes in their relevant foreign jurisdictions. The Company's financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation. The Company follows the authoritative guidance on accounting for and disclosure of uncertainty on tax positions, which requires management to determine whether a tax position of the Company is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. For uncertain tax positions, the tax benefit to be recognized is measured as the largest amount of benefit that is more than 50% likely to be realized upon ultimate settlement. The Company did not have any unrecognized tax benefits resulting from tax positions related to the current period, or its open tax years (2022, 2023, and 2024). In the normal 20 Table of Contents course of business, the Company may be subject to examination by federal, state, local, and foreign jurisdictions, where applicable, for the current period and its open tax years. The Company may take positions with respect to certain tax issues which depend on legal interpretation of facts or applicable tax regulations. Should the relevant tax regulators successfully challenge any of such positions, the Company might be found to have a tax liability that has not been recorded in the accompanying consolidated financial statements. Also, management's conclusions regarding the authoritative guidance may be subject to review and adjustment at a later date based on changing tax laws, regulations, and interpretations thereof. The Company recognizes interest and penalties, if any, related to uncertain tax positions, as income tax expense included in Income tax expense (benefit) on the Consolidated Statement of Operations. (AF) Business Combinations: In accordance with ASC 805, Business Combinations ("ASC 805"), the Company applies the acquisition method to transactions in which it obtains control over one or more other businesses. Assets acquired and liabilities assumed are measured at fair value as of the acquisition date. Goodwill is recognized if the consideration transferred exceeds the fair value of the net assets acquired. Alternatively, a bargain purchase gain is recognized if the fair value of the net assets acquired exceeds the consideration transferred. (AG) Recent Accounting Pronouncements: In November 2024, the FASB issued ASU 2024-03, Disaggregation of Income Statement Expenses ("ASU 2024-03"). ASU 2024-03 requires public entities to provide tabular disclosure of certain expenses including, employee compensation, depreciation, intangible asset amortization, on an interim and annual basis, in the notes to the financial statements. ASU 2024-03 is effective for annual periods beginning after December 15, 2026, and interim periods in fiscal years beginning after December 15, 2027, with early adoption permitted. ASU 2024-03 should be applied either on a prospective basis to financial statements issued for reporting periods after the effective date of ASU 2024-03 or retrospectively to any or all prior periods presented in the financial statements. ASU 2024-03 is not expected to have a material impact on the Company's consolidated financial statements. 21 Table of Contents 3. Valuation The tables below reflect the value of the Company's Level 1, Level 2, and Level 3 financial instruments that are measured at fair value on a recurring basis as of June 30, 2026 and December 31, 2025: June 30, 2026: Description Level 1 Level 2 Level 3 Total (In thousands) Assets: Securities, at fair value: Agency RMBS $ — $ 197,780 $ 12,760 $ 210,540 Non-Agency RMBS — 151,382 396,915 548,297 CMBS — 12,368 10,345 22,713 CLOs — 56,422 44,632 101,054 Asset-backed securities, backed by consumer loans — — 53,159 53,159 Other ABS — — 116,916 116,916 Corporate debt securities — — 29,419 29,419 Corporate equity securities 239 — 10,883 11,122 U.S. Treasury securities — 137,523 — 137,523 Loans, at fair value: Residential mortgage loans — — 3,559,269 3,559,269 Commercial mortgage loans — — 675,066 675,066 Consumer loans — — 108 108 Corporate loans — — 52,575 52,575 Reverse mortgage loans — — 13,587,412 13,587,412 Forward MSR-related investments, at fair value 75,901 75,901 MSRs, at fair value — — 30,040 30,040 Loan commitments, at fair value — — 10,191 10,191 Loan purchase commitments, at fair value — — 472 472 Investment in unconsolidated entities, at fair value — — 402,259 402,259 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed indices — 1,127 — 1,127 Credit default swaps on corporate bond indices — 15,951 — 15,951 Interest rate swaps — 153,729 — 153,729 TBAs — 499 — 499 Futures — — — — Forwards — 280 — 280 Total return swaps — — 63 63 Options 3,237 — — 3,237 Warrants — 3 — 3 Total assets $ 3,476 $ 727,064 $ 19,068,385 $ 19,798,925 22 Table of Contents Description Level 1 Level 2 Level 3 Total (continued) (In thousands) Liabilities: Securities sold short, at fair value: Government debt $ — $ (252,118) $ — $ (252,118) Financial derivatives–liabilities, at fair value: Credit default swaps on asset-backed securities — — (2) (2) Credit default swaps on corporate bonds — (111) — (111) Credit default swaps on corporate bond indices — (32,305) — (32,305) Interest rate swaps — (43,066) — (43,066) TBAs — (2,266) — (2,266) Options (2,363) — — (2,363) Futures (680) — — (680) Other secured borrowings, at fair value — — (3,451,333) (3,451,333) HMBS-related obligations, at fair value — — (11,057,752) (11,057,752) Unsecured borrowings, at fair value — — (654,962) (654,962) Total liabilities $ (3,043) $ (329,866) $ (15,164,049) $ (15,496,958) December 31, 2025: Description Level 1 Level 2 Level 3 Total (In thousands) Assets: Securities, at fair value: Agency RMBS $ — $ 205,789 $ 12,578 $ 218,367 Non-Agency RMBS — 185,805 267,747 453,552 CMBS — 13,615 12,935 26,550 CLOs — 90,775 34,265 125,040 Asset-backed securities, backed by consumer loans — — 53,087 53,087 Other ABS — — 97,773 97,773 Corporate debt securities — — 15,530 15,530 Corporate equity securities 337 — 11,654 11,991 U.S. Treasury securities — 32,992 — 32,992 Loans, at fair value: Residential mortgage loans — — 3,643,094 3,643,094 Commercial mortgage loans — — 640,712 640,712 Consumer loans — — 159 159 Corporate loans — — 25,366 25,366 Reverse mortgage loans — — 12,331,316 12,331,316 Forward MSR-related investments, at fair value 77,852 77,852 MSRs, at fair value — — 28,913 28,913 Loan commitments, at fair value — — 9,124 9,124 Investment in unconsolidated entities, at fair value — — 312,421 312,421 23 Table of Contents Description Level 1 Level 2 Level 3 Total (continued) (In thousands) Financial derivatives–assets, at fair value: Credit default swaps on asset-backed indices — 2,206 — 2,206 Credit default swaps on corporate bond indices — 4,621 — 4,621 Interest rate swaps — 128,898 — 128,898 TBAs — 257 — 257 Futures 1,095 — — 1,095 Forwards — 14 — 14 Total return swaps — — 24 24 Options 5,607 — — 5,607 Warrants — 1 — 1 Total assets $ 7,039 $ 664,973 $ 17,574,550 $ 18,246,562 Liabilities: Securities sold short, at fair value: Government debt $ — $ (272,702) $ — $ (272,702) Financial derivatives–liabilities, at fair value: Credit default swaps on asset-backed securities — — (2) (2) Credit default swaps on corporate bonds — (155) — (155) Credit default swaps on corporate bond indices — (25,407) — (25,407) Interest rate swaps — (26,797) — (26,797) TBAs — (598) — (598) Futures (45) — — (45) Forwards — (69) — (69) Loan purchase commitments, at fair value — — (42) (42) Other secured borrowings, at fair value — — (2,945,578) (2,945,578) HMBS-related obligations, at fair value — — (10,406,332) (10,406,332) Unsecured borrowings, at fair value — — (659,832) (659,832) Total liabilities $ (45) $ (325,728) $ (14,011,786) $ (14,337,559) 24 Table of Contents The tables below include roll-forwards of the Company's financial instruments for the three- and six-month periods ended June 30, 2026 and 2025 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. Three-Month Period Ended June 30, 2026 (In thousands) Beginning Balance as of March 31, 2026 Accreted Discounts / (Amortized Premiums) Net Realized Gain/ (Loss) Change in Net Unrealized Gain/(Loss) Purchases/Payments(1) Sales/Issuances(2) Transfers Into Level 3 Transfers Out of Level 3 Ending Balance as of June 30, 2026 Assets: Securities, at fair value: Agency RMBS $ 12,347 $ (741) $ 10 $ (125) $ 1,534 $ — $ — $ (265) $ 12,760 Non-Agency RMBS 310,784 (19,337) 3,026 (2,376) 123,357 (32,263) 16,873 (3,149) 396,915 CMBS 9,786 (99) — (1,409) 2,016 — 685 (634) 10,345 CLOs 37,367 (1,921) (550) 1,625 — (403) 12,343 (3,829) 44,632 Asset-backed securities backed by consumer loans 53,680 (1,844) (408) (282) 6,513 (4,500) — — 53,159 Other ABS 114,879 (1,937) (3,383) 653 9,896 (3,192) — — 116,916 Corporate debt securities 20,005 — (330) 2,074 10,684 (3,014) — — 29,419 Corporate equity securities 11,516 — 1,538 (204) 50 (2,017) — — 10,883 Loans, at fair value: Residential mortgage loans 3,748,165 1,701 (14,424) 3,519 2,063,329 (2,243,021) — — 3,559,269 Commercial mortgage loans 623,196 — (94) (1,182) 110,759 (57,613) — — 675,066 Consumer loans 135 (20) (1) 16 — (22) — — 108 Corporate loans 31,479 — — (6) 46,332 (25,230) — — 52,575 Reverse mortgage loans(3) 12,990,186 (184) (157) 168,706 746,812 (317,951) — — 13,587,412 Forward MSR-related investments, at fair value 72,824 2,583 — 5,501 — (5,007) — — 75,901 MSRs, at fair value(3) 30,192 — — (152) — — — — 30,040 Loan commitments, at fair value 10,207 — — (16) — — — — 10,191 Loan purchase commitments, at fair value — — — 472 — — — — 472 Investments in unconsolidated entities, at fair value 349,722 — 5,490 5,485 183,277 (141,715) — — 402,259 Financial derivatives–assets, at fair value: Total return swaps 54 — 227 9 — (227) — — 63 Total assets, at fair value $ 18,426,524 $ (21,799) $ (9,056) $ 182,308 $ 3,304,559 $ (2,836,175) $ 29,901 $ (7,877) $ 19,068,385 Liabilities: Financial derivatives–liabilities, at fair value: Total return swaps $ — $ — $ (86) $ — $ 89 $ (3) $ — $ — $ — Credit default swaps on asset-backed securities (2) — 1 — — (1) — — (2) Loan purchase commitments, at fair value (6,443) — — 6,443 — — — — — Other secured borrowings, at fair value (3,125,332) (5,003) — 8,428 96,909 (426,335) — — (3,451,333) Unsecured borrowings, at fair value (638,644) — — (16,318) — — — — (654,962) HMBS-related obligations, at fair value(3) (10,765,668) — — (121,141) 281,464 (452,407) — — (11,057,752) Total liabilities, at fair value $ (14,536,089) $ (5,003) $ (85) $ (122,588) $ 378,462 $ (878,746) $ — $ — $ (15,164,049) (1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities. 25 Table of Contents (2)For Investments in unconsolidated entities, at fair value and Forward MSR-related investments, at fair value, amount represents distributions received. (3)Change in net unrealized gain (loss) represents the net change in fair value which can include interest income, interest expense, and realized and unrealized gains and losses. All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2026, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2026. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2026. (In thousands) Three-Month Period Ended June 30, 2026 Securities, at fair value $ (422) Loans, at fair value 145,257 Forward MSR-related investments, at fair value 5,501 MSRs, at fair value (152) Loan purchase commitments, at fair value 2,588 Loan commitments, at fair value 9,416 Investments in unconsolidated entities, at fair value 3,856 Financial derivatives-assets, at fair value 9 Other secured borrowings, at fair value 8,428 Unsecured borrowings, at fair value (16,318) HMBS-related obligations, at fair value (121,141) At June 30, 2026, the Company transferred $7.9 million of assets from Level 3 to Level 2 and $29.9 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. 26 Table of Contents Three-Month Period Ended June 30, 2025 (In thousands) Beginning Balance as of March 31, 2025 Accreted Discounts / (Amortized Premiums) Net Realized Gain/ (Loss) Change in Net Unrealized Gain/(Loss) Purchases/Payments(1) Sales/Issuances(2) Transfers Into Level 3 Transfers Out of Level 3 Ending Balance as of June 30, 2025 Assets: Securities, at fair value: Agency RMBS $ 10,753 $ (396) $ 6 $ 133 $ 250 $ — $ 1,889 $ (3,752) $ 8,883 Non-Agency RMBS 191,474 (12,116) 1,813 10,432 123,775 (23,695) 1,883 (34,634) 258,932 CMBS 17,687 289 (780) 1,022 — (812) 4,209 — 21,615 CLOs 12,116 (886) 63 (511) 10,502 (490) — — 20,794 Asset-backed securities backed by consumer loans 56,348 (1,758) (2,448) 1,644 6,767 (5,367) — — 55,186 Other ABS 24,481 (136) 2,246 (871) 1,028 (4,749) — — 21,999 Corporate debt securities 13,388 — (123) 18 2,919 (2,595) — — 13,607 Corporate equity securities 9,310 — (984) 622 528 (437) — — 9,039 Loans, at fair value: Residential mortgage loans 3,325,164 (2,848) 13,742 20,041 998,311 (1,246,855) — — 3,107,555 Commercial mortgage loans 356,178 3 376 7 96,763 (18,105) — — 435,222 Consumer loans 370 (44) — (2) 4 (57) — — 271 Corporate loans 11,117 — (1,644) 1,636 45,888 (37,288) — — 19,709 Reverse mortgage loans(3) 10,581,329 (133) — 192,895 560,405 (228,888) — — 11,105,608 Forward MSR-related investments, at fair value 87,203 2,927 — (2,752) — (6,122) — — 81,256 MSRs, at fair value(3) 29,536 — — (260) — — — — 29,276 Loan commitments, at fair value 7,215 — — 1,570 — — — — 8,785 Loan purchase commitments, at fair value 1,342 — — 2,722 — — — — 4,064 Investments in unconsolidated entities, at fair value 269,093 — 2,688 14,384 112,310 (90,753) — — 307,722 Total assets, at fair value $ 15,004,104 $ (15,098) $ 14,955 $ 242,730 $ 1,959,450 $ (1,666,213) $ 7,981 $ (38,386) $ 15,509,523 Liabilities: Financial derivatives–liabilities, at fair value: Credit default swaps on asset-backed securities $ (3) $ — $ — $ — $ — $ — $ — $ — $ (3) Other secured borrowings, at fair value (1,926,711) (1,834) — (30,771) 54,745 (222,654) — — (2,127,225) Unsecured borrowings, at fair value (247,337) — — (1,699) — — — — (249,036) HMBS-related obligations, at fair value (9,495,132) — — (142,212) 216,573 (394,040) — — (9,814,811) Total liabilities, at fair value $ (11,669,183) $ (1,834) $ — $ (174,682) $ 271,318 $ (616,694) $ — $ — $ (12,191,075) (1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities. (2)For Investments in unconsolidated entities, at fair value and Forward MSR-related investments, at fair value, amount represents distributions received. (3)Change in net unrealized gain (loss) represents the net change in fair value which can include interest income and realized and unrealized gains and losses. 27 Table of Contents All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2025, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2025. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2025. (In thousands) Three-Month Period Ended June 30, 2025 Securities, at fair value $ 12,254 Loans, at fair value 210,725 Forward MSR-related investments, at fair value (2,752) MSRs, at fair value (260) Loan purchase commitments, at fair value 3,206 Loan commitments, at fair value 8,275 Investments in unconsolidated entities, at fair value 11,797 Other secured borrowings, at fair value (30,771) Unsecured borrowings, at fair value (1,699) HMBS-related obligations, at fair value (142,212) At June 30, 2025, the Company transferred $38.4 million of assets from Level 3 to Level 2 and $8.0 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. 28 Table of Contents Six-Month Period Ended June 30, 2026 (In thousands) Beginning Balance as of December 31, 2025 Accreted Discounts / (Amortized Premiums) Net Realized Gain/ (Loss) Change in Net Unrealized Gain/(Loss) Purchases/Payments(1) Sales/Issuances(2) Transfers Into Level 3 Transfers Out of Level 3 Ending Balance as of June 30, 2026 Assets: Securities, at fair value: Agency RMBS $ 12,578 $ (1,485) $ 639 $ (608) $ 13,338 $ (6,171) $ 520 $ (6,051) $ 12,760 Non-Agency RMBS 267,747 (37,867) 6,434 (5,315) 228,645 (70,052) 26,915 (19,592) 396,915 CMBS 12,935 (113) 296 (2,157) 2,015 (1,676) 134 (1,089) 10,345 CLOs 34,265 (1,882) (995) (2,336) 8,988 (1,975) 17,273 (8,706) 44,632 Asset-backed securities backed by consumer loans 53,087 (3,677) (2,979) 2,170 13,963 (9,405) — — 53,159 Other ABS 97,773 (4,481) (3,570) 697 41,827 (15,330) — — 116,916 Corporate debt securities 15,530 — (565) 1,895 18,375 (5,816) — — 29,419 Corporate equity securities 11,654 — 1,541 (381) 91 (2,022) — — 10,883 Loans, at fair value: Residential mortgage loans 3,643,094 2,536 (265) (17,840) 3,920,673 (3,988,929) — — 3,559,269 Commercial mortgage loans 640,712 256 426 (810) 293,906 (259,424) — — 675,066 Consumer loans 159 (39) (20) 48 11 (51) — — 108 Corporate loans 25,366 — — (164) 56,829 (29,456) — — 52,575 Reverse mortgage loans(3) 12,331,316 (450) (174) 417,013 1,403,054 (563,347) — — 13,587,412 Forward MSR-related investments, at fair value 77,852 5,325 — 5,019 — (12,295) — — 75,901 MSRs, at fair value(3) 28,913 — — 1,127 — — — — 30,040 Loan commitments, at fair value 9,124 — — 1,067 — — — — 10,191 Loan purchase commitments, at fair value — — — 472 — — — — 472 Investments in unconsolidated entities, at fair value 312,421 — 10,590 17,949 360,060 (298,761) — — 402,259 Financial derivatives–assets, at fair value: Total return swaps 24 — 281 39 — (281) — — 63 Total assets, at fair value $ 17,574,550 $ (41,877) $ 11,639 $ 417,885 $ 6,361,775 $ (5,264,991) $ 44,842 $ (35,438) $ 19,068,385 Liabilities: Financial derivatives–liabilities, at fair value: Total return swaps $ — $ — $ (132) $ — $ 137 $ (5) $ — $ — $ — Credit default swaps on asset-backed securities (2) — 1 — — (1) — — (2) Loan purchase commitments, at fair value (42) — — 42 — — — — — Other secured borrowings, at fair value (2,945,578) (8,409) — 17,252 159,214 (673,812) — — (3,451,333) Unsecured borrowings, at fair value (659,832) — — 4,870 — — — — (654,962) HMBS-related obligations, at fair value(3) (10,406,332) — — (315,248) 510,113 (846,285) — — (11,057,752) Total liabilities, at fair value $ (14,011,786) $ (8,409) $ (131) $ (293,084) $ 669,464 $ (1,520,103) $ — $ — $ (15,164,049) (1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities. (2)For Investments in unconsolidated entities, at fair value and Forward MSR-related investments, at fair value, amount represents distributions received. (3)Change in net unrealized gain (loss) represents the net change in fair value which can include interest income, interest expense, and realized and unrealized gains and losses. 29 Table of Contents All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2026, as well as Level 3 financial instruments disposed of by the Company during the six-month period ended June 30, 2026. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2026. (In thousands) Six-Month Period Ended June 30, 2026 Securities, at fair value $ (6,193) Loans, at fair value 393,309 Forward MSR-related investments, at fair value 5,019 MSRs, at fair value 1,127 Loan purchase commitments, at fair value 472 Loan commitments, at fair value 10,182 Investments in unconsolidated entities, at fair value 15,725 Financial derivatives-assets, at fair value 39 Other secured borrowings, at fair value 17,252 Unsecured borrowings, at fair value 4,870 HMBS-related obligations, at fair value (315,248) At June 30, 2026, the Company transferred $35.4 million of assets from Level 3 to Level 2 and $44.8 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. 30 Table of Contents Six-Month Period Ended June 30, 2025 (In thousands) Beginning Balance as of December 31, 2024 Accreted Discounts / (Amortized Premiums) Net Realized Gain/ (Loss) Change in Net Unrealized Gain/(Loss) Purchases/Payments(1) Sales/Issuances(2) Transfers Into Level 3 Transfers Out of Level 3 Ending Balance as of June 30, 2025 Assets: Securities, at fair value: Agency RMBS $ 10,660 $ (745) $ 43 $ 499 $ 1,003 $ (848) $ 2,275 $ (4,004) $ 8,883 Non-Agency RMBS 153,188 (19,141) 1,754 8,547 169,579 (31,031) 7,491 (31,455) 258,932 CMBS 21,399 560 (323) (12) — (4,017) 9,388 (5,380) 21,615 CLOs 22,678 (2,299) 146 (1,686) 11,124 (9,169) — — 20,794 Asset-backed securities backed by consumer loans 60,227 (3,471) (4,456) 976 13,624 (11,714) — — 55,186 Other ABS 35,483 (4) 3,315 (1,998) 2,049 (16,846) — — 21,999 Corporate debt securities 14,352 — 259 (496) 6,263 (6,771) — — 13,607 Corporate equity securities 9,759 — (348) 689 1,021 (2,082) — — 9,039 Loans, at fair value: Residential mortgage loans 3,539,534 (532) 11,284 43,839 1,916,015 (2,402,585) — — 3,107,555 Commercial mortgage loans 350,515 48 (9,699) 11,724 155,510 (72,876) — — 435,222 Consumer loans 477 (79) 26 (24) 17 (146) — — 271 Corporate loans 11,767 — (1,644) 1,751 68,089 (60,254) — — 19,709 Reverse mortgage loans(3) 10,097,279 (133) — 389,274 1,024,883 (405,695) — — 11,105,608 Forward MSR-related investments, at fair value 77,848 5,581 — 11,996 — (14,169) — — 81,256 MSRs, at fair value(3) 29,766 — — (490) — — — — 29,276 Loan commitments, at fair value 6,692 — — 2,093 — — — — 8,785 Loan purchase commitments, at fair value — — — 4,064 — — — — 4,064 Investments in unconsolidated entities, at fair value 220,078 — (2,380) 27,756 241,077 (178,809) — — 307,722 Total assets, at fair value $ 14,661,702 $ (20,215) $ (2,023) $ 498,502 $ 3,610,254 $ (3,217,012) $ 19,154 $ (40,839) $ 15,509,523 Liabilities: Financial derivatives–liabilities, at fair value: Credit default swaps on asset-backed securities $ (3) $ — $ — $ — $ — $ — $ — $ — $ (3) Loan purchase commitments, at fair value (1,602) — — 1,602 — — — — — Other secured borrowings, at fair value (1,934,309) (3,292) — (61,330) 94,360 (222,654) — — (2,127,225) Unsecured borrowings, at fair value (281,912) — (1,383) (673) 34,932 — — — (249,036) HMBS-related obligations, at fair value (9,150,883) — — (289,682) 403,296 (777,542) — — (9,814,811) Total liabilities, at fair value $ (11,368,709) $ (3,292) $ (1,383) $ (350,083) $ 532,588 $ (1,000,196) $ — $ — $ (12,191,075) (1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities. (2)For Investments in unconsolidated entities, at fair value, amount represents distributions received. (3)Change in net unrealized gain (loss) represents the net change in fair value which can include interest income and realized and unrealized gains and losses. 31 Table of Contents All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2025, as well as Level 3 financial instruments disposed of by the Company during the six-month period ended June 30, 2025. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2025. (In thousands) Six-Month Period Ended June 30, 2025 Securities, at fair value $ 7,321 Loans, at fair value 420,369 Forward MSR-related investments, at fair value 11,996 MSRs, at fair value (490) Loan purchase commitments, at fair value 4,064 Loan commitments, at fair value 8,781 Investments in unconsolidated entities, at fair value 15,839 Other secured borrowings, at fair value (61,330) Unsecured borrowings, at fair value (1,827) HMBS-related obligations, at fair value (289,682) At June 30, 2025, the Company transferred $40.8 million of assets from Level 3 to Level 2 and $19.2 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. The following table summarizes the estimated fair value of all other financial instruments not measured at fair value on a recurring basis as of June 30, 2026 and December 31, 2025: June 30, 2026 December 31, 2025 (In thousands) Fair Value Carrying Value Fair Value Carrying Value Other financial instruments Assets: Cash and cash equivalents $ 247,473 $ 247,473 $ 201,893 $ 201,893 Restricted cash 42,373 42,373 136,297 136,297 Due from brokers 59,396 59,396 35,919 35,919 Reverse repurchase agreements 577,691 577,691 453,037 453,037 Liabilities: Repurchase agreements 3,064,277 3,064,277 2,655,444 2,655,444 Other secured borrowings 256,988 256,988 296,398 296,398 Due to brokers 59,791 59,791 48,104 48,104 Cash and cash equivalents generally includes cash held in interest bearing overnight accounts, for which fair value equals the carrying value, and investments which are liquid in nature, such as investments in money market accounts or U.S. Treasury Bills, for which fair value equals the carrying value; such assets are considered Level 1. Restricted cash includes cash held in segregated accounts for which fair value equals the carrying value; such assets are considered Level 1. Due from brokers and Due to brokers include collateral transferred to or received from counterparties, along with receivables and payables for open and/or closed derivative positions. These receivables and payables are short term in nature and any collateral transferred consists primarily of cash; fair value of these items is approximated by carrying value and such items are considered Level 1. The Company's reverse repurchase agreements, repurchase agreements, and other secured borrowings are carried at cost, which approximates fair value due to their short-term nature. Reverse repurchase agreements, repurchase agreements, and other secured borrowings are classified as Level 2 based on the adequacy of the collateral and their short-term nature. 32 Table of Contents The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of June 30, 2026: Fair Value Valuation Technique Unobservable Input Range Weighted Average Description Min Max (In thousands) Non-Agency RMBS $ 160,060 Market Quotes Non Binding Third-Party Valuation $ 0.46 $ 191.00 $ 37.23 236,855 Discounted Cash Flows 396,915 Yield 0.1 % 87.1 % 16.2 % Projected Collateral Prepayments 0.0 % 90.0 % 82.7 % Projected Collateral Losses 0.0 % 57.4 % 4.1 % Projected Collateral Recoveries 0.0 % 49.6 % 3.1 % Non-Agency CMBS 9,992 Market Quotes Non Binding Third-Party Valuation $ 3.05 $ 83.90 $ 38.32 353 Discounted Cash Flows 10,345 Yield 6.8 % 23.8 % 16.1 % Projected Collateral Losses 0.0 % 93.0 % 11.4 % Projected Collateral Recoveries 7.0 % 100.0 % 87.8 % CLOs 37,342 Market Quotes Non Binding Third-Party Valuation $ 0.01 $ 121.16 $ 69.45 7,290 Discounted Cash Flows 44,632 Yield 11.6 % 79.1 % 16.3 % Agency interest only RMBS 7,088 Market Quotes Non Binding Third-Party Valuation $ 1.72 $ 21.32 $ 12.40 5,672 Option Adjusted Spread ("OAS") 12,760 SOFR OAS(1) 109 3,258 513 Projected Collateral Prepayments 10.0 % 96.6 % 57.8 % ABS 92,067 Market Quotes Non Binding Third-Party Valuation $ 2.14 $ 100.10 $ 71.30 78,008 Discounted Cash Flows 170,075 Yield 0.0 % 51.2 % 10.5 % Projected Collateral Prepayments 0.0 % 59.8 % 16.8 % Projected Collateral Losses 0.0 % 44.2 % 19.0 % Corporate debt and equity 2,451 Enterprise Value Equity Price-to-Book 0.8x 0.8x 0.8x 37,851 Discounted Cash Flows Yield 2.5 % 74.9 % 18.6 % 40,302 Performing and re-performing residential mortgage loans 1,841,908 Discounted Cash Flows Yield 1.5 % 65.0 % 6.8 % Securitized residential mortgage loans(2)(3) 1,470,667 Market Quotes Non Binding Third-Party Valuation $ 0.50 $ 100.07 $ 91.36 97,779 Discounted Cash Flows 1,568,446 Yield 0.6 % 39.5 % 6.5 % Non-performing residential mortgage loans 148,915 Discounted Cash Flows Yield 1.1 % 113.7 % 7.7 % Recovery Amount 0.2 % 264.3 % 87.7 % Months to Resolution/Maturity 5.1 106.8 22.2 Performing commercial mortgage loans 621,727 Discounted Cash Flows Yield 7.2 % 10.8 % 8.7 % 33 Table of Contents Fair Value Valuation Technique Unobservable Input Range Weighted Average Description Min Max (continued) (In thousands) Non-performing commercial mortgage loans 53,339 Discounted Cash Flows Yield 9.2 % 14.2 % 11.3 % Recovery Amount 80.0 % 100.0 % 95.7 % Months to Resolution 2.1 11.0 7.4 Consumer loans 108 Discounted Cash Flows Yield 11.8 % 12.0 % 12.0 % Projected Collateral Prepayments — % 26.8 % 9.8 % Projected Collateral Losses 0.8 % 64.2 % 22.1 % Corporate loans 52,575 Discounted Cash Flows Yield — % 27.6 % 11.1 % Reverse Mortgage Loans—HECM 11,301,352 Discounted Cash Flows Yield 2.8 % 6.5 % 4.3 % Conditional Prepayment Rate 1.8 % 39.4 % 7.7 % Reverse Mortgage Loans—HECM buyouts 48,178 Discounted Cash Flows Yield 6.2 % 11.4 % 8.2 % Months to Resolution 1.6 370.2 24.2 Reverse Mortgage Loans—Unsecuritized Proprietary 243,409 Discounted Cash Flows Yield 6.3 % 12.2 % 7.3 % Conditional Prepayment Rate 7.0 % 26.8 % 13.1 % Reverse Mortgage Loans—Securitized Proprietary(2) 1,819,442 Market Quotes Non Binding Third-Party Valuation $ 90.06 $ 112.17 $ 106.91 175,031 Recent Transactions Transaction Price n/a n/a n/a 1,994,473 Yield 5.1 % 8.4 % 5.5 % Forward MSR-related investments 75,901 Discounted Cash Flows Yield 9.0 % 9.0 % 9.0 % Conditional Prepayment Rate 5.0 % 5.0 % 5.0 % MSRs 30,040 Discounted Cash Flows Yield 17.4 % 17.4 % 17.4 % Conditional Prepayment Rate 10.4 % 42.3 % 14.6 % Loan Commitments 10,191 Discounted Cash Flows Pull-through rate 66.0 % 94.4 % 69.0 % Cost to originate 4.3 % 10.5 % 5.9 % Investment in unconsolidated entities—Loan origination and mortgage-related entities 81,205 Enterprise Value Equity Price-to-Book(4) 0.5x 2.3x 2.1x Investment in unconsolidated entities—Other 321,054 Enterprise Value Net Asset Value n/a n/a n/a 402,259 Loan Purchase Commitments 472 Transaction Price Yield 6.4 % 7.0 % 6.7 % Total return swaps 63 Discounted Cash Flows Yield 30.1 % 30.1 % 30.1 % Credit default swaps on asset-backed securities (2) Net Discounted Cash Flows Projected Collateral Prepayments 22.9 % 22.9 % 22.9 % Projected Collateral Losses 8.6 % 8.6 % 8.6 % Projected Collateral Recoveries 12.3 % 12.3 % 12.3 % Other secured borrowings, at fair value(2) (3,279,344) Market Quotes Non Binding Third-Party Valuation $ 0.50 $ 100.07 $ 92.64 (171,989) Recent Transactions Transaction Price n/a n/a n/a (3,451,333) Yield 4.9% 54.7% 5.6% Projected Collateral Prepayments 15.2% 75.5% 55.4% 34 Table of Contents Fair Value Valuation Technique Unobservable Input Range Weighted Average Description Min Max (In thousands) HMBS-related obligations, at fair value (11,057,752) Discounted Cash Flows Yield 2.6% 6.5% 4.2% Conditional Prepayment Rate 6.9% 39.4% 7.7% Unsecured borrowings, at fair value (654,962) Market Quotes Non Binding Third-Party Valuation $ 84.52 $ 99.63 $ 98.86 (1)Shown in basis points. (2)Securitized residential mortgage loans, Reverse Mortgage Loans—Securitized Proprietary, and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's CFEs as discussed in Note 2. (3)Includes $60.8 million of non-performing securitized residential mortgage loans. (4)Represents an estimation of where market participants might value an enterprise on a price-to-book basis. For the range minimum, the range maximum, and the weighted average price-to-book ratio, excludes investments in unconsolidated entities with a total fair value of $0.4 million. Including such investments, the weighted average price-to-book ratio was 2.0x. Third-party non-binding valuations are validated by comparing such valuations to internally generated prices based on the Company's or third-party models and, when available, to recent trading activity in the same or similar instruments. For those instruments valued using discounted and net discounted cash flows, collateral prepayments, losses, recoveries, and scheduled amortization are projected over the remaining life of the collateral and expressed as a percentage of the collateral's current principal balance. Averages are weighted based on the fair value of the related instrument. In the case of credit default swaps on asset-backed securities, averages are weighted based on each instrument's bond equivalent value. Bond equivalent value represents the investment amount of a corresponding position in the reference obligation, calculated as the difference between the outstanding principal balance of the underlying reference obligation and the fair value, inclusive of accrued interest, of the derivative contract. For those assets valued using the SOFR Option Adjusted Spread ("SOFR OAS") valuation methodology, cash flows are projected using the Company's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the SOFR rates implied by each interest rate scenario. The SOFR OAS of an asset is then computed as the unique constant yield spread that, when added to all SOFR rates in each interest rate scenario generated by the model, will equate (a) the expected present value of the projected asset cash flows over all model scenarios to (b) the actual current market price of the asset. SOFR OAS is therefore model-dependent. Generally speaking, SOFR OAS measures the additional yield spread over SOFR that an asset provides at its current market price after taking into account any interest rate optionality embedded in the asset. The Company considers the expected timeline to resolution in the determination of fair value for its non-performing commercial and residential mortgage loans. Material changes in any of the inputs above in isolation could result in a significant change to reported fair value measurements. Additionally, fair value measurements are impacted by the interrelationships of these inputs. For example, for instruments subject to prepayments and credit losses, such as non-Agency RMBS and consumer loans and ABS backed by consumer loans, a higher expectation of collateral prepayments will generally be accompanied by a lower expectation of collateral losses. Conversely, higher losses will generally be accompanied by lower prepayments. Because the Company's credit default swaps on asset-backed security holdings represent credit default swap contracts whereby the Company has purchased credit protection, such credit default swaps on asset-backed securities generally have the directionally opposite sensitivity to prepayments, losses, and recoveries as compared to the Company's long securities holdings. Prepayments do not represent a significant input for the Company's commercial mortgage-backed securities and commercial mortgage loans. Losses and recoveries do not represent a significant input for the Company's Agency RMBS interest only securities, given the guarantee of the issuing government agency or government-sponsored enterprise. 35 Table of Contents 4. Investment in Securities The Company's securities portfolio primarily consists of Agency RMBS, non-Agency RMBS, CMBS, CLOs, ABS and ABS backed by consumer loans, and corporate debt and equity. The following tables detail the Company's investment in securities as of June 30, 2026 and December 31, 2025. June 30, 2026: Gross Unrealized Weighted Average ($ in thousands) Current Principal Unamortized Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon(1)(2) Yield Life (Years)(3) Long: Agency Pass-Throughs: 15-year fixed-rate mortgages $ 4,474 $ (11) $ 4,463 $ — $ (116) $ 4,347 3.50 % 3.69 % 2.34 30-year fixed-rate mortgages 198,342 (325) 198,017 1,649 (14,826) 184,840 3.91 % 3.76 % 7.22 Reverse mortgages 571 31 602 — (42) 560 4.44 % 2.79 % 3.91 Agency interest only securities n/a n/a 19,680 1,541 (428) 20,793 2.00 % 12.02 % 4.40 Non-Agency RMBS 312,275 (81,014) 231,261 22,316 (7,743) 245,834 5.29 % 7.60 % 4.32 CMBS 65,202 (25,748) 39,454 325 (18,322) 21,457 4.18 % 6.52 % 3.36 Non-Agency interest only securities n/a n/a 311,725 13,694 (21,700) 303,719 0.74 % 16.90 % 3.38 CLOs n/a n/a 119,492 1,120 (19,558) 101,054 2.53 % 10.66 % 7.28 ABS n/a n/a 113,824 5,764 (2,672) 116,916 3.35 % 10.52 % 2.60 ABS backed by consumer loans 161,772 (103,722) 58,050 397 (5,288) 53,159 12.00 % 9.37 % 1.65 Corporate debt 80,265 (53,458) 26,807 4,596 (1,984) 29,419 0.07 % — % 2.86 Corporate equity n/a n/a 10,127 3,620 (2,625) 11,122 n/a n/a n/a U.S. Treasury securities 139,347 (386) 138,961 319 (1,757) 137,523 4.11 % 4.11 % 7.76 Total Long 962,248 (264,633) 1,272,463 55,341 (97,061) 1,230,743 5.44 % 9.60 % 4.82 Short: U.S. Treasury securities (257,148) 81 (257,067) 5,008 (59) (252,118) 3.86 % 3.86 % 5.89 Total Short (257,148) 81 (257,067) 5,008 (59) (252,118) 3.86 % 3.86 % 5.89 Total $ 705,100 $ (264,552) $ 1,015,396 $ 60,349 $ (97,120) $ 978,625 5.11 % 8.60 % 5.00 (1)Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral. (2)Total long, total short, and total weighted average coupon exclude interest only securities, CLOs, asset-backed securities, and corporate equity. (3)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. 36 Table of Contents December 31, 2025: Gross Unrealized Weighted Average ($ in thousands) Current Principal Unamortized Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon(1)(2) Yield Life (Years)(3) Long: Agency Pass-Throughs: 15-year fixed-rate mortgages $ 5,271 $ (20) $ 5,251 $ 47 $ (94) $ 5,204 3.50 % 3.77 % 2.50 30-year fixed-rate mortgages 209,771 (356) 209,415 2,564 (14,106) 197,873 3.93 % 3.84 % 7.31 Reverse mortgages 655 33 688 — (132) 556 4.46 % 2.75 % 4.15 Agency interest only securities n/a n/a 13,012 1,913 (191) 14,734 1.21 % 12.00 % 6.57 Non-Agency RMBS 308,570 (80,178) 228,392 24,999 (5,226) 248,165 5.09 % 8.42 % 4.51 CMBS 66,252 (25,995) 40,257 700 (15,800) 25,157 3.74 % 9.91 % 4.13 Non-Agency interest only securities n/a n/a 212,700 10,853 (16,773) 206,780 0.76 % 13.58 % 3.11 CLOs n/a n/a 138,068 1,139 (14,167) 125,040 3.22 % 11.10 % 7.08 ABS n/a n/a 95,378 5,866 (3,471) 97,773 2.87 % 13.98 % 3.26 ABS backed by consumer loans 157,165 (97,017) 60,148 382 (7,443) 53,087 12.00 % 9.83 % 1.64 Corporate debt 55,795 (40,981) 14,814 3,826 (3,110) 15,530 0.10 % — % 2.76 Corporate equity n/a n/a 10,517 3,594 (2,120) 11,991 n/a n/a n/a U.S. Treasury securities 32,600 (44) 32,556 436 — 32,992 4.14 % 3.97 % 5.04 Total Long 836,079 (244,558) 1,061,196 56,319 (82,633) 1,034,882 5.61 % 9.42 % 4.81 Short: U.S. Treasury securities (268,105) (1,213) (269,318) 459 (1,119) (269,978) 4.03 % 3.93 % 7.09 European sovereign bonds (2,730) 36 (2,694) — (30) (2,724) 0.13 % 1.28 % 0.08 Total Short (270,835) (1,177) (272,012) 459 (1,149) (272,702) 3.99 % 3.91 % 7.02 Total $ 565,244 $ (245,735) $ 789,184 $ 56,778 $ (83,782) $ 762,180 5.21 % 8.27 % 5.28 (1)Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral. (2)Total long, total short, and total weighted average coupon excludes interest only securities, CLOs, and corporate equity. (3)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. 37 Table of Contents The following tables detail weighted average life of the Company's long securities(1) as of June 30, 2026 and December 31, 2025. June 30, 2026: ($ in thousands) MBS IOs CLOs and Other Securities(2) Estimated Weighted Average Life(3) Fair Value Amortized Cost Weighted Average Coupon(4) Fair Value Amortized Cost Weighted Average Coupon(4) Fair Value Amortized Cost Weighted Average Coupon(4) Less than three years $ 159,481 $ 147,739 4.51 % $ 212,912 $ 226,828 1.46 % $ 154,378 $ 165,863 4.68 % Greater than three years and less than seven years 131,868 145,214 5.25 % 83,753 81,265 0.36 % 99,554 99,798 4.04 % Greater than seven years and less than eleven years 144,885 159,654 4.03 % 27,153 22,635 0.28 % 45,968 51,900 0.98 % Greater than eleven years 20,804 21,190 6.59 % 694 677 1.10 % 648 612 5.80 % Total $ 457,038 $ 473,797 4.68 % $ 324,512 $ 331,405 0.77 % $ 300,548 $ 318,173 4.16 % (1)Excludes U.S. Treasury and corporate equity securities. (2)Other Securities includes ABS and corporate debt. (3)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (4)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral. December 31, 2025: ($ in thousands) MBS IOs CLOs and Other Securities(2) Estimated Weighted Average Life(3) Fair Value Amortized Cost Weighted Average Coupon(4) Fair Value Amortized Cost Weighted Average Coupon(4) Fair Value Amortized Cost Weighted Average Coupon(4) Less than three years $ 146,952 $ 131,966 4.28 % $ 163,836 $ 174,260 1.49 % $ 131,748 $ 143,309 4.65 % Greater than three years and less than seven years 63,801 63,710 5.50 % 27,982 29,167 0.22 % 97,330 96,852 4.54 % Greater than seven years and less than eleven years 33,728 45,339 4.78 % 14,715 9,083 0.14 % 54,507 58,027 1.97 % Greater than eleven years 28,841 27,634 6.78 % 247 190 1.24 % 7,845 10,220 0.48 % Total $ 273,322 $ 268,649 4.85 % $ 206,780 $ 212,700 0.76 % $ 291,430 $ 308,408 4.31 % (1)Excludes U.S. Treasury and corporate equity securities. (2)Other Securities includes ABS and corporate debt. (3)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (4)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral. The following table details the components of interest income by security type for the three- and six-month periods ended June 30, 2026 and 2025: Three-Month Period Ended (In thousands) June 30, 2026 June 30, 2025 Security Type Coupon Interest(1) Net Amortization Interest Income Coupon Interest(1) Net Amortization Interest Income Agency RMBS $ 3,563 $ (878) $ 2,685 $ 3,467 $ (626) $ 2,841 Non-Agency RMBS and CMBS 37,459 (20,020) 17,439 19,279 (11,673) 7,606 CLOs 6,315 (2,984) 3,331 2,166 (805) 1,361 Other securities(2) 10,201 (3,793) 6,408 6,285 (1,969) 4,316 Total $ 57,538 $ (27,675) $ 29,863 $ 31,197 $ (15,073) $ 16,124 (1)Coupon interest includes distributions on interest-only and certain equity tranches. (2)Other securities includes ABS, corporate debt and equity, and U.S. Treasury securities. 38 Table of Contents Six-Month Period Ended (In thousands) June 30, 2026 June 30, 2025 Security Type Coupon Interest(1) Net Amortization Interest Income Coupon Interest(1) Net Amortization Interest Income Agency RMBS $ 6,843 $ (1,764) $ 5,079 $ 7,360 $ (380) $ 6,980 Non-Agency RMBS and CMBS 72,050 (40,135) 31,915 34,677 (18,408) 16,269 CLOs 10,140 (3,377) 6,763 5,328 (2,130) 3,198 Other securities(2) 19,679 (8,158) 11,521 13,728 (3,674) 10,054 Total $ 108,712 $ (53,434) $ 55,278 $ 61,093 $ (24,592) $ 36,501 (1)Coupon interest includes distributions on interest-only and certain equity tranches. (2)Other securities includes ABS, corporate debt and equity, and U.S. Treasury securities. For the three-month periods ended June 30, 2026 and 2025, the Catch-Up Amortization Adjustment was $0.2 million and $(0.1) million, respectively. For the six-month periods ended June 30, 2026 and 2025, the Catch-Up Amortization Adjustment was $0.2 million and $0.9 million, respectively. The following tables present proceeds from sales and the resulting realized gains and (losses) of the Company's securities for the three-month periods ended June 30, 2026 and 2025. (In thousands) Three-Month Period Ended June 30, 2026 Three-Month Period Ended June 30, 2025 Security Type Proceeds(1) Gross Realized Gains Gross Realized Losses(2) Net Realized Gain (Loss) Proceeds(1) Gross Realized Gains Gross Realized Losses(2) Net Realized Gain (Loss) Agency RMBS $ 582 $ 60 $ — $ 60 $ 3,910 $ 27 $ (450) $ (423) Non-Agency RMBS and CMBS 40,244 4,446 (129) 4,317 23,858 3,564 (122) 3,442 CLOs 13,034 217 (46) 171 60 63 — 63 Other securities(3) 45,460 3,488 (321) 3,167 428,325 3,791 (6,240) (2,449) Total $ 99,320 $ 8,211 $ (496) $ 7,715 $ 456,153 $ 7,445 $ (6,812) $ 633 (1)Includes proceeds on sales of securities not yet settled as of period end. (2)Excludes realized losses of $(6.2) million and $(3.9) million for the three-month periods ended June 30, 2026 and 2025, respectively, related to adjustments to the cost basis of certain securities for which the Company has determined all or a portion of such securities' cost basis to be uncollectible. (3)Other securities includes ABS, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities. (In thousands) Six-Month Period Ended June 30, 2026 Six-Month Period Ended June 30, 2025 Security Type Proceeds(1) Gross Realized Gains Gross Realized Losses(2) Net Realized Gain (Loss) Proceeds(1) Gross Realized Gains Gross Realized Losses(2) Net Realized Gain (Loss) Agency RMBS $ 7,457 $ 700 $ (1) $ 699 $ 41,853 $ 454 $ (2,067) $ (1,613) Non-Agency RMBS and CMBS 87,988 7,722 (164) 7,558 45,089 7,374 (99) 7,275 CLOs 46,162 489 (579) (90) 29,955 756 (1,118) (362) Other securities(3) 241,109 4,712 (1,056) 3,656 451,507 6,343 (8,562) (2,219) Total $ 382,716 $ 13,623 $ (1,800) $ 11,823 $ 568,404 $ 14,927 $ (11,846) $ 3,081 (1)Includes proceeds on sales of securities not yet settled as of period end. (2)Excludes realized losses of $(9.5) million and $(6.4) million for the six-month periods ended June 30, 2026 and 2025, respectively, related to adjustments to the cost basis of certain securities for which the Company has determined all or a portion of such securities' cost basis to be uncollectible. (3)Other securities includes ABS, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities. 39 Table of Contents The following tables present the fair value and gross unrealized losses of the Company's long securities, excluding those where there are expected credit losses as of the balance sheet date in relation to such securities' cost basis, by length of time that such securities have been in an unrealized loss position at June 30, 2026 and December 31, 2025. June 30, 2026: (In thousands) Less than 12 Months Greater than 12 Months Total Security Type Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Agency RMBS $ 7,384 $ (29) $ 112,878 $ (14,961) $ 120,262 $ (14,990) Non-Agency RMBS and CMBS 28,750 (1,299) 15,977 (1,803) 44,727 (3,102) CLOs 13,758 (1,583) 5 — 13,763 (1,583) Other securities(1) 111,179 (2,735) 3,335 (1,793) 114,514 (4,528) Total $ 161,071 $ (5,646) $ 132,195 $ (18,557) $ 293,266 $ (24,203) (1)Other securities includes ABS, U.S. Treasury securities, and corporate debt and equity securities. December 31, 2025: (In thousands) Less than 12 Months Greater than 12 Months Total Security Type Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Agency RMBS $ 1,095 $ (106) $ 119,269 $ (14,236) $ 120,364 $ (14,342) Non-Agency RMBS and CMBS 33,264 (2,056) 19,314 (3,693) 52,578 (5,749) CLOs 18,099 (1,054) 605 (597) 18,704 (1,651) Other securities(1) 13,169 (4,162) 2,889 (901) 16,058 (5,063) Total $ 65,627 $ (7,378) $ 142,077 $ (19,427) $ 207,704 $ (26,805) (1)Other securities includes ABS, U.S. Treasury securities, and corporate debt and equity securities. As described in Note 2, the Company evaluates the cost basis of its securities for impairment on at least a quarterly basis. As of June 30, 2026 and December 31, 2025, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $44.1 million and $42.3 million, respectively, related to adverse changes in estimated future cash flows on its securities. The Company has determined for certain securities that a portion of such securities' cost basis is not collectible. For the three-month periods ended June 30, 2026 and 2025, the Company recognized realized losses on these securities of $(6.3) million and $(3.9) million, respectively. For the six-month periods ended June 30, 2026 and 2025, the Company recognized realized losses on these securities of $(9.6) million and $(6.4) million, respectively. Such losses are reflected in Net realized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations. 5. Investment in Loans The Company invests in various types of loans, such as residential mortgage, commercial mortgage, consumer, corporate, and reverse mortgage loans. As discussed in Note 2, the Company has elected the FVO for its investments in loans. The following table is a summary of the Company's investments in loans as of June 30, 2026 and December 31, 2025: (In thousands) June 30, 2026 December 31, 2025 Loan Type Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value Residential mortgage loans $ 3,674,683 $ 3,559,269 $ 3,739,813 $ 3,643,094 Commercial mortgage loans 680,967 675,066 648,592 640,712 Consumer loans 125 108 190 159 Corporate loans 53,393 52,575 25,767 25,366 Reverse mortgage loans 12,688,504 13,587,412 11,586,369 12,331,316 Total $ 17,097,672 $ 17,874,430 $ 16,000,731 $ 16,640,647 The Company is subject to credit risk in connection with its investments in loans. The two primary components of credit risk are default risk, which is the risk that a borrower fails to make scheduled principal and interest payments, and severity risk, which is the risk of loss upon a borrower default on a mortgage loan or other secured or unsecured loan. Severity risk includes the risk of loss of value of the property or other asset, if any, securing the loan, as well as the risk of loss associated with taking 40 Table of Contents over the property or other asset, if any, including foreclosure costs. Credit risk in the loan portfolio can be amplified by exogenous shocks impacting borrowers, such as man-made or natural disasters. The following table provides details, by loan type, for residential and commercial mortgage and consumer loans that are 90 days or more past due as of June 30, 2026 and December 31, 2025: June 30, 2026 December 31, 2025 (In thousands) Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value 90 days or more past due—non-accrual status Residential mortgage loans $ 242,107 $ 219,677 $ 276,604 $ 256,244 Commercial mortgage loans 58,306 53,339 64,770 64,050 Consumer loans 6 3 15 7 Residential Mortgage Loans The tables below detail certain information regarding the Company's residential mortgage loans as of June 30, 2026 and December 31, 2025. June 30, 2026: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years)(1) Residential mortgage loans, held-for-investment(2) $ 3,674,683 $ 46,989 $ 3,721,672 $ 11,494 $ (173,897) $ 3,559,269 7.15 % 6.83 % 4.92 (1)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. (2)Includes $1.544 billion of non-QM loans and residential transition loans (or "RTL") that have been securitized and are held in consolidated securitization trusts. Such loans had $(144.7) million of gross unrealized losses. See Residential Mortgage Loan Securitizations in Note 13 for additional information. December 31, 2025: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years)(1) Residential mortgage loans, held-for-investment(2) $ 3,739,813 $ 47,839 $ 3,787,652 $ 16,476 $ (161,034) $ 3,643,094 7.18 % 5.68 % 4.50 (1)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. (2)Includes $1.547 billion of non-QM loans and RTL that have been securitized and are held in consolidated securitization trusts. Such loans had $(136.1) million of gross unrealized losses. See Residential Mortgage Loan Securitizations in Note 13 for additional information. 41 Table of Contents The table below summarizes the geographic distribution of the real estate collateral underlying the Company's residential mortgage loans as a percentage of total outstanding unpaid principal balance as of June 30, 2026 and December 31, 2025: Property Location June 30, 2026 December 31, 2025 North America: United States: California 25.7 % 25.5 % Florida 17.6 % 17.1 % Texas 9.9 % 9.1 % Arizona 3.7 % 3.4 % New Jersey 3.6 % 3.9 % Utah 2.9 % 3.2 % Washington 2.7 % 2.5 % Tennessee 2.5 % 1.6 % Georgia 2.4 % 2.6 % North Carolina 2.4 % 2.2 % New York 2.3 % 2.4 % Pennsylvania 2.0 % 2.8 % Illinois 1.9 % 2.1 % South Carolina 1.8 % 1.7 % Colorado 1.7 % 1.8 % Oregon 1.6 % 1.8 % Nevada 1.5 % 1.6 % Massachusetts 1.4 % 1.6 % Ohio 1.1 % 1.1 % Connecticut 1.0 % 1.1 % Virginia 0.9 % 1.0 % Other 8.4 % 8.9 % 99.0 % 99.0 % Europe: United Kingdom 1.0 % 1.0 % 100.0 % 100.0 % The following table presents information on the Company's non-performing and re-performing residential mortgage loans, as of June 30, 2026 and December 31, 2025: June 30, 2026 December 31, 2025 (In thousands) Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value Re-performing $ 21,253 $ 20,038 $ 23,062 $ 22,148 Non-performing 231,606 209,759 266,485 246,586 As described in Note 2, the Company evaluates the cost basis of its residential mortgage loans for impairment on at least a quarterly basis. As of June 30, 2026 and December 31, 2025, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $112.8 million and $133.3 million, respectively. 42 Table of Contents Commercial Mortgage Loans The tables below detail certain information regarding the Company's commercial mortgage loans as of June 30, 2026 and December 31, 2025: June 30, 2026: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield(1) Life (Years)(2) Commercial mortgage loans, held-for-investment $ 680,967 $ (4,873) $ 676,094 $ 273 $ (1,301) $ 675,066 8.61 % 8.77 % 1.19 (1)Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $53.3 million. (2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. December 31, 2025: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield(1) Life (Years)(2) Commercial mortgage loans, held-for-investment $ 648,592 $ (7,646) $ 640,946 $ 146 $ (380) $ 640,712 9.30 % 9.15 % 1.18 (1)Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $64.1 million. (2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. The table below summarizes the geographic distribution of the real estate collateral underlying the Company's commercial mortgage loans as a percentage of total outstanding unpaid principal balance as of June 30, 2026 and December 31, 2025: Property Location by U.S. State June 30, 2026 December 31, 2025 Florida 30.1 % 24.3 % New York 25.8 % 19.9 % Texas 12.3 % 11.5 % New Jersey 5.7 % 8.0 % Kentucky 3.8 % — % South Carolina 2.8 % 6.1 % Louisiana 2.6 % 2.7 % Pennsylvania 2.2 % 2.2 % Georgia 1.9 % 2.8 % Connecticut 1.7 % 1.8 % North Carolina 1.7 % 1.8 % Washington 1.4 % 1.5 % Illinois 1.3 % 3.8 % Mississippi 1.3 % 1.3 % Virginia 1.2 % 4.4 % Tennessee 1.1 % 1.0 % Maryland 1.0 % 1.0 % Michigan — % 1.9 % Colorado — % 1.8 % Other 2.1 % 2.2 % 100.0 % 100.0 % As of June 30, 2026, the Company had eight non-performing commercial mortgage loans with an unpaid principal balance and fair value of $58.3 million and $53.3 million, respectively. As of December 31, 2025, the Company had seven non-performing commercial mortgage loans with an unpaid principal balance and fair value of $64.8 million and $64.1 million, respectively. 43 Table of Contents As described in Note 2, the Company evaluates the cost basis of its commercial mortgage loans for impairment on at least a quarterly basis. As of June 30, 2026 and December 31, 2025, the expected future credit losses, which the Company tracks for purposes of calculating interest income, of $0.6 million and $0.4 million, respectively, related to adverse changes in estimated future cash flows on its commercial mortgage loans. As of June 30, 2026, the Company had four commercial mortgage loans in the process of foreclosure; such loans had an unpaid principal balance and fair value of $25.9 million and $25.9 million, respectively. As of December 31, 2025, the Company did not have any commercial mortgage loans in the process of foreclosure. Consumer Loans The tables below detail certain information regarding the Company's consumer loans as of June 30, 2026 and December 31, 2025: June 30, 2026: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Life (Years)(1) Delinquency (Days) Consumer loans, held-for-investment $ 125 $ 149 $ 274 $ 21 $ (187) $ 108 0.89 12 (1)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. December 31, 2025: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Life (Years)(1) Delinquency (Days) Consumer loans, held-for-investment $ 190 $ 148 $ 338 $ 36 $ (215) $ 159 0.89 14 (1)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. The table below provides details on the delinquency status as a percentage of total unpaid principal balance of the Company's consumer loans, which the Company uses as an indicator of credit quality, as of June 30, 2026 and December 31, 2025. Days Past Due June 30, 2026 December 31, 2025 Current 80.8 % 78.1 % 30-59 Days 6.8 % 9.5 % 60-89 Days 7.6 % 4.2 % 90-119 Days 4.8 % 8.2 % 100.0 % 100.0 % As described in Note 2, the Company evaluates the cost basis of its consumer loans for impairment on at least a quarterly basis. As of both June 30, 2026 and December 31, 2025, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $0.2 million on its consumer loans. The Company has determined for certain of its consumer loans that a portion of such loans' cost basis is not collectible. For the six-month period ended June 30, 2026, the Company recognized realized losses on these loans of $(21) thousand; no such losses were recognized for the three-month period ended June 30, 2026. For each of the three- and six-month periods ended June 30, 2025, the Company recognized realized losses on these loans of $(23) thousand. 44 Table of Contents Corporate Loans The tables below detail certain information regarding the Company's corporate loans as of June 30, 2026 and December 31, 2025: June 30, 2026: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Rate Remaining Term (Years) Corporate loans, held-for-investment(1) $ 53,393 $ (1,164) $ 52,229 $ 543 $ (197) $ 52,575 10.70 % 2.59 (1)See Note 24 for further details on the Company's unfunded commitments related to certain of its corporate loans. December 31, 2025: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Rate Remaining Term (Years) Corporate loans, held-for-investment(1) $ 25,767 $ (912) $ 24,855 $ 511 $ — $ 25,366 11.31 % 2.32 (1)See Note 24 for further details on the Company's unfunded commitments related to certain of its corporate loans. Reverse Mortgage Loans The tables below detail certain information regarding the Company's reverse mortgage loans as of June 30, 2026 and December 31, 2025. June 30, 2026: Weighted Average ($ in thousands) Unpaid Principal Balance Fair Value Coupon Life (Years) Reverse mortgage loans, held-for-investment HECM loans(1) $ 10,622,529 $ 11,349,530 5.86 % 4.67 Proprietary reverse mortgage loans 2,065,975 2,237,882 9.48 % 19.05 Total reverse mortgage loans, held-for-investment 12,688,504 13,587,412 6.45 % 7.04 (1)Includes unpoolable HECM loans with an unpaid principal balance of $61.7 million. December 31, 2025: Weighted Average ($ in thousands) Unpaid Principal Balance Fair Value Coupon Life (Years) Reverse mortgage loans, held-for-investment HECM loans(1) $ 10,081,026 $ 10,690,598 5.89 % 4.77 Proprietary reverse mortgage loans 1,505,343 1,640,718 9.56 % 15.99 Total reverse mortgage loans, held-for-investment 11,586,369 12,331,316 6.36 % 6.26 (1)Includes unpoolable HECM loans with an unpaid principal balance of $59.1 million. During the three- and six-month periods ended June 30, 2025, the Company transferred proprietary reverse mortgage loans held-for-sale with an unpaid principal balance of $103.4 million and $200.7 million, respectively, to held-for-investment. Reverse mortgage loans are categorized as either "active" or "inactive." Inactive loans include loans where the borrower is deceased, no longer occupies the property, or is delinquent on tax and/or insurance payments; in addition, HECM loans may also be categorized as inactive as a result of various administrative or legal issues, such as missing loan documentation. Loans that are not inactive are categorized as "active." The issuer of a HECM loan that has been pooled into an HMBS is required to repurchase such loan if its outstanding principal balance has reached 98% of its maximum claim amount (the "MCA"). The MCA for a loan is equal to the lesser of the home's appraised value or the maximum loan limit that can be insured by FHA, in each case at the point in time that the conditional commitment is issued. The timing and amount of the Company's obligations with respect to MCA repurchases is 45 Table of Contents uncertain, as repurchase is dependent largely on circumstances outside of the Company’s control, including the amount and timing of future draws and the status of the loan. HECM loans that have reached 98% of the MCA and have been repurchased from an HMBS pool ("HECM Buyout Loans") are categorized as either assignable buyout loans ("ABOs") when active, or non-assignable buyout loans ("NABOs") when inactive. ABOs may be assigned to the U.S. Department of Housing and Urban Development ("HUD"), which then reimburses the Company for the outstanding debt on the repurchased loan, up to the MCA. For NABOs, following resolution of the loan, the Company may file a claim with HUD for any recoverable remaining principal and advance balances. Any unsecuritized HECM loan that is inactive, or that has already reached 98% of its MCA, is “unpoolable”; i.e., it is not eligible for securitization into HMBS. The following table provides details on the Company's unpoolable HECM loans as of June 30, 2026 and December 31, 2025: (In thousands) June 30, 2026 December 31, 2025 Unpoolable HECM Loan Type Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value ABOs $ 28,666 $ 26,885 $ 29,757 $ 28,468 NABOs 25,580 21,294 23,169 19,011 Other HECM loans(1) 7,473 7,482 6,142 6,149 Total unpoolable HECM loans $ 61,719 $ 55,661 $ 59,068 $ 53,628 (1)Includes HECM tail loans where the borrower is not in compliance with the terms of the underlying loan. As of June 30, 2026, the Company had $604.5 million in unpaid principal balance of inactive reverse mortgage loans, of which $542.2 million related to HECM loans and the remainder related to proprietary reverse mortgage loans. As of December 31, 2025, the Company had $520.1 million in unpaid principal balance of inactive reverse mortgage loans, of which $469.2 million related to HECM loans and the remainder related to proprietary reverse mortgage loans. The table below summarizes the geographic distribution of the real estate collateral underlying the Company's reverse mortgage loans as a percentage of total outstanding unpaid principal balance, as of June 30, 2026 and December 31, 2025. Property Location by U.S. State June 30, 2026 December 31, 2025 California 30.0 % 29.9 % Florida 8.9 % 8.9 % Colorado 6.4 % 6.6 % Arizona 6.0 % 6.2 % Washington 5.2 % 5.2 % Texas 4.9 % 4.9 % Utah 4.8 % 4.9 % New York 2.9 % 2.7 % Oregon 2.8 % 2.8 % Idaho 2.5 % 2.5 % Massachusetts 2.3 % 2.2 % North Carolina 2.1 % 2.2 % Nevada 2.1 % 2.1 % Georgia 1.7 % 1.7 % New Jersey 1.6 % 1.4 % Tennessee 1.5 % 1.6 % South Carolina 1.4 % 1.4 % Virginia 1.4 % 1.4 % Ohio 1.2 % 1.3 % Pennsylvania 1.0 % 1.0 % Other 9.3 % 9.1 % 100.0 % 100.0 % 46 Table of Contents 6. Mortgage Servicing Rights Certain of the reverse mortgage loans originated by the Company, through Longbridge, are ineligible for inclusion in HMBS, and are not guaranteed by the FHA ("Proprietary reverse mortgage loans"). Longbridge was party to a Sale and Servicing Agreement (the "Sale and Servicing Agreement") with a third party (the "Proprietary Loan Purchaser") whereby Longbridge originated reverse mortgage loans based on specific proprietary criteria and had committed to sell such loans to the Proprietary Loan Purchaser. Upon the sale of such loans to the Proprietary Loan Purchaser, Longbridge retained the rights and obligations of servicing such loans and an MSR asset was recorded. Additionally, Longbridge has assumed the role as servicer for various private label securitization trusts collateralized by either proprietary reverse mortgage loans or HECM buyout loans. Longbridge was appointed servicer through the bankruptcy proceedings of the previous servicer, and Longbridge assumed the rights and obligations of servicing such loans. As of June 30, 2026, the Company's Reverse MSRs related to underlying reverse mortgage loans with an aggregate unpaid principal balance of $2.6 billion, and the fair value of such Reverse MSRs was $30.0 million. As of December 31, 2025, the Company's Reverse MSRs related to underlying reverse mortgage loans with an aggregate unpaid principal balance of $2.7 billion, and the fair value of such Reverse MSRs was $28.9 million. The fair value of the Company's MSRs is driven by the net cash flows associated with servicing activities, which include contractually specified servicing fees, late fees, and other ancillary servicing revenue. For the three-month periods ended June 30, 2026 and 2025, the Company recognized a gain (loss) related to its Reverse MSRs of $(0.2) million and $(0.3) million, respectively. For the six-month periods ended June 30, 2026 and 2025, the Company recognized a gain (loss) related to its Reverse MSRs of $1.1 million and $(0.5) million, respectively, which is included in Other, net, on the Consolidated Statement of Operations. 47 Table of Contents 7. Forward MSR-related Investments The Company does not hold the requisite licenses to purchase or hold MSRs on forward mortgage loans ("Forward MSRs") directly. The Company, through certain of its subsidiaries, is party to various agreements (the "Forward MSR Agreements") with a licensed, government-sponsored enterprise ("GSE") approved residential mortgage loan servicer (the "Forward MSR Master Servicer") that enable the Company to participate in the economic returns of a portfolio of Forward MSRs (the "Forward MSR-related investments"). Under the Forward MSR Agreements, MSRs are purchased by the Forward MSR Master Servicer (the "Underlying Forward MSRs") with funding obtained through financing transactions with the Company. Under the terms of the Forward MSR Agreements, for an MSR acquired by the Forward MSR Master Servicer, the Company: (i) purchases the excess servicing spread from the Forward MSR Master Servicer, which entitles the Company to monthly distributions of the servicing fees collected by the Forward MSR Master Servicer in excess of 12.5 basis points per annum (the "Excess Servicing Spread"), and (ii) enters into an agreement with the parent of the Forward MSR Master Servicer (the "Base MSR Counterparty") that references the Underlying Forward MSRs (the "Base MSR Agreement"). Pursuant to the Base MSR Agreement, the Company is entitled to receive an amount generally equivalent to the excess of servicing proceeds (which may include servicing fee revenue, income generated on escrow balances, and reimbursements for previously made servicing advances) over the sum of the Excess Servicing Spread and the actual costs of servicing (including amounts paid for servicing advances, master and subservicing fees, and other costs and expenses). To the extent that servicing proceeds are less than the sum of servicing costs and the Excess Servicing Spread (which would typically result from high levels of servicing advances), the Company is obligated to pay the equivalent of such deficit to the Base MSR Counterparty. Upon a sale of any of the Underlying Forward MSRs, the Forward MSR Agreements also entitle the Company to distributions of the corresponding sale proceeds. Under certain circumstances, the Company can direct the Forward MSR Master Servicer to finance all or some of the Underlying Forward MSRs, alongside other similar MSRs that the Forward MSR Master Servicer oversees on behalf of third parties unrelated to the Company. Proceeds from such financing are distributed to the Company and must be repaid by the Company upon repayment of corresponding financing by the Forward MSR Master Servicer. As of both June 30, 2026 and December 31, 2025, the fair value of the Forward MSR-related investments takes into account the MSR Master Servicer's $93.5 million of outstanding borrowings for the benefit of the Company, which were secured by the Underlying Forward MSRs. The Company has elected the FVO for its investments under the Forward MSR Agreements which are reflected in Forward MSR-related investments, at fair value, on the Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on the Consolidated Statement of Operations as a component of Other, net. As of June 30, 2026 and December 31, 2025, the fair value of the Company's investments in Forward MSR-related investments was $75.9 million and $77.9 million, respectively. The following table presents activity related to Company’s investments in Forward MSR-related investments for the three- and six-month periods ended June 30, 2026 and 2025. Three-Month Period Ended Six-Month Period Ended (In thousands) June 30, 2026 June 30, 2025 June 30, 2026 June 30, 2025 Forward MSR-related investments, at fair value, beginning balance $ 72,824 $ 87,203 $ 77,852 $ 77,848 Distributions (5,006) (6,122) (12,295) (14,163) Accretion of interest income 2,583 2,927 5,325 5,581 Change in unrealized gain (loss) 5,500 (2,752) 5,019 11,990 Forward MSR-related investments, at fair value, ending balance $ 75,901 $ 81,256 $ 75,901 $ 81,256 8. Investments in Unconsolidated Entities The Company has various equity investments in entities where it has the ability to exert significant influence over such entity, but does not control such entity. In these cases the criteria for consolidation have not been met and the Company is required to account for such investments under ASC 323-10; the Company has elected the FVO for its investments in unconsolidated entities. As of June 30, 2026 and December 31, 2025, the Company's investments in unconsolidated entities had an aggregate fair value of $402.3 million and $312.4 million, respectively, which is included on the Consolidated Balance Sheet in Investments in unconsolidated entities, at fair value. Certain of the entities that the Company accounts for under ASC 323-10 are deemed to be VIEs, and the maximum amount at risk is generally limited to the Company's investment in the VIE. As of June 30, 2026 and December 31, 2025, the fair value of the Company's investments in unconsolidated entities that have been deemed to be VIEs was $327.4 million and $240.2 million, respectively. 48 Table of Contents For the three-month periods ended June 30, 2026 and 2025, the Company recognized Earnings (losses) from investments in unconsolidated entities of $11.0 million and $17.1 million, respectively. For the six-month periods ended June 30, 2026 and 2025, the Company recognized Earnings (losses) from investments in unconsolidated entities of $28.5 million and $25.4 million, respectively. Gains (losses) recognized from the Company's investments in unconsolidated entities are included in Earnings (losses) from investments in unconsolidated entities, on its Consolidated Statement of Operations. The following table provides details about the Company's investments in unconsolidated entities as of June 30, 2026 and December 31, 2025: Percentage Ownership of Unconsolidated Entity Investment in Unconsolidated Entity(1) Form of Investment June 30, 2026 December 31, 2025 Loan Originators: LendSure Mortgage Corp.(2) Common shares 63.1% 63.1% Other(1) Various 10.0%–50.0% 10.0%–50.0% Co-investments with Ellington affiliates: Elizon DB 2015-1 LLC(3)(4) Membership Interest 32.0% 30.0% Elizon NM CRE 2020-1 LLC(3)(5) Membership Interest 36.5% 16.8% Elizon CH CRE 2021-1 LLC(3)(6) Membership Interest 24.4% 33.0% Equity investments in securitization-related vehicles, including risk retention vehicles(7) Membership Interest 24.6%–92.2% 24.6%–86.1% Other: Other(3) Various 21.0%–79.0% 12.5%–79.0% (1)See Note 16 for additional details on the Company's related party transactions. (2)As of June 30, 2026 and December 31, 2025, includes both voting and non-voting equity interests held by the Company. See Note 16 Related Party Transactions—Transactions Involving Certain Loan Originators for additional information. (3)The Company has evaluated this entity and determined that it meets the definition of a VIE. The Company evaluated its interest in the VIE and determined that the Company does not have the power to direct the activities of the VIE and does not have control of the underlying assets, where applicable. As a result, the Company determined that it is not the primary beneficiary of this VIE and therefore has not consolidated the VIE. (4)As discussed in Note 16 Related Party Transactions—Participation in Multi-Borrower Financing Facilities, the Company and the Affiliated Entities (as defined in Note 16) each consolidate their segregated silos of the Joint Entity (as defined in Note 16). The Company's effective percentage ownership, before the effects of consolidation of both its and the Affiliated Entities' respective segregated silos of the Joint Entity, was 65.4% and 65.1% as of June 30, 2026 and December 31, 2025, respectively. (5)As discussed in Note 16 Related Party Transactions—Participation in Multi-Borrower Financing Facilities, the Company and the Affiliated Entities (as defined in Note 16) each consolidate their segregated silos of the Joint Entity (as defined in Note 16). The Company's effective percentage ownership, before the effects of consolidation of both its and the Affiliated Entities' respective segregated silos of the Joint Entity, was 68.8% and 78.1% as of June 30, 2026 and December 31, 2025, respectively. (6)As discussed in Note 16 Related Party Transactions—Participation in Multi-Borrower Financing Facilities, the Company and the Affiliated Entities (as defined in Note 16) each consolidate their segregated silos of the Joint Entity (as defined in Note 16). The Company's effective percentage ownership, before the effects of consolidation of both its and the Affiliated Entities' respective segregated silos of the Joint Entity, was 76.5% and 68.6% as of June 30, 2026 and December 31, 2025, respectively. (7)Includes interests in various risk retention vehicles, as discussed in Note 13. The Company evaluated its interest in each entity in accordance with ASC 810, and has determined that the Company does not control these entities. As a result, the Company has not consolidated these entities. See Note 13 for additional details on the Company's securitization transactions. 49 Table of Contents 9. Real Estate Owned As discussed in Note 2, the Company obtains possession of REO as a result of foreclosures on the associated mortgage loans. The following tables detail activity in the Company's carrying value of REO for the three- and six-month periods ended June 30, 2026 and 2025: Three-Month Periods Ended June 30, 2026 June 30, 2025 Number of Properties Carrying Value Number of Properties Carrying Value (In thousands) (In thousands) Beginning Balance (March 31, 2026 and 2025, respectively) 199 $ 101,167 135 $ 65,447 Transfers from mortgage loans 53 20,722 47 15,836 Capital expenditures and other adjustments to cost 339 114 Adjustments to record at the lower of cost or fair value (1,721) 5 Dispositions (62) (39,465) (53) (32,581) Ending Balance (June 30, 2026 and 2025, respectively) 190 $ 81,042 129 $ 48,821 Six-Month Periods Ended June 30, 2026 June 30, 2025 Number of Properties Carrying Value Number of Properties Carrying Value (In thousands) (In thousands) Beginning Balance (December 31, 2025 and 2024, respectively) 177 $ 75,548 117 $ 46,661 Transfers from mortgage loans 122 63,959 95 47,091 Capital expenditures and other adjustments to cost 730 72 Adjustments to record at the lower of cost or fair value (2,132) (4,475) Dispositions (109) (57,063) (83) (40,528) Ending Balance (June 30, 2026 and 2025, respectively) 190 $ 81,042 129 $ 48,821 During the three-month period ended June 30, 2026, the Company sold 62 REO properties, realizing a net gain (loss) of approximately $(7.1) million. During the three-month period ended June 30, 2025, the Company sold 53 REO properties, realizing a net gain (loss) of approximately $(1.4) million. During the six-month period ended June 30, 2026, the Company sold 109 REO properties, realizing a net gain (loss) of approximately $(10.2) million. During the six-month period ended June 30, 2025, the Company sold 83 REO properties, realizing a net gain (loss) of approximately $(2.3) million. Such realized gains (losses) are included in Realized gains (losses) on real estate owned, net, on the Company's Consolidated Statement of Operations. As of both June 30, 2026 and December 31, 2025, the Company's REO had primarily been obtained as a result of obtaining physical possession through foreclosure. Of the Company's total REO holdings, $55.5 million and $41.7 million were measured at fair value on a non-recurring basis as of June 30, 2026 and December 31, 2025, respectively. 50 Table of Contents 10. Financial Derivatives The Company is exposed to certain risks arising from both its business operations and economic conditions. The Company manages certain risks associated with its investments and borrowings, including interest rate, credit, liquidity, and foreign exchange rate risk primarily by managing the amount, sources, and duration of its investments and borrowings, and through the use of derivative financial instruments. The Company's derivative financial instruments are used to manage differences in the amount, timing, and duration of its known or expected cash receipts and its known or expected cash payments principally related to its investments and borrowings. Subject to maintaining its qualification as a REIT, the Company may also use derivative financial instruments for speculative purposes. The following table details the fair value of the Company's holdings of financial derivatives as of June 30, 2026 and December 31, 2025: June 30, 2026 December 31, 2025 (In thousands) Financial derivatives–assets, at fair value: TBA securities purchase contracts $ 486 $ 87 TBA securities sale contracts 13 170 Fixed payer interest rate swaps 131,284 76,670 Fixed receiver interest rate swaps 22,445 52,228 Credit default swaps on asset-backed indices 1,127 2,206 Credit default swaps on corporate bond indices 15,951 4,621 Options 3,237 5,607 Futures — 1,095 Forwards 280 14 Total return swaps 63 24 Warrants 3 1 Total financial derivatives–assets, at fair value 174,889 142,723 Financial derivatives–liabilities, at fair value: TBA securities purchase contracts (9) (54) TBA securities sale contracts (2,257) (544) Fixed payer interest rate swaps (3,540) (13,411) Fixed receiver interest rate swaps (39,526) (13,386) Credit default swaps on asset-backed securities (2) (2) Credit default swaps on corporate bonds (111) (155) Credit default swaps on corporate bond indices (32,305) (25,407) Options (2,363) — Futures (680) (45) Forwards — (69) Total financial derivatives–liabilities, at fair value (80,793) (53,073) Total $ 94,096 $ 89,650 51 Table of Contents Interest Rate Swaps The following tables provide information about the Company's fixed payer interest rate swaps as of June 30, 2026 and December 31, 2025: June 30, 2026: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2026 $ 208,563 $ 332 3.67 % 3.68 % 0.26 2027 2,609,445 24,164 3.41 3.68 1.17 2028 3,121,613 23,270 3.61 3.68 1.82 2029 172,786 5,649 2.97 3.68 3.11 2030 630,245 15,923 3.31 3.68 4.18 2031 639,291 19,709 3.26 3.68 4.88 2032 170,723 10,416 2.81 3.68 6.10 2033 280,668 10,164 3.32 3.68 6.77 2034 51,656 2,234 3.38 3.68 8.17 2035 252,305 4,608 3.74 3.68 9.02 2036 224,503 393 3.97 3.68 9.86 2037 35,000 4,868 2.61 3.68 11.12 2039 11,322 270 3.85 3.68 13.19 2040 77,873 1,122 3.97 3.68 13.89 2041 61,766 244 4.09 3.68 14.80 2045 12,500 195 4.07 3.68 18.81 2050 500 253 0.98 3.63 24.32 2053 2,780 397 3.32 3.68 27.50 2054 1,095 75 3.76 3.68 28.48 2055 105,166 3,136 3.99 3.68 29.19 2056 63,657 322 4.13 3.68 29.79 Total $ 8,733,457 $ 127,744 3.49 % 3.68 % 3.52 52 Table of Contents December 31, 2025: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2026 $ 288,763 $ (207) 3.78 % 3.87 % 0.70 2027 4,582,588 (920) 3.48 3.87 1.66 2028 483,753 3,341 3.22 3.87 2.56 2029 248,214 2,879 3.09 3.87 3.65 2030 779,845 4,879 3.34 3.87 4.69 2031 157,766 17,798 1.51 3.87 5.45 2032 173,815 8,916 2.80 3.87 6.57 2033 240,259 8,205 3.20 3.87 7.23 2034 235,312 6,594 3.35 3.87 8.72 2035 664,582 1,524 3.75 3.87 9.59 2036 1,102 273 1.19 3.87 10.13 2037 45,000 4,753 2.81 3.87 11.66 2038 32,500 (258) 4.01 3.87 12.67 2039 11,322 173 3.85 3.87 13.69 2040 125,645 658 3.98 3.87 14.51 2045 12,500 115 4.07 3.87 19.30 2050 500 248 0.98 3.64 24.82 2053 2,780 388 3.32 3.87 27.99 2054 3,874 223 3.81 3.87 28.99 2055 133,654 3,677 3.99 3.87 29.69 Total $ 8,223,774 $ 63,259 3.42 % 3.87 % 4.03 53 Table of Contents The following tables provide information about the Company's fixed receiver interest rate swaps as of June 30, 2026 and December 31, 2025: June 30, 2026: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2026 $ 3,684 $ 7 3.68 % 3.97 % 0.36 2027 745,538 (5,989) 3.68 3.50 1.15 2028 2,255,220 (7,027) 3.68 3.83 2.00 2029 477,084 6,026 3.68 4.37 2.80 2030 605,387 (3,787) 3.68 3.76 4.05 2031 617,924 (1,074) 3.68 3.85 4.88 2032 39,518 (1,198) 3.68 3.41 6.25 2033 182,410 2,791 3.68 4.13 7.32 2034 28,103 107 3.68 3.98 7.80 2035 340,833 (1,756) 3.68 3.90 8.85 2036 294,998 (633) 3.68 3.96 9.80 2038 17,270 (928) 3.68 3.54 12.48 2040 39,332 (851) 3.68 3.92 14.12 2041 94,744 (131) 3.68 4.11 14.77 2050 500 (262) 3.68 0.90 24.32 2053 9,111 (1,293) 3.68 3.33 27.49 2054 7,004 (623) 3.68 3.65 28.37 2055 50,167 (1,141) 3.68 4.02 29.36 2056 52,184 681 3.68 4.23 29.80 Total $ 5,861,011 $ (17,081) 3.68 % 3.85 % 4.36 54 Table of Contents December 31, 2025: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2026 $ 409,789 $ 2,109 3.87 % 4.75 % 0.18 2027 2,198,911 1,264 3.87 3.44 1.77 2028 667,324 8,294 3.87 3.82 2.74 2029 477,084 15,486 3.87 4.37 3.29 2030 775,880 8,178 3.87 3.72 4.56 2031 5,485 (117) 3.87 3.14 5.72 2032 80,390 (1,051) 3.87 3.38 6.73 2033 172,564 6,043 3.87 4.15 7.86 2034 163,483 1,485 3.87 3.84 8.54 2035 865,242 3,483 3.87 3.83 9.43 2038 29,938 (1,251) 3.87 3.54 12.98 2039 5,637 (139) 3.87 3.76 13.19 2040 105,198 (1,551) 3.87 3.90 14.66 2050 500 (258) 3.87 0.90 24.82 2053 9,111 (1,263) 3.87 3.33 27.99 2054 7,004 (606) 3.87 3.65 28.87 2055 82,955 (1,264) 3.87 4.06 29.89 Total $ 6,056,495 $ 38,842 3.87 % 3.78 % 4.51 Credit Default Swaps The following table provides information about the Company's credit default swaps as of June 30, 2026 and December 31, 2025: June 30, 2026 December 31, 2025 Type(1) Notional Fair Value Weighted Average Remaining Term (Years) Notional Fair Value Weighted Average Remaining Term (Years) ($ in thousands) Asset: Long: Credit default swaps on asset-backed indices $ 177 $ 16 11.50 $ 190 $ 9 11.99 Credit default swaps on corporate bond indices 136,745 15,951 2.95 165,010 4,621 3.69 Short: Credit default swaps on asset-backed indices (9,153) 1,111 34.93 (26,693) 2,197 33.05 Liability: Short: Credit default swaps on asset-backed securities (45) (2) 9.24 (46) (2) 9.74 Credit default swaps on corporate bonds (13,000) (111) 0.97 (13,000) (155) 1.47 Credit default swaps on corporate bond indices (983,097) (32,305) 4.53 (1,034,704) (25,407) 4.76 $ (868,373) $ (15,340) 4.55 $ (909,243) $ (18,737) 5.74 (1)Long notional represents contracts where the Company has written protection and short notional represents contracts where the Company has purchased protection. 55 Table of Contents Futures The following table provides information about the Company's long and short positions in futures as of June 30, 2026 and December 31, 2025: June 30, 2026 December 31, 2025 Description Notional Amount Fair Value Remaining Months to Expiration Notional Amount Fair Value Remaining Months to Expiration (In thousands) (In thousands) Assets: Short Contracts: U.S. Treasury futures $ — $ — — $ (207,400) $ 1,095 2.64 Liabilities: Long Contracts: U.S. Treasury futures — — — 1,900 (35) 2.63 Short Contracts: U.S. Treasury futures (250,500) (680) 0.69 (49,800) (10) 3.00 Total, net $ (250,500) $ (680) 0.69 $ (255,300) $ 1,050 2.71 Warrants The following table provides information about the Company's warrants contracts to purchase shares as of June 30, 2026 and December 31, 2025: June 30, 2026 December 31, 2025 Description Number of Shares Underlying Warrant Fair Value Remaining Years to Expiration Number of Shares Underlying Warrant Fair Value Remaining Years to Expiration (In thousands) (In thousands) Warrants 114 $ 3 n/a 109 $ 1 n/a TBAs The Company transacts in the forward settling TBA market. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. TBAs are generally liquid, have quoted market prices, and represent the most actively traded class of MBS. The Company uses TBAs to mitigate interest rate risk, usually by taking short positions. The Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for investment purposes, including holding long positions. The Company does not usually take delivery of TBAs; rather, it settles the associated receivable and payable with its trading counterparties on a net basis. Transactions with the same counterparty for the same TBA that result in a reduction of the position are treated as extinguished. 56 Table of Contents As of June 30, 2026 and December 31, 2025, the Company had outstanding TBA purchase and sale contracts as follows: June 30, 2026 December 31, 2025 TBA Securities Notional Amount(1) CostBasis(2) Market Value(3) Net Carrying Value(4) Notional Amount(1) CostBasis(2) Market Value(3) Net Carrying Value(4) (In thousands) Purchase contracts: Assets $ 132,854 $ 126,633 $ 127,119 $ 486 $ 25,044 $ 23,572 $ 23,659 $ 87 Liabilities 12,695 12,133 12,124 (9) 64,444 61,685 61,631 (54) 145,549 138,766 139,243 477 89,488 85,257 85,290 33 Sale contracts: Assets (17,822) (16,924) (16,911) 13 (122,997) (117,545) (117,375) 170 Liabilities (330,381) (318,956) (321,213) (2,257) (205,377) (206,488) (207,032) (544) (348,203) (335,880) (338,124) (2,244) (328,374) (324,033) (324,407) (374) Total TBA securities, net $ (202,654) $ (197,114) $ (198,881) $ (1,767) $ (238,886) $ (238,776) $ (239,117) $ (341) (1)Notional amount represents the principal balance of the underlying Agency RMBS. (2)Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. (3)Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end. (4)Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis, and is reported in Financial derivatives-assets, at fair value and Financial derivatives-liabilities, at fair value on the Consolidated Balance Sheet. Options The following tables provide information about the Company's options contracts as of June 30, 2026 and December 31, 2025: June 30, 2026 December 31, 2025 Type Notional Amount Fair Value Months to Expiration Notional Amount Fair Value Months to Expiration (In thousands) (In thousands) Long put options on listed indices $ 6,645 $ 3,237 6.87 $ 8,575 $ 5,607 7.20 Short put options on listed indices (4,350) (2,363) 5.53 — — — Total put options $ 2,295 $ 874 6.34 $ 8,575 $ 5,607 7.20 57 Table of Contents Gains and losses on the Company's derivative contracts for the three- and six-month periods ended June 30, 2026 and 2025 are summarized in the tables below: Three-Month Period Ended June 30, 2026 Derivative Type Primary Risk Exposure Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives (In thousands) Interest rate swaps Interest Rate $ 5,976 $ (5,950) $ 26 $ 171 $ 14,323 $ 14,494 Credit default swaps on asset-backed indices Credit 503 503 (644) (644) Credit default swaps on asset-backed securities Credit 1 1 — — Credit default swaps on corporate bond indices Credit (2,516) (2,516) (508) (508) Credit default swaps on corporate bonds Credit (34) (34) 23 23 TBAs Interest Rate 4,785 4,785 (4,781) (4,781) Futures Interest Rate 4,630 4,630 (1,686) (1,686) Forwards Currency (137) (137) 303 303 Total return swaps Credit 141 141 9 9 Options Credit (2,412) (2,412) (2,741) (2,741) Warrants Credit — — 2 2 Total $ 5,976 $ (989) $ 4,987 $ 171 $ 4,300 $ 4,471 58 Table of Contents Three-Month Period Ended June 30, 2025 Derivative Type Primary Risk Exposure Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives (In thousands) Interest rate swaps Interest Rate $ 6,721 $ (1,321) $ 5,400 $ 2,267 $ (12,939) $ (10,672) Credit default swaps on asset-backed indices Credit (159) (159) 466 466 Credit default swaps on corporate bond indices Credit (5,429) (5,429) (9,424) (9,424) Credit default swaps on corporate bonds Credit 67 67 (72) (72) TBAs Interest Rate (286) (286) (804) (804) Futures Interest Rate 903 903 (747) (747) Forwards Currency (1,015) (1,015) (364) (364) Options Credit — — (3,991) (3,991) Total $ 6,721 $ (7,240) $ (519) $ 2,267 $ (27,875) $ (25,608) Six-Month Period Ended June 30, 2026 Derivative Type Primary Risk Exposure Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives (In thousands) Interest rate swaps Interest Rate $ 15,107 $ 155 $ 15,262 $ (2,092) $ 14,958 $ 12,866 Credit default swaps on asset-backed indices Credit 385 385 (644) (644) Credit default swaps on asset-backed securities Credit 1 1 — — Credit default swaps on corporate bond indices Credit (990) (990) (1,043) (1,043) Credit default swaps on corporate bonds Credit (66) (66) 44 44 TBAs Interest Rate 9,543 9,543 (1,427) (1,427) Futures Interest Rate 8,035 8,035 (1,730) (1,730) Forwards Currency 501 501 336 336 Total return swaps Credit 149 149 39 39 Options Credit (8,661) (8,661) 3,070 3,070 Warrants Credit — — 2 2 Total $ 15,107 $ 9,052 $ 24,159 $ (2,092) $ 13,605 $ 11,513 59 Table of Contents Six-Month Period Ended June 30, 2025 Derivative Type Primary Risk Exposure Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives (In thousands) Interest rate swaps Interest Rate $ 17,539 $ 837 $ 18,376 $ 180 $ (38,537) $ (38,357) Credit default swaps on asset-backed indices Credit 42 42 352 352 Credit default swaps on corporate bond indices Credit (5,561) (5,561) (6,241) (6,241) Credit default swaps on corporate bonds Credit 59 59 (86) (86) TBAs Interest Rate (214) (214) (1,418) (1,418) Futures Interest Rate (139) (139) (2,548) (2,548) Forwards Currency (1,441) (1,441) (586) (586) Warrants Credit — — (8) (8) Options Credit — — (3,832) (3,832) Total $ 17,539 $ (6,417) $ 11,122 $ 180 $ (52,904) $ (52,724) The table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the six-month period ended June 30, 2026 and the year ended December 31, 2025: Derivative Type Six-Month Period Ended June 30, 2026 Year Ended December 31, 2025 (In thousands) Interest rate swaps $ 15,264,388 $ 11,501,990 Credit default swaps 882,684 1,164,093 TBAs 721,538 401,288 Futures 241,014 213,100 Forwards 35,820 22,082 Options 6,916 6,382 Total return swaps 4,790 428 Warrants 111 105 From time to time the Company enters into credit derivative contracts for which the Company sells credit protection ("written credit derivatives"). As of June 30, 2026 and December 31, 2025, all of the Company's open written credit derivatives were credit default swaps on either mortgage/asset-backed indices (CMBX and ABX indices) or corporate bond indices (CDX), collectively referred to as credit indices, or on individual corporate bonds, for which the Company receives periodic payments at fixed rates from credit protection buyers, and is obligated to make payments to the credit protection buyer upon the occurrence of a "credit event" with respect to underlying reference assets. Written credit derivatives held by the Company at June 30, 2026 and December 31, 2025 are summarized below: Credit Derivatives June 30, 2026 December 31, 2025 (In thousands) Fair Value of Written Credit Derivatives, Net $ 15,967 $ 4,630 Notional Value of Written Credit Derivatives(1) 136,922 165,200 (1)The notional value is the maximum amount that a seller of credit protection would be obligated to pay, and a buyer of credit protection would receive, upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under credit derivative contracts with an International Swaps and Derivatives Association ("ISDA") counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional value of written 60 Table of Contents credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional value of any contracts where the Company has purchased credit protection on the same reference asset or index with the same ISDA counterparty. A credit default swap on a credit index or a corporate bond typically terminates at the stated maturity date in the case of corporate indices or bonds, or, in the case of ABX and CMBX indices, the date that all of the reference assets underlying the index are paid off in full, retired, or otherwise cease to exist. Implied credit spreads may be used to determine the market value of such contracts and are reflective of the cost of buying/selling credit protection. Higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e., make protection payments) under the contract. In situations where the credit quality of the underlying reference assets has deteriorated, the percentage of notional values that would be paid up front to enter into a new such contract ("points up front") is frequently used as an indication of credit risk. Credit protection sellers entering the market in such situations would expect to be paid points up front corresponding to the approximate fair value of the contract. As of June 30, 2026, the implied credit spreads on the Company's outstanding written credit derivative ranged from 57 to 286 basis points as compared to 50 to 316 basis points as of December 31, 2025. Total net up-front payments (paid) or received relating to written credit derivatives outstanding as of June 30, 2026 and December 31, 2025 was $17.0 million and $4.6 million, respectively. 11. Other Assets The following table provides additional details of the Company's assets included in Other assets on the Consolidated Balance Sheet at June 30, 2026 and December 31, 2025. Other Assets June 30, 2026 December 31, 2025 (In thousands) Prepaid expenses, advances, and deferred offering costs $ 9,405 $ 6,804 Accounts receivable 9,046 7,449 Prepaid scheduled draws on reverse mortgage loans and amounts due from sub-servicer 4,088 3,620 Leases—right of use assets(1) 3,749 3,992 Receivables and claims related to reverse mortgage loans repurchased from HMBS(2) 2,217 1,074 Intangible assets 1,769 1,786 Certificates of deposit, security deposits, and escrow cash 1,205 853 Property and equipment(3) 1,023 868 Loan purchase commitments 451 — $ 32,953 $ 26,446 (1)See Note 24 for additional details on the Company's leases and ROU assets. (2)Represents receivables from third parties and claims to HUD related to loans repurchased from HMBS. See Note 13, Issuance of HMBS for discussion on the maximum claim amount related to reverse mortgage loans in HMBS. (3)Net of accumulated depreciation. The Company has identified and recognized various intangible assets. The following table details the Company's intangible assets as of June 30, 2026 and December 31, 2025. June 30, 2026 December 31, 2025 Gross Carrying Value Accumulated Amortization Net Carrying Value Useful Life Gross Carrying Value Accumulated Amortization Net Carrying Value Useful Life (In thousands) (In months) (In thousands) (In months) Intangible Asset: Trademarks/trade names $ 1,200 $ — $ 1,200 Indefinite $ 1,200 $ — $ 1,200 Indefinite Customer relationships 700 (131) 569 240 700 (114) 586 240 Total identified intangible assets $ 1,900 $ (131) $ 1,769 $ 1,900 $ (114) $ 1,786 61 Table of Contents The following table summarizes changes in the net carrying value of the Company's intangible assets for the three- and six-month periods ended June 30, 2026 and 2025. Three-Month Period Ended June 30, 2026 June 30, 2025 (In thousands) Trademarks/Trade Names Customer Relationships Total Internally Developed Software Trademarks/Trade Names Customer Relationships Total Net carrying value of intangible assets —Beginning Balance $ 1,200 $ 578 $ 1,778 $ 233 $ 1,200 $ 613 $ 2,046 Accumulated Amortization — (9) (9) (117) — (9) (126) Net carrying value of intangible assets —Ending Balance $ 1,200 $ 569 $ 1,769 $ 116 $ 1,200 $ 604 $ 1,920 Six-Month Period Ended June 30, 2026 June 30, 2025 (In thousands) Trademarks/Trade Names Customer Relationships Total Internally Developed Software Trademarks/Trade Names Customer Relationships Total Net carrying value of intangible assets —Beginning Balance $ 1,200 $ 586 $ 1,786 $ 350 $ 1,200 $ 621 $ 2,171 Accumulated Amortization — (17) (17) (234) — (17) (251) Net carrying value of intangible assets —Ending Balance $ 1,200 $ 569 $ 1,769 $ 116 $ 1,200 $ 604 $ 1,920 The following table summarizes the Company's estimated future amortization expense on its intangible assets. June 30, 2026 (In thousands) 2026 $ 18 2027 35 2028 35 2029 35 2030 35 Thereafter 411 Total $ 569 62 Table of Contents 12. Consolidated VIEs As discussed in Note 2, the Company has interests in entities that it has determined to be VIEs. The following table summarizes the assets and liabilities of the Company's consolidated VIEs that are included on the Company's Consolidated Balance Sheet as of June 30, 2026 and December 31, 2025. See Note 13 and Note 16 for additional information on the Company's consolidated VIEs. (In thousands) June 30, 2026 December 31, 2025 Assets Cash and cash equivalents $ 1,060 $ 603 Restricted cash 42,373 134,685 Securities, at fair value 53,159 53,087 Loans, at fair value 6,409,644 5,614,700 Forward MSR-related investments, at fair value 29,060 30,691 Investments in unconsolidated entities, at fair value 127,342 101,112 Real estate owned 61,965 54,571 Investment related receivables 82,352 46,519 Other assets 489 3,071 Total Assets $ 6,807,444 $ 6,039,039 Liabilities Repurchase agreements $ 1,747,168 $ 1,819,906 Other secured borrowings 158,736 29,220 Other secured borrowings, at fair value 3,451,333 2,945,578 Interest payable 7,647 6,386 Accrued expenses and other liabilities 1,705 2,427 Total Liabilities 5,366,589 4,803,517 Total Stockholders' Equity 1,429,877 1,214,765 Non-controlling interests 10,978 20,757 Total Equity 1,440,855 1,235,522 Total Liabilities and Equity $ 6,807,444 $ 6,039,039 13. Securitization Transactions Participation in CLO Transactions An affiliate of Ellington sponsored four CLO securitization transactions (the "Ellington-sponsored CLO Securitizations"), collateralized by corporate loans and managed by an affiliate of Ellington (the "CLO Manager"). Ellington, the Company, several other affiliates of Ellington, and in certain cases, third parties, participated in the Ellington-sponsored CLO Securitizations (collectively, the "CLO Co-Participants"). Pursuant to each Ellington-sponsored CLO Securitization, a newly formed securitization trust (each a "CLO Issuer") issued various classes of notes, which were in turn sold to unrelated third parties and the applicable CLO Co-Participants. The CLO Issuers are each deemed to be a VIE. The Company evaluates its interests in the CLO Issuers under ASC 810, and while the Company retains credit risk in each of the securitization trusts through its beneficial ownership of a portion of the subordinated interests of each of the securitization trusts, which are the first to absorb credit losses on the securitized assets, the Company does not retain control of these assets or the power to direct the activities of the CLO Issuers that most significantly impact the CLO Issuers' economic performance. As a result, the Company determined that it is not the primary beneficiary of the CLO Issuers, and therefore the Company has not consolidated the CLO Issuers. The Company's maximum amount at risk is limited to the Company's investment in each of the CLO Issuers. As of June 30, 2026 and December 31, 2025, the fair value of the Company's investment in the notes issued by the CLO Issuers was $1.2 million and $2.0 million, respectively. See Note 16 for further details on the Company's participation in CLO transactions. Residential Mortgage Loan Securitizations—Non-QM, Closed-End Second Lien ("CES"), and Agency-eligible Loans The Company has participated in securitizations of non-QM loans (each, a "non-QM securitization"), CES loans (each, a "CES securitization") and Agency-eligible loans (each, an "AE securitization"). In each case, the applicable sponsor of such securitization (the "Sponsor") transferred a pool of loans (each, a "Collateral Pool") to a wholly-owned subsidiary of such Sponsor (each, a "Depositor"), and on the closing date such Collateral Pool was deposited into a newly created securitization 63 Table of Contents trust (such trusts collectively, the "Issuing Entities"). Pursuant to the securitizations, the Issuing Entities issued various classes of mortgage pass-through certificates (the "Certificates") which are backed by the cash flows from the underlying loans. For the non-QM securitizations in which the Company participated between November 2019 and July 2022, the Sponsor and the Depositor are wholly-owned subsidiaries of the Company. The Company has subsequently participated in non-QM and CES loan securitizations with other entities managed by Ellington (each a "Securitization Co-Participant"), and in such cases the Sponsor and the Depositor are not subsidiaries of the Company. Under the Dodd-Frank Act, sponsors of securitizations are generally required to retain at least 5% of the economic interest in the credit risk of the securitized assets (the "Risk Retention Rules"). Securitizations of "qualified mortgage loans" (as defined under the rules of the Consumer Financial Protection Bureau) are generally not subject to the Risk Retention Rules. In order to comply with the Risk Retention Rules, in each non-QM securitization for which the applicable Sponsor was a wholly-owned subsidiary of the Company, the Company purchased and intends to hold, at a minimum, the requisite amount of the most subordinated classes of Certificates and the excess cash flow certificates. The applicable Sponsor also purchased the Certificates entitled to excess servicing fees in each securitization, while the remaining classes of Certificates were purchased by unrelated parties and, when applicable, certain Securitization Co-Participants. In the non-QM and CES securitizations for which the Sponsor was not a wholly-owned subsidiary of the Company, the Company and the applicable Securitization Co-Participants have membership interests in an entity formed for such purpose (the "Participated Risk Retention Vehicle") which purchased, and intends to hold, the requisite amount of each class of Certificate for each applicable securitization. The Participated Risk Retention Vehicle also purchased the Certificates entitled to excess servicing fees of such Issuing Entities. The remaining Certificates were purchased by the Company, the Securitization Co-Participants, and/or various unrelated parties. Notwithstanding that the Certificates carry final scheduled distribution dates in November 2059 or later, the applicable Depositor may, at its sole option, purchase all of the outstanding Certificates (an "Optional Redemption") following the earlier of (1) the applicable anniversary of the closing date (typically two or three years) of the respective securitization or (2) the date on which the aggregate unpaid principal balance of the applicable Collateral Pool has declined below a specified percentage, as detailed in each securitization's private placement memorandum, of the aggregate unpaid principal balance of the applicable Collateral Pool as of the date as of which such loans were originally transferred to the applicable Issuing Entity. The purchase price that the Depositor is required to pay in connection with an Optional Redemption is equal to the sum of the unpaid principal balance of each class of Certificates as of the redemption date and any accrued and unpaid interest thereon. These Optional Redemption rights are held by the applicable Depositor and are deemed to give such Depositor effective control over the loans. In cases where the Depositor was a wholly-owned subsidiary of the Company, the transfers of non-QM loans to each of the Issuing Entities do not qualify as sales under ASC 860-10, and the Company continues to reflect the loans on its Consolidated Balance Sheet in Loans, at fair value. In cases where the Depositor was not wholly-owned or consolidated by the Company, the transfers of loans to the Issuing Entities did qualify as sales in accordance with ASC 860-10. In the event that certain breaches of representations or warranties are discovered with respect to any underlying loans, the Company could be required to repurchase or replace such loans. Each Sponsor also serves as the servicing administrator of its respective securitization; for securitizations closed prior to the second quarter of 2025, the Sponsor is entitled to receive a monthly fee for its role as servicing administrator, equal to one-twelfth of the product of (a) 0.03% and (b) the unpaid principal balance of the underlying loans as of the first day of the related due period. Each such Sponsor in its role as servicing administrator provides direction and consent for certain loss mitigation activities to the third-party servicer of the underlying loans. In certain circumstances, the servicing administrator will be required to reimburse the servicer for principal and interest advances and servicing advances made by the servicer. Consolidated non-QM Securitizations For non-QM securitizations in which the Company owned 100% of the interests in both the applicable Sponsor and Depositor ("Consolidated Residential Mortgage Loan Securitizations"), the Company is deemed to be the primary beneficiary of the Issuing Entities, which are VIEs, and has consolidated the Issuing Entities ("Consolidated Issuing Entities") given the Company's retained interests in each of the securitizations, together with the Optional Redemption rights held by the wholly-owned Depositor and the Company's ability to direct the third-party servicer regarding certain loss mitigation activities. Interest income from these loans and the expenses related to the servicing of these loans are included in Interest income and Investment and transaction related expenses—Servicing expense, respectively, on the Consolidated Statement of Operations. Each of the Consolidated Issuing Entities meets the definition of a CFE as defined in Note 2, and as a result the fair value of the assets of each of the Issuing Entities have been derived from the fair value of the liabilities of the respective Issuing Entity, as such liabilities have been assessed to be more observable than such assets. 64 Table of Contents The debt of the Consolidated Issuing Entities is included in Other secured borrowings, at fair value, on the Consolidated Balance Sheet and is shown net of the Certificates held by the Company. The following table details the assets and liabilities of the Consolidated Issuing Entities included in the Company's Consolidated Balance Sheet as of June 30, 2026 and December 31, 2025: (In thousands) June 30, 2026 December 31, 2025 Assets: Loans, at fair value $ 1,270,842 $ 1,354,189 Investment related receivables 3,242 4,886 Liabilities: Other secured borrowings, at fair value 1,157,668 1,236,077 Non-Consolidated Residential Mortgage Loan Securitizations As described above, the Company has also participated in loan securitizations with various Securitization Co-Participants. For the non-QM securitization which closed in December 2022, the Company and a Securitization Co-Participant each sold loans to a jointly held entity (the "Residential Loan JV") which then transferred the loans to the respective series of the applicable Sponsor, which is wholly-owned by the Residential Loan JV, for further transfer to the applicable Depositor. For the loan securitizations that closed after December 2022, the Company and the Securitization Co-Participants each sold loans directly to the respective series of the applicable Sponsor, for further transfer to the applicable Depositor. The sales by the Company in each instance were accounted for as sales in accordance with ASC 860-10. The following table provides details on non-consolidated residential mortgage loan securitizations in which the Company participated during the six-month periods ended June 30, 2026 and 2025: Issuing Entity Risk Retention(1) Closing Date Principal Balance of Loans Sold By the Company Principal Balance of Loans Sold By the Securitization Co-Participants Total Face Amount of Certificates Issued (In thousands) EFMT 2025-NQM1 Vertical 1/25 $ 193,569 $ 76,063 $ 269,632 EFMT 2025-CES1 Exempt 2/25 185,273 83,629 268,902 EFMT 2025-INV1 Vertical 2/25 148,189 111,518 259,707 EFMT 2025-CES2 Vertical 3/25 166,527 123,589 290,116 EFMT 2025-INV2 Vertical 5/25 196,961 148,827 345,788 EFMT 2025-CES3 Vertical 6/25 169,882 111,147 281,029 EFMT 2025-NQM2 Vertical 6/25 182,020 100,752 282,772 EFMT 2026-CES1 Exempt 1/26 85,274 136,540 221,814 EFMT 2026-AE1(2) Vertical 2/26 231,322 94,418 325,740 EFMT 2026-NQM1 Vertical 2/26 478,683 88,006 566,689 EFMT 2026-INV2 Vertical 2/26 295,007 114,135 409,142 EFMT 2026-NQM3 Vertical 3/26 301,760 206,741 508,501 EFMT 2026-NQM4 Vertical 4/26 356,661 190,137 546,798 EFMT 2026-AE2(2) Vertical 4/26 254,867 94,173 349,040 EFMT 2026-AE3(2) Vertical 5/26 188,357 149,588 337,945 EFMT 2026-NQM5 Vertical 5/26 401,303 102,855 504,158 EFMT 2026-AE4(2) Vertical 6/26 141,884 143,876 285,760 EFMT 2026-NQM6 Vertical 6/26 338,889 151,160 490,049 EFMT 2026-CES2 Vertical 6/26 186,950 181,583 368,533 (1)"Exempt" indicates the securitization was exempt from the Risk Retention Rules as all contributed loans were "qualified" mortgage loans. For the securitizations for which the Sponsor is required to comply with the Risk Retention Rules, the Participated Risk Retention Vehicle purchased either the requisite amount of the most subordinated classes of Certificates ("Horizontal" risk retention), or a percentage of each of the classes of Certificates issued by the respective Issuing Entities ("Vertical" risk retention). (2)In addition to its contribution of Agency-eligible loans, the Company also paid $36.4 million in cash to the Sponsors. 65 Table of Contents The aggregate fair value of the Company's ownership interests in the Residential Loan JV, and respective series of both the Participated Risk Retention Vehicle and Sponsor, was $140.6 million and $69.1 million as of June 30, 2026 and December 31, 2025, respectively. Such interests are included on the Consolidated Balance Sheet in Investments in unconsolidated entities, at fair value. The Company and the Securitization Co-Participants also directly purchased certain of the Certificates issued by the non-consolidated Issuing Entities; the Company subsequently sold various of these Certificates. As of June 30, 2026 and December 31, 2025, the fair value of the Company's investment in such Certificates was $263.3 million and $183.1 million, respectively, and is included on the Consolidated Balance Sheet in Securities, at fair value. The Company has evaluated its interests in the Residential Loan JV, the Participated Risk Retention Vehicle, and the respective Sponsors, which are each VIEs. Because the Company does not control the assets of such entities nor does it have the power to direct the activities that most significantly impact such entities' economic performance, the Company determined that the Company is not the primary beneficiary of these VIEs, and therefore the Company has not consolidated these VIEs. Residential Mortgage Loan Securitizations—Residential Transition Loans ("RTLs") The Company, through a wholly owned subsidiary (the "RTL Sponsor"), sponsored a securitization of RTLs. The RTL Sponsor transferred a pool of RTLs with an unpaid principal balance of $119.2 million (the "Initial RTL Collateral Pool") to a wholly owned entity (the "RTL Depositor"), and on the closing date such loans were deposited into a newly created securitization trust (the "RTL Issuing Entity"). Pursuant to the securitization, the RTL Issuing Entity issued $300.0 million, in aggregate, of various classes of mortgage-backed notes (the "RTL Notes") which are backed by the cash flows from the underlying RTLs. In order to comply with the Risk Retention Rules, the Company purchased and intends to hold the most subordinated class of RTL Notes. The remaining classes of RTL Notes were purchased by unrelated parties. The securitization is subject to a reinvestment period through November 2027 (the "RTL Reinvestment Period"), absent an event of default, whereby, under various loan sale agreements, the RTL Sponsor may sell additional RTLs (the "Subsequent RTL Collateral Pool" and together with the Initial RTL Collateral Pool, the "RTL Collateral Pool") to the RTL Depositor which will then be contributed to the RTL Issuing Entity. Certain of the RTLs in the RTL Collateral Pool have commitments to advance additional funds to the underlying borrowers. As of June 30, 2026 and December 31, 2025, unfunded commitments related to the RTL Collateral Pool were $86.1 million and $55.8 million, respectively. Notwithstanding that the RTL Notes carry final scheduled distribution dates in November 2040, the RTL Issuer may redeem all of the outstanding RTL Notes (an "Optional Redemption") following the earlier of (a) the termination of the RTL Reinvestment Period or (b) the date on which the aggregate unpaid principal balance of the applicable Collateral Pool has declined below 25% of the Initial RTL Collateral Pool. The purchase price required to redeem the RTL Notes is equal to the sum of the unpaid principal balance of each class of RTL Notes as of the redemption date and any accrued and unpaid interest thereon. In the event that certain breaches of representations or warranties are discovered with respect to any underlying loans, the Company could be required to repurchase or replace such loans. The Company also acts as the collateral manager of the RTL Collateral Pool whereby it performs various servicing oversight and management functions. In light of the Company's retained interests in the RTL Issuing Entity, together with the Optional Redemption rights and the Company's ability to direct the third-party servicer regarding certain loss mitigation activities, the Company is deemed to be the primary beneficiary of the RTL Issuing Entity, which is a VIE, and has consolidated the RTL Issuing Entity. Interest income from the RTL Collateral Pool and the expenses related to the servicing of the RTL Collateral Pool are included in Interest income and Investment and transaction related expenses—Servicing expense, respectively, on the Consolidated Statement of Operations. The RTL Issuing Entity meets the definition of a CFE as defined in Note 2, and as a result the assets of the RTL Issuing Entity have been valued using the fair value of the liabilities of the RTL Issuing Entity, as such liabilities have been assessed to be more observable than such assets. The debt of the RTL Issuing Entity is included in Other secured borrowings, at fair value, on the Consolidated Balance Sheet and is shown net of the RTL Notes held by the Company. 66 Table of Contents The following table details the assets and liabilities of the RTL Issuing Entity included in the Company's Consolidated Balance Sheet as of June 30, 2026 and December 31, 2025: (In thousands) June 30, 2026 December 31, 2025 Assets: Restricted cash $ 10,288 $ 107,660 Loans, at fair value 273,105 192,975 Investment related receivables 19,898 3,127 Liabilities: Other secured borrowings, at fair value 283,720 285,294 Investment related payables — 644 Residential Mortgage Loan Securitizations—European Residential Mortgage Loans The Company holds an interest in a European RMBS issued by an unaffiliated European securitization trust (the "European RMBS Issuer"), which is a VIE. The European RMBS Issuer issued various tranches of notes (the "European Debt Tranches") collateralized by a pool of European residential mortgage loans (the "European Mortgage Loan Securitization"). As the holder of a majority interest in the most subordinate European Debt Tranche, the Company may, at its sole option, purchase all of the outstanding European Debt Tranches (the "Optional Redemption"). As a result, the Company has the power to direct the activities that most significantly impact the economic performance of the European RMBS Issuer and the Company determined that the Company is the current primary beneficiary of this VIE, and therefore the Company has consolidated the European RMBS Issuer. The following table details the assets and liabilities of the European RMBS Issuer included in the Company's Consolidated Balance Sheet as of June 30, 2026 and December 31, 2025: (In thousands) June 30, 2026 December 31, 2025 Assets: Cash and cash equivalents $ 904 $ 586 Restricted cash — 1,012 Loans, at fair value 24,737 27,536 Investment related receivables 3,515 2,170 Liabilities: Other secured borrowings, at fair value 24,800 27,600 Investment related payables 4,292 3,639 Residential Mortgage Loan Securitizations—Co-Sponsor The Company entered into agreements whereby it co-sponsored various securitizations of residential mortgage loans (the "Co-Sponsored Securitizations") with an unrelated third-party (the "Co-Sponsor") and certain affiliates of Ellington (the "Co-Sponsor Affiliated Participants"). With the exception of the Co-Sponsored Securitization completed in January 2025, the Company, through a wholly owned subsidiary, purchased residential mortgage loans from the Co-Sponsor that were then transferred to a third-party depositor. With respect to the Co-Sponsored Securitization completed in January 2025, an Affiliated Co-Sponsor purchased residential mortgage loans from the Co-Sponsor that were then transferred to a third-party depositor. In each Co-Sponsored Securitization the residential mortgage loans were then transferred from the third-party depositor to a newly formed entity (each a "Co-Sponsored Issuer"). The transfers to the Co-Sponsored Issuers were accounted for as sales in accordance with ASC 860-10. Pursuant to each of the Co-Sponsored Securitizations, each Co-Sponsored Issuer issued various classes of mortgage-backed notes (the "Co-Sponsored Notes") which are backed by the cash flows from the underlying loans. 67 Table of Contents The following table summarizes the Co-Sponsored Securitizations in which the Company participated during the six-month periods ended June 30, 2026 and 2025: Issuing Entity Closing Date Total Face Amount of Certificates Issued (In thousands) RCKT MORTGAGE TRUST 2025-CES1 1/25 $ 535,777 RCKT MORTGAGE TRUST 2025-CES4 4/25 500,318 RCKT MORTGAGE TRUST 2025-CES5 5/25 502,665 RCKT MORTGAGE TRUST 2026-CES6 6/26 706,046 Notwithstanding that the Co-Sponsored Notes carry final scheduled payment dates in October 2044 or later, the majority holder of the most subordinate Co-Sponsored Notes (the "Option Holder") for each respective Co-Sponsored Securitization may, at its sole option, purchase all of the outstanding Co-Sponsored Notes (an "Optional Redemption") following the earlier of (1) the third anniversary of the closing date of the respective securitization or (2) the date on which the aggregate unpaid principal balance of the underlying residential mortgage loans has declined below 20% of the aggregate unpaid principal balance as of the date on which such loans were originally transferred to the respective Co-Sponsored Issuer. The purchase price that the Option Holder is required to pay in connection with an Optional Redemption is equal to the sum of the unpaid principal balance of each class of Co-Sponsored Notes as of the redemption date and any accrued and unpaid interest thereon and any applicable fees. In order to comply with the Risk Retention Rules, the Company retained a fixed percentage of each of the classes of Co-Sponsored Notes issued by each Co-Sponsored Issuer. Additionally, the Company and certain of the Co-Sponsor Affiliated Participants purchased certain of the Co-Sponsored Notes that are not subject to the Risk Retention Rules. As of June 30, 2026 and December 31, 2025, the fair value of the Company's investment in such Co-Sponsored Notes was $179.2 million and $161.2 million, respectively, and is included in Securities, at fair value on the Consolidated Balance Sheet. The Company has evaluated its interests in each of the Co-Sponsored Issuers, which are VIEs. Because the Company does not control the assets of the Co-Sponsored Issuers nor does it have the power to direct the activities that most significantly impact such entities' economic performance, the Company determined that it is not the primary beneficiary of these VIEs, and therefore the Company has not consolidated these VIEs. Proprietary Reverse Mortgage Loan Securitizations The Company has sponsored securitizations of reverse mortgage loans (each, a "Reverse Mortgage Securitization"). In each case, the Company, through its wholly-owned subsidiary (the "RM Sponsor"), transferred a pool of proprietary reverse mortgage loans (each, a "RM Collateral Pool") to a wholly-owned subsidiary of the RM Sponsor (the "RM Depositor"), which then deposited such RM Collateral Pool into a newly created securitization trust on the related securitization closing date. Pursuant to the Reverse Mortgage Securitizations, the securitization trusts (collectively, the "RM Issuing Entities") issued various classes of asset-backed notes (the "RM Notes") which are backed by the cash flows from the underlying proprietary reverse mortgage loans. The Company purchased and intends to hold, at a minimum, the requisite amount of RM Notes it is required to hold under the Risk Retention Rules. The RM Sponsor also serves as the servicing administrator of each Reverse Mortgage Securitization, for which it is entitled to receive a monthly fee equal to one-twelfth of the product of (a) 0.03% and (b) the unpaid principal balance of the underlying reverse mortgage loans as of the first day of the related due period. The RM Sponsor in its role as servicing administrator provides direction and consent for certain loss mitigation activities to the third-party servicer of the underlying reverse mortgage loans. In certain circumstances, the servicing administrator will be required to reimburse the servicer for principal and interest advances and servicing advances made by the servicer. Notwithstanding that the RM Notes carry final stated final maturity dates in May 2055 or later, each RM Issuing Entity may, at its sole option, purchase all of the outstanding RM Notes of such RM Issuing Entity (a "RM Optional Redemption") following the date on which the aggregate outstanding balance of the RM Notes has declined below 30% of the aggregate initial note amount of the RM Notes. The purchase price required to be paid in connection with such a RM Optional Redemption is equal to the sum of the remaining balance of the RM Notes as of the redemption date, any accrued and unpaid interest thereon, and any applicable expenses including the repayment of servicing advances. These RM Optional Redemption rights are exercisable by each applicable RM Issuing Entity, each of which the Company has been deemed to have effective control over through its role as RM Sponsor and servicing administrator. 68 Table of Contents The Company is deemed to be the primary beneficiary of each of the RM Issuing Entities, which are VIEs, and has consolidated such entities given the Company's retained interests in each of the Reverse Mortgage Securitizations, together with the Optional Redemption rights held by the RM Depositor and the Company's ability to direct the third-party servicer regarding certain loss mitigation activities. Interest income from these loans and the expenses related to the servicing of these loans are included in Interest income and Investment and transaction related expenses—Servicing expense, respectively, on the Consolidated Statement of Operations. Each of the RM Issuing Entities meets the definition of a CFE and, as a result, the fair value of the assets of the RM Issuing Entities has been derived from the fair value of the liabilities of the RM Issuing Entities, as such liabilities have been assessed to be more observable than such assets. The debt of the RM Issuing Entities is included in Other secured borrowings, at fair value, on the Consolidated Balance Sheet and is shown net of the RM Notes held by the Company. The following table provides additional details for the Company's consolidated Reverse Mortgage Securitizations closed during the six-month periods ended June 30, 2026 and 2025: RM Issuing Entity Closing Date Principal Balance of Loans Transferred to the Depositor Total Face Amount of RM Notes Issued(1) (In thousands) EFMT 2025-RM1 5/25 198,359 242,700 EFMT 2026-RM1 2/26 223,023 260,440 EFMT 2026-RM2 5/26 229,422 229,422 274,450 EFMT 2026-RM3 6/26 151,182 183,220 (1)The RM Sponsor purchased various classes of RM Notes issued by each RM Issuing Entity in order to comply with the Risk Retention Rules. The following table details the assets and liabilities of the RM Issuing Entities included in the Company's Consolidated Balance Sheet as of June 30, 2026 and December 31, 2025: June 30, 2026 December 31, 2025 Assets: (In thousands) Restricted cash $ 30,460 $ 26,013 Loans, at fair value 1,988,167 1,397,835 Investment related receivables 30,781 19,893 Liabilities: Other secured borrowings, at fair value 1,985,145 1,396,607 Issuance of HMBS Longbridge is approved as a Title II, non-supervised direct endorsement mortgagee with HUD. Longbridge is also an approved issuer of HMBS whereby it pools HECM loans and issues HMBS securities which are sold to third-parties with only the servicing rights retained. As discussed in Note 5, HMBS are structured whereby the HMBS issuer is required to repurchase loans whenever the outstanding principal balance of such loan reaches 98% of the MCA. In accordance with ASC 860-10, the transfer of the loans to the HMBS securitization vehicle does not qualify as a sale as the Company has not surrendered control over transferred financial assets. As a result, the transfer of the loans is accounted for as secured borrowings for which the Company has elected the FVO. Such secured borrowings are included in HMBS-related obligations, at fair value, on the Consolidated Balance Sheet. The majority of the related collateral is included as a component of Loans, at fair value, on the Consolidated Balance Sheet. The Company recognizes interest expense on such HMBS-related obligations based on the stated coupon rate of the respective HMBS. Interest expense and changes in fair value are recorded in net change related to HMBS obligations, at fair value on the Consolidated Statement of Operations. During the three-month periods ended June 30, 2026 and 2025, the Company pooled HECM loans with an unpaid principal balance of $412.6 million and $369.0 million, respectively, into HMBS. During the six-month periods ended June 30, 2026 and 2025, the Company pooled HECM loans with an unpaid principal balance of $773.2 million and $726.2 million, respectively, into HMBS. As of June 30, 2026, the Company was servicing 1,095 pools of HMBS with an unpaid principal balance of $10.5 billion. As of December 31, 2025, the Company was servicing 1,028 pools of HMBS with an unpaid principal balance of $9.9 billion. During the three-month periods ended June 30, 2026 and 2025, the Company repurchased HECM loans from HMBS pools, largely consisting of loans that had reached 98% of the MCA, with an unpaid principal balance of $59.2 million and 69 Table of Contents $30.4 million, respectively. During the six-month periods ended June 30, 2026 and 2025, the Company repurchased HECM loans from HMBS pools, largely consisting of loans that had reached 98% of the MCA, with an unpaid principal balance of $114.7 million and $62.1 million, respectively. 14. Borrowings Secured Borrowings The Company's secured borrowings consist of repurchase agreements, Other secured borrowings, Other secured borrowings, at fair value, and HMBS-related obligations, at fair value. As of June 30, 2026 and December 31, 2025, the Company's total secured borrowings were $17.8 billion and $16.3 billion, respectively. Repurchase Agreements The Company enters into repurchase agreements. A repurchase agreement involves the sale of an asset to a counterparty together with a simultaneous agreement to repurchase the transferred asset or similar asset from such counterparty at a future date. The Company accounts for its repurchase agreements as collateralized borrowings, with the transferred assets effectively serving as collateral for the related borrowing. The Company's repurchase agreements typically range in term from 30 to 364 days, although the Company also has repurchase agreements that provide for longer or shorter terms; repurchase agreements on Agency RMBS and U.S. Treasury securities typically have terms shorter than 30 days. The principal economic terms of each repurchase agreement—such as loan amount, interest rate, and maturity date—are typically negotiated on a transaction-by-transaction basis. Other terms and conditions, such as those relating to events of default, are typically governed under the Company's master repurchase agreements. Absent an event of default, the Company maintains beneficial ownership of the transferred securities during the term of the repurchase agreement and receives the related principal and interest payments. Interest rates on these borrowings are generally fixed based on prevailing rates corresponding to the terms of the borrowings, and for most repurchase agreements, interest is generally paid at the termination of the repurchase agreement, at which time the Company may enter into a new repurchase agreement at prevailing market rates with the same counterparty, repay that counterparty and possibly negotiate financing terms with a different counterparty, or choose to no longer finance the related asset. Some repurchase agreements provide for periodic payments of interest, such as monthly payments. In response to a decline in the fair value of the transferred securities, whether as a result of changes in market conditions, security paydowns, or other factors, repurchase agreement counterparties will typically make a margin call, whereby the Company will be required to post additional securities and/or cash as collateral with the counterparty in order to re-establish the agreed-upon collateralization requirements. In the event of increases in fair value of the transferred securities, the Company can generally require the counterparty to post collateral with it in the form of cash or securities. The Company is generally permitted to sell or re-pledge any securities posted by the counterparty as collateral; however, upon termination of the repurchase agreement, or other circumstance in which the counterparty is no longer required to post such margin, the Company must return to the counterparty the same security that had been posted. At any given time, the Company seeks to have its outstanding borrowings under repurchase agreements with several different counterparties in order to reduce the exposure to any single counterparty. The Company had outstanding borrowings under repurchase agreements with 23 and 21 counterparties as of June 30, 2026 and December 31, 2025, respectively. As of June 30, 2026, remaining days to maturity on the Company's open repurchase agreements ranged from 1 day to 780 days and interest rates on the Company's open repurchase agreements ranged from 2.96% to 7.05%. As of December 31, 2025, remaining days to maturity on the Company's open repurchase agreements ranged from 2 days to 636 days and interest rates on the Company's open repurchase agreements ranged from 2.79% to 7.05%. 70 Table of Contents The following table details the Company's outstanding borrowings under repurchase agreements by remaining maturity as of June 30, 2026 and December 31, 2025: June 30, 2026 December 31, 2025 Weighted Average Weighted Average Remaining Maturity Outstanding Borrowings Interest Rate Remaining Days to Maturity Outstanding Borrowings Interest Rate Remaining Days to Maturity Agency Pass-Throughs(1): (In thousands) (In thousands) 30 days or less $ 110,005 3.75 % 3 $ 193,105 4.00 % 4 Total Agency Pass-Throughs 110,005 3.75 % 3 193,105 4.00 % 4 U.S. Treasury securities: 30 Days or Less 139,584 3.73 % 1 33,310 3.99 % 2 Total U.S. Treasury securities 139,584 3.73 % 1 33,310 3.99 % 2 Other(2): 30 days or less 3,185 5.03 % 17 40,822 5.56 % 17 31-60 days 412,134 4.49 % 47 406,647 5.19 % 46 61-90 days 306,978 4.47 % 77 210,885 4.48 % 75 91-120 days 361,958 5.20 % 117 361,230 5.22 % 115 121-150 days 133,599 5.73 % 126 — — % — 151-180 days 7,478 4.33 % 163 13,143 4.59 % 161 181-364 days 502,381 5.44 % 282 217,900 5.86 % 291 > 364 days 1,086,975 5.72 % 526 1,178,402 5.67 % 505 Total other 2,814,688 5.28 % 290 2,429,029 5.43 % 304 Total $ 3,064,277 5.16 % 267 $ 2,655,444 5.18 % 268 (1)Excludes Agency IOs. (2)Includes securities, loans, and REO. Repurchase agreements involving underlying investments that the Company sold prior to period end, for settlement following period end, are shown using their contractual maturity dates even though such repurchase agreements may be expected to be terminated early upon settlement of the sale of the underlying investment. As of June 30, 2026 and December 31, 2025, the fair value of investments transferred as collateral under outstanding borrowings under repurchase agreements was $3.7 billion and $3.3 billion, respectively. In addition, as of June 30, 2026 and December 31, 2025, the Company posted (received) net cash collateral of $13.3 million and $6.9 million, respectively, to its counterparties. Amount at risk represents the excess, if any, for each counterparty of the fair value of collateral held by such counterparty over the amounts outstanding under repurchase agreements. There was no counterparty for which the amount at risk was greater than 10% of total equity as of June 30, 2026 and December 31, 2025. Other Secured Borrowings The Company has entered into agreements, which it amended in the first quarter of 2026, to finance a portfolio of ABS backed by consumer loans through a recourse secured revolving borrowing facility, which terminates in January 2028, whereby the Company can vary its borrowings based on the size of its portfolio, subject to certain maximum limits. The facility accrues interest on a floating rate basis. As of June 30, 2026 and December 31, 2025, the Company had outstanding borrowings under this facility in the amount of $32.9 million and $29.2 million, respectively, which is included under the caption Other secured borrowings, on the Company's Consolidated Balance Sheet. As of June 30, 2026, the fair value of ABS backed by consumer loans collateralizing this borrowing was $52.8 million and the effective interest rate on this facility was 6.77%. As of December 31, 2025, the fair value of ABS backed by consumer loans collateralizing this borrowing was $52.7 million and the effective interest rate on this facility was 7.19%. There are a number of covenants, including several financial covenants, associated with this borrowing; as of both June 30, 2026 and December 31, 2025, the Company was in compliance with all of its covenants. The Company has completed various securitization transactions, as discussed in Note 13—Consolidated non-QM Securitizations, whereby it financed portfolios of non-QM loans. As of June 30, 2026 and December 31, 2025, the fair value of the Company's outstanding liabilities associated with the Company's Consolidated Residential Mortgage Loan Securitizations was $1.16 billion and $1.24 billion, respectively, representing the fair value of the securitization trust certificates held by third 71 Table of Contents parties as of such date, and is included on the Company's Consolidated Balance Sheet in Other secured borrowings, at fair value. The weighted average coupon of the certificates held by third parties was 3.13% and 3.10% as of June 30, 2026 and December 31, 2025, respectively. As of June 30, 2026 and December 31, 2025, the fair value of non-QM loans held in the Consolidated Residential Mortgage Loan Securitization trusts was $1.27 billion and $1.35 billion, respectively. The Company has completed a securitization transaction, as discussed in Note 13—Residential Mortgage Loan Securitizations—Residential Transition Loans, whereby it financed a portfolio of RTLs. As of June 30, 2026 and December 31, 2025, the fair value of the Company's outstanding liabilities associated with the Company's consolidated RTL securitization was $283.7 million and $285.3 million, respectively, representing the fair value of the securitization notes held by third parties as of such date, and is included on the Company's Consolidated Balance Sheet in Other secured borrowings, at fair value. The weighted average coupon of the notes held by third parties was 5.65% as of both June 30, 2026 and December 31, 2025. As of June 30, 2026, the Consolidated Residential Mortgage Loan Securitization trust held RTLs with a fair value of $273.1 million, restricted cash of $10.3 million, and $19.9 million of investment related receivables. As of December 31, 2025, the Consolidated Residential Mortgage Loan Securitization trust held RTLs with a fair value of $193.0 million, restricted cash of $107.7 million, and $3.1 million of investment related receivables. The Company has completed securitization transactions, as discussed in Note 13—Proprietary Reverse Mortgage Loan Securitizations, whereby it financed portfolios of proprietary reverse mortgage loans. As of June 30, 2026 and December 31, 2025, the fair value of the Company's outstanding liabilities associated with the Company's Reverse Mortgage Securitizations was $1.99 billion and $1.40 billion, respectively, representing the fair value of the RM Notes held by third parties as of such date, and is included on the Company's Consolidated Balance Sheet in Other secured borrowings, at fair value. The weighted average coupon of the RM Notes held by third parties was 4.81% and 4.84% as of June 30, 2026 and December 31, 2025, respectively. Collateral held in the RM Issuing Entities as of June 30, 2026 includes the fair value of reverse mortgage loans of $1.99 billion, $30.5 million of cash held in securitization reserve funds, and $30.8 million of investment related receivables. Collateral held in the RM Issuing Entities as of December 31, 2025 includes the fair value of reverse mortgage loans of $1.40 billion and $26.0 million of cash held in securitization reserve funds, and $19.9 million of investment related receivables. As discussed in Note 13—Residential Mortgage Loan Securitizations—European Residential Mortgage Loans, the Company has determined that it is the primary beneficiary of the European RMBS Issuer, resulting in consolidation. As of June 30, 2026 and December 31, 2025, Other secured borrowings, at fair value of the European RMBS Issuer was $24.8 million and $27.6 million, respectively, representing the fair value of the European Debt Tranches held by third parties as of such date, and is included on the Company's Consolidated Balance Sheet in Other secured borrowings, at fair value. The weighted average coupon of the European Debt Tranches held by third parties was 7.27% and 7.42% as of June 30, 2026 and December 31, 2025, respectively. Collateral held in the European RMBS Issuer as of June 30, 2026, includes the fair value of residential mortgage loans of $24.7 million and $0.9 million of cash. Collateral held in the European RMBS Issuer as of December 31, 2025, includes the fair value of residential mortgage loans of $27.5 million and $1.6 million of cash. The Company has a warehouse line of credit which it uses to finance its portfolio of reverse mortgage loans prior to them being sold or pooled into HMBS. This line of credit was amended in May 2026, matures in May 2027, and accrues interest on a floating rate basis. As of June 30, 2026 and December 31, 2025, the Company had outstanding borrowings under this financing line of $44.7 million and $77.9 million, respectively, which is included on the Company's Consolidated Balance Sheet in Other secured borrowings. The effective interest rate was 6.23% and 6.70% as of June 30, 2026 and December 31, 2025, respectively. As of June 30, 2026 and December 31, 2025, the fair value of reverse mortgage loans collateralizing this borrowing was $50.3 million and $85.3 million, respectively, which are included in Loans, at fair value on the Consolidated Balance Sheet. There are a number of covenants, including several financial covenants, associated with this line of credit; as of June 30, 2026 and December 31, 2025, the Company was in compliance with all of these covenants. The Company entered into an agreement to finance a portfolio of HECM tail draws prior to being sold or pooled into HMBS. This facility was amended in May 2026, matures in November 2026, and accrues interest on a floating-rate basis. As of June 30, 2026 and December 31, 2025, the Company's outstanding borrowings under this facility was $17.2 million and $20.7 million, respectively, which are included on the Company's Consolidated Balance Sheet in Other secured borrowings. The effective interest rate was 7.12% and 7.25% as of June 30, 2026 and December 31, 2025, respectively. As of June 30, 2026 and December 31, 2025, the fair value of HECM tail draws collateralizing this borrowing was $34.2 million and $35.2 million, respectively, which are included in Loans, at fair value on the Consolidated Balance Sheet. There are a number of covenants, including several financial covenants, associated with this borrowing; as of both June 30, 2026 and December 31, 2025, the Company was in compliance with all of its covenants. The Company is a party to various agreements which provide a facility for the financing of certain HECM Buyout Loans. This facility was amended in May 2026, has a borrowing period that terminates in May 2027, and accrues interest on a floating-rate basis. As of June 30, 2026 and December 31, 2025, the Company's outstanding borrowings under this facility were 72 Table of Contents $36.4 million and $40.5 million, respectively, which are included on the Company's Consolidated Balance Sheet in Other secured borrowings. The effective interest rate was 6.18% and 6.39% as of June 30, 2026 and December 31, 2025, respectively. As of June 30, 2026 and December 31, 2025, the fair value of HECM Buyout Loans collateralizing this borrowing was $39.4 million and $43.5 million, respectively. There are a number of covenants, including several financial covenants, associated with this borrowing; as of June 30, 2026 and December 31, 2025, the Company was in compliance with all of its covenants. The Company entered into various agreements to finance certain reverse mortgage loans. This facility matures in January 2027 and accrues interest on a floating-rate basis. Under the terms of this facility, in addition to borrowings collateralized by reverse mortgage loans, the Company may also borrow up to an additional $20.0 million in the form of working capital advances. However, in the event of default, the lender can utilize any excess value of any reverse mortgage loans held as collateral to pay down any working capital advances outstanding. As of June 30, 2026 and December 31, 2025, the Company's outstanding borrowings under this facility was $125.8 million and $128.1 million, respectively; such borrowings are included on the Company's Consolidated Balance Sheet in Other secured borrowings. As of June 30, 2026, the fair value of reverse mortgage loans collateralizing these borrowings was $134.9 million and the effective interest rate was 5.87%. As of December 31, 2025, the fair value of reverse mortgage loans collateralizing these borrowings was $134.8 million and the effective interest rate was 5.89%. HMBS-related Obligations As discussed in Note 13—Issuance of HMBS, the Company issues pools of HMBS which are accounted for as secured borrowings. As of June 30, 2026 and December 31, 2025, the Company had HMBS-related obligations, at fair value of $11.1 billion and $10.4 billion, respectively. As of June 30, 2026 and December 31, 2025, such HMBS-related obligations are secured by $11.2 billion and $10.5 billion, respectively, of HECM loans, REO, and HMBS-related claims or other receivables. The weighted average interest rate on the Company's HMBS-related obligations was 5.49% and 5.52% as of June 30, 2026 and December 31, 2025, respectively. Unsecured Borrowings Senior Notes The Company has $210.0 million of outstanding principal amount of unsecured long-term debt maturing on April 1, 2027, which is structured as a joint and several co-issuance by certain of the Company's consolidated subsidiaries and fully guaranteed by the Company (the "5.875% Senior Notes"). The 5.875% Senior Notes bear interest at a rate of 5.875%, subject to adjustment based on changes, if any, in the ratings of the 5.875% Senior Notes. Interest on the 5.875% Senior Notes is payable semi-annually in arrears. Prior to April 1, 2026, the Company may redeem the 5.875% Senior Notes, at its option, in whole or in part, at a premium as detailed in the indenture dated March 31, 2022. On or after April 1, 2026, the Company may redeem all or a part of the 5.875% Senior Notes at a redemption price of 100%, plus accrued and unpaid interest. The Company also has $400.0 million of outstanding principal amount of unsecured long-term debt maturing on September 30, 2030, which is structured as a joint and several co-issuance by certain of the Company's consolidated subsidiaries and fully guaranteed by the Company (the "7.375% Senior Notes"). The 7.375% Senior Notes bear interest at a rate of 7.375%, which is payable semi-annually in arrears. Prior to September 30, 2027, the Company may redeem the 7.375% Senior Notes in such amounts and at such premiums as detailed in the indenture dated October 6, 2025. On or after September 30, 2027, the Company may redeem all or a part of the 7.375% Senior Notes at a redemption price as set forth in the following table: Redemption Date Redemption Price September 30, 2027–September 29, 2028 103.688 % September 30, 2028–September 29, 2029 101.844 % Thereafter 100.000 % Upon the completion of the merger with Arlington Asset Investment Corp. (the "Arlington Merger"), the Company assumed Arlington's liabilities including various unsecured debt. The Company assumed $34.9 million of Arlington's 6.75% Senior Notes, which bore interest at a rate of 6.75% and which became due March 15, 2025 (the "6.75% Senior Notes"). Interest on the 6.75% Senior Notes was payable quarterly in arrears. In March 2025, the Company fully redeemed the 6.75% Senior Notes. The Company also assumed $37.8 million of Arlington's 6.00% Senior Notes, which bear interest at a rate of 6.00% and are due August 1, 2026 (the "6.00% Senior Notes"). Interest on the 6.00% Senior Notes is payable quarterly in arrears. The Company may redeem the 6.00% Senior Notes, at its option, in whole or in part, at a redemption price equal to 100% of the 73 Table of Contents outstanding principal amount of the 6.00% Senior Notes being redeemed plus accrued and unpaid interest to the date of redemption. The 6.00% Senior Notes are obligations of a consolidated subsidiary of the Company and are fully guaranteed by the Company. The Company has elected the FVO for the 5.875% Senior Notes, 7.375% Senior Notes, 6.75% Senior Notes (for periods when they were outstanding), and 6.00% Senior Notes (collectively the "Senior Notes"), which are included in Unsecured borrowings, at fair value on the Consolidated Balance Sheet. Change in unrealized gains and losses on the Company's Senior Notes are included in Unrealized gains (losses) on Unsecured borrowings, at fair value, on the Consolidated Statement of Operations. There are a number of covenants, including several financial covenants, associated with the Senior Notes; as of both June 30, 2026 and December 31, 2025, the Company was in compliance with all of its covenants for its outstanding Senior Notes. The Senior Notes are unsecured and are effectively subordinated to secured indebtedness of the Company, to the extent of the value of the collateral securing such indebtedness. Subordinated Notes The Company also assumed $15.0 million of Arlington's unregistered junior subordinated unsecured debt securities (the "Trust Preferred Debt"). The Trust Preferred Debt includes $10.0 million, which bears interest at a rate of three-month term SOFR plus 3.26%, payable quarterly in arrears, and which matures on October 7, 2033; and $5.0 million, which bears interest at a rate of three-month term SOFR plus 2.51%, payable quarterly in arrears, and which matures on July 7, 2035. The Trust Preferred Debt may be redeemed in whole or in part at any time and from time to time at the Company’s option, at a redemption price equal to the principal amount plus accrued and unpaid interest. The Company has elected the FVO for the Trust Preferred Debt, which is included in Unsecured borrowings, at fair value on the Consolidated Balance Sheet, and change in unrealized gains and losses on the Company's Trust Preferred Debt are included in Unrealized gains (losses) on Unsecured borrowings, at fair value, on the Consolidated Statement of Operations. The Trust Preferred Debt is an obligation of a consolidated subsidiary of the Company and is fully guaranteed by the Company. Schedule of Principal Repayments The following table details the Company's principal repayment schedule, over the next 5 years, for outstanding borrowings as of June 30, 2026: Year Repurchase Agreements(1) Other Secured Borrowings(2) HMBS-related Obligations(3) Unsecured Borrowings(1) Total (In thousands) Next Twelve Months $ 2,206,784 $ 476,010 $ 1,472,669 $ 247,750 $ 4,403,213 Year 2 567,954 328,414 1,129,734 — 2,026,102 Year 3 289,539 278,641 1,195,590 — 1,763,770 Year 4 — 252,387 1,620,757 — 1,873,144 Year 5 — 249,611 1,995,818 400,000 2,645,429 Total $ 3,064,277 $ 1,585,063 $ 7,414,568 $ 647,750 $ 12,711,658 (1)Reflects the Company's contractual principal repayment dates. (2)Includes $706.9 million, $206.1 million, $401.0 million, and $14.0 million of expected principal repayments related to the Company's consolidated non-QM, RTL, reverse mortgage loan, and European Mortgage Loan securitizations, respectively, which are projected based upon the underlying assets' expected repayments and may be prior to the stated contractual maturities. (3)Represents expected principal repayments projected based upon the expected repayments of the underlying HECM loans, which may be prior to the stated contractual maturities of the related HMBS. 15. Income Taxes The Company has elected to be taxed as a REIT under the Code. A REIT is generally not subject to U.S. federal, state, and local income tax on the portion of its income that is distributed to its owners if it distributes at least 90% of its REIT taxable income within the prescribed time frames, determined without regard to the deduction for dividends paid and excluding any net capital gains. The Company intends to operate in a manner which will allow it to continue to meet the requirements for qualification as a REIT. Accordingly, Ellington Financial Inc. does not believe that it will be subject to U.S. federal, state, and local income tax on the portion of its net taxable income that is distributed to its stockholders as long as certain asset, income, and share ownership tests are met. Cash dividends declared by the Company that do not exceed its current or accumulated earnings and profits will be considered ordinary income to stockholders for income tax purposes unless all or a portion of a dividend is designated by the 74 Table of Contents Company as a capital gain dividend. Distributions in excess of the Company's current and accumulated earnings and profits will be characterized as return of capital or will be treated by shareholders as capital gains. Certain foreign and domestic subsidiaries of the Company have elected to be treated as TRSs and therefore are taxed as corporations for U.S. federal, state, and local income tax purposes. To the extent that those entities incur, or are expected to incur, U.S. federal, state, or local income taxes, or foreign income taxes, such tax expense is recognized by the Company. The Company accounts for income taxes in accordance with ASC 740, Income Taxes ("ASC 740"). Deferred income taxes reflect the net tax effects of temporary differences that may exist between the carrying amounts of assets and liabilities under U.S. GAAP and the carrying amounts used for income tax purposes for each domestic TRS. For the three-month periods ended June 30, 2026 and 2025, the Company recorded income tax expense (benefit) of $0.1 million and $1.5 million, respectively. For the six-month periods ended June 30, 2026 and 2025, the Company recorded income tax expense (benefit) of $1.0 million and $1.4 million, respectively. The Company evaluates its deferred tax assets for recoverability using a consistent approach which considers the relative impact of negative and positive evidence, including historical profitability and projections of future taxable income. Based upon the available evidence at June 30, 2026, the Company determined that it was more likely than not that the deferred tax assets of its TRS would not be utilized in future periods; a valuation allowance of $50.6 million was recorded to fully reserve against these deferred tax assets. 16. Related Party Transactions The Company is party to the Management Agreement (which may be amended from time to time), pursuant to which the Manager manages the assets, operations, and affairs of the Company, in consideration of which the Company pays the Manager management and incentive fees. The descriptions of the Base Management Fees and Incentive Fees are detailed below. Base Management Fees The Operating Partnership pays the Manager 1.50% per annum of the total equity of the Operating Partnership calculated in accordance with U.S. GAAP as of the end of each fiscal quarter (before deductions for base management fees and incentive fees payable with respect to such fiscal quarter), adjusted to exclude one-time events pursuant to changes in U.S. GAAP, as well as non-cash charges after discussion between the Manager and the Company's independent directors, and approval by a majority of the Company's independent directors in the case of non-cash charges. Pursuant to the Management Agreement, if the Company invests at issuance in the equity of any collateralized debt obligation that is managed, structured, or originated by Ellington or one of its affiliates, or if the Company invests in any other investment fund or other investment for which Ellington or one of its affiliates receives management, origination, or structuring fees, then, unless agreed otherwise by a majority of the Company's independent directors, the base management and incentive fees payable by the Company to its Manager will be reduced by an amount equal to the applicable portion (as described in the Management Agreement) of any such management, origination, or structuring fees. For the three-month period ended June 30, 2026, the total base management fee incurred was $7.4 million, consisting of $7.5 million of total gross base management fee incurred, less $0.1 million of management fee rebates. For the three-month period ended June 30, 2025, the total base management fee incurred was $6.3 million, consisting of $6.3 million of total gross base management fee incurred, less $57 thousand of management fee rebates. For the six-month period ended June 30, 2026, the total base management fee incurred was $14.5 million, consisting of $14.9 million of total gross base management fee incurred, less $0.4 million of management fee rebates. For the six-month period ended June 30, 2025, the total base management fee incurred was $12.4 million, consisting of $12.5 million of total gross base management fee incurred, less $0.1 million of management fee rebates. See "—Participation in CLO Transactions" and "—Investment in Affiliate" below for details on management fee rebates. Incentive Fees The Manager is entitled to receive a quarterly incentive fee equal to the positive excess, if any, of (i) the product of (A) 25% and (B) the excess of (1) Adjusted Net Income (described below) for the Incentive Calculation Period (which means such fiscal quarter and the immediately preceding three fiscal quarters) over (2) the sum of the Hurdle Amounts (described below) for the Incentive Calculation Period, over (ii) the sum of the incentive fees already paid or payable for each fiscal quarter in the Incentive Calculation Period preceding such fiscal quarter. For purposes of calculating the incentive fee, "Adjusted Net Income" for the Incentive Calculation Period means the net increase in equity from operations of the Operating Partnership, after all base management fees but before any incentive fees for such period, and excluding any non-cash equity compensation expenses for such period, as reduced by any Loss Carryforward (as described below) as of the end of the fiscal quarter preceding the Incentive Calculation Period. 75 Table of Contents For purposes of calculating the incentive fee, the "Loss Carryforward" as of the end of any fiscal quarter is calculated by determining the excess, if any, of (1) the Loss Carryforward as of the end of the immediately preceding fiscal quarter over (2) the Company's net increase in equity from operations (expressed as a positive number) or net decrease in equity from operations (expressed as a negative number) of the Operating Partnership for such fiscal quarter. As of June 30, 2026 and December 31, 2025, there was no Loss Carryforward. For Periods Subsequent to April 1, 2025: For purposes of calculating the incentive fee, the "Hurdle Amount" means, with respect to any fiscal quarter, the result obtained by multiplying (i) the total common equity of the Operating Partnership calculated in accordance with U.S. GAAP as of the end of the immediately preceding fiscal quarter, adjusted to exclude one-time events pursuant to changes in U.S. GAAP, as well as non-cash charges after discussion between the Manager and the Company's independent directors, and approval by a majority of the Company's independent directors in the case of non-cash charges and (ii) one-fourth of the greater of (A) 9% and (B) 3% plus the 10-year U.S. Treasury Rate for such fiscal quarter (the "Hurdle Rate"). The Hurdle Amount shall be appropriately adjusted for any issuances or repurchases of shares of common stock during the fiscal quarter. The payment of the incentive fee will be in a combination of shares of common stock and cash, provided that at least 10% of any quarterly payment will be made in shares of common stock. For Periods Prior to April 1, 2025: For purposes of calculating the incentive fee, the "Hurdle Amount" means, with respect to any fiscal quarter, the product of (i) one-fourth of the greater of (A) 9% and (B) 3% plus the 10-year U.S. Treasury rate as of the beginning of such fiscal quarter, (ii) the sum of (A) the weighted average gross proceeds per share of all common stock and OP Unit issuances since inception of the Company and up to the end of such fiscal quarter, with each issuance weighted by both the number of shares of common stock and OP Units issued in such issuance and the number of days that such issued shares of common stock and OP Units were outstanding during such fiscal quarter, using a first-in first-out basis of accounting (i.e. attributing any share of common stock and OP Unit repurchases to the earliest issuances first) and (B) the result obtained by dividing (I) retained earnings attributable to shares of common stock and OP Units at the beginning of such fiscal quarter by (II) the average number of shares of common stock and OP Units outstanding for each day during such fiscal quarter, and (iii) the sum of (x) the average number of shares of common stock and long term incentive plan units of the Company outstanding for each day during such fiscal quarter, and (y) the average number of Convertible Non-controlling Interests outstanding for each day during such fiscal quarter. For purposes of determining the Hurdle Amount, issuances of common stock, and Convertible Non-controlling Interests (a) as equity incentive awards, (b) to the Manager as part of its base management fee or incentive fee and (c) to the Manager or any of its affiliates in privately negotiated transactions, are excluded from the calculation. The payment of the incentive fee will be in a combination of shares of common stock and cash, provided that at least 10% of any quarterly payment will be made in shares of common stock. The Company incurred incentive fees of $0.9 million for the three-month period ended June 30, 2026; no such fees were incurred for the three-month period ended June 30, 2025. The Company incurred incentive fees of $20.1 million and $4.5 million for the six-month periods ended June 30, 2026 and 2025, respectively. Termination Fees The Management Agreement requires the Company to pay a termination fee to the Manager in the event of (1) the Company's termination or non-renewal of the Management Agreement without cause or (2) the Company's termination of the Management Agreement based on unsatisfactory performance by the Manager that is materially detrimental to the Company or (3) the Manager's termination of the Management Agreement upon a default by the Company in the performance of any material term of the Management Agreement. Such termination fee will be equal to the amount of three times the sum of (i) the average annual base management fees paid or payable with respect to the two 12-month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal and (ii) the average annual incentive fees paid or payable with respect to the two 12-month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal. Expense Reimbursement Under the terms of the Management Agreement, the Company is required to reimburse the Manager for operating expenses related to the Company that are incurred by the Manager, including expenses relating to legal, accounting, due diligence, other services, and all other costs and expenses. The Company's reimbursement obligation is not subject to any dollar limitation. Expenses will be reimbursed in cash within 60 days following delivery of the expense statement by the Manager; provided, however, that such reimbursement may be offset by the Manager against amounts due to the Company from the Manager. The Company will not reimburse the Manager for the salaries and other compensation of the Manager's personnel 76 Table of Contents except that the Company will be responsible for expenses incurred by the Manager in employing certain dedicated or partially dedicated personnel as further described below. The Company reimburses the Manager for the allocable share of the compensation, including, without limitation, wages, salaries, and employee benefits paid or reimbursed, as approved by the Compensation Committee of the Board of Directors to certain dedicated or partially dedicated personnel who spend all or a portion of their time managing the Company's affairs, based upon the percentage of time devoted by such personnel to the Company's affairs. In their capacities as officers or personnel of the Manager or its affiliates, such personnel will devote such portion of their time to the Company's affairs as is necessary to enable the Company to operate its business. For the six-month periods ended June 30, 2026 and 2025, the Company reimbursed the Manager $14.5 million and $9.2 million, respectively, for previously incurred operating expenses. As of June 30, 2026 and December 31, 2025, the outstanding payable to the Manager for operating expenses was $7.9 million and $2.4 million, respectively, which are included in Accrued expenses and other liabilities on the Consolidated Balance Sheet. Transactions Involving Investments in Unconsolidated Entities—Certain Loan Originators As of June 30, 2026 and December 31, 2025, the loan originators in which the Company holds equity investments represent related parties. Transactions that have been entered into with these related party loan originators are summarized below. The Company is a party to a mortgage loan purchase and sale flow agreement with a mortgage loan originator (the "Related-Party MLPA") in which the Company holds a non-controlling equity investment, whereby the Company purchases residential mortgage loans that satisfy certain specified criteria. The Company has entered into agreements whereby it guarantees the performance of such mortgage originator under third-party master repurchase agreements. See Note 24, Commitments and Contingencies, for further information on the Company's guarantees of the third-party borrowing arrangements and certain loan purchase commitments under the Related-Party MLPA. As of June 30, 2026 and December 31, 2025, the fair value of the Company's investment in this mortgage loan originator was $56.0 million and $52.6 million, respectively. The Company is a party to an agreement with another mortgage loan originator in which the Company holds a non-controlling equity investment, whereby the Company purchases residential mortgage loans that satisfy certain specified criteria (the "Related Party Loan Purchase Agreement"). As of June 30, 2026 and December 31, 2025, the fair value of the Company's investment in such mortgage loan originator was $3.0 million and $1.5 million, respectively. The Company has entered into various agreements with a residential mortgage loan originator (the "RTL Originator") in which it holds a non-controlling equity investment. Under the terms of such agreements, the Company has the option to purchase additional non-controlling equity interests at certain valuation thresholds. The Company also entered into a Commitment Letter Agreement (the "RTL Commitment Agreement") whereby it committed to purchase eligible loans originated by the RTL Originator; see Note 24, Commitments and Contingencies, for further information on the Company's commitment under the RTL Commitment Agreement. The RTL Originator has been determined to be a VIE. The Company has evaluated the RTL Originator and determined that the Company is not the primary beneficiary of the RTL Originator. As of both June 30, 2026 and December 31, 2025, the fair value of the Company's non-controlling equity investment in the RTL Originator was $0.6 million, which is included on the Consolidated Balance Sheet in Investments in unconsolidated entities, at fair value. The Company has entered into various agreements with another residential mortgage loan originator (the "Residential Originator") which included acquiring a minority stake in such originator. Under the terms of such agreements, the Company provided financing, in the form of a secured promissory note (the "Residential Originator Note"), under which the Residential Originator can borrow up to $14.0 million. The Residential Originator Note is subject to an interest rate of 10% per annum through May 2025 and then 15% per annum until maturity on December 1, 2029. As of June 30, 2026 and December 31, 2025, the outstanding balance and fair value of the Residential Originator Note was $9.8 million and $14.0 million, respectively, which is included in Loans, at fair value on the Consolidated Balance Sheet. The Company also entered into a Forward Commitment Letter Agreement (the "Residential Commitment Agreement") whereby it committed to purchase eligible loans originated by the Residential Originator; see Note 24, Commitments and Contingencies, for further information on the Company's commitment under the Residential Commitment Agreement and the Residential Originator Note. The Residential Originator has been determined to be a VIE. The Company has evaluated the Residential Originator and determined that the Company is not the primary beneficiary of the Residential Originator. As of June 30, 2026 and December 31, 2025, the fair value of the Company's non-controlling equity investment in the Residential Originator was $1.9 million and $2.3 million, respectively. 77 Table of Contents The Company holds an investment in common and preferred stock of a consumer loan originator (the "Consumer Loan Originator"). An employee of Ellington, who serves as an officer of the Company, also serves on the board of the Consumer Loan Originator, as the Company's representative. In January 2025, the Company entered into a Loan and Security Agreement whereby the Company extended a revolving line of credit to the Consumer Loan Originator of up to $1.0 million (the "Consumer LOC") which matures in January 2028. The outstanding borrowing under the Consumer LOC is subject to a floating interest rate equal to one-month SOFR plus 4.00% per annum. As of June 30, 2026 and December 31, 2025, outstanding advances under the Consumer LOC were $0.8 million and $0.2 million, respectively. The Company, through a wholly-owned trust subsidiary, and the Consumer Loan Originator, entered into an amended consumer loan purchase and sale flow agreement (the "Amended PSFA") whereby the Company purchases consumer loans that satisfy certain specified criteria. The Company has beneficial interests in the loan cash flows, net of servicing-related fees and expenses, including financing expenses. As discussed in Note 14, the Company has entered into a secured revolving borrowing facility to finance certain of its consumer loans. As of June 30, 2026 and December 31, 2025, the total fair value of the Company's beneficial interests was $53.2 million and $53.1 million, respectively, which is included in Securities, at fair value on the Consolidated Balance Sheet. The following table provides details of financing that the Company has provided, in the form of secured promissory notes, to certain other loan origination-related entities in which the Company also holds equity investments. Effective Date of Promissory Note Maturity Date of Promissory Note Interest Rate as of Outstanding Borrowings as of Fair Value(1) as of Maximum Borrowing June 30, 2026 December 31, 2025 June 30, 2026 December 31, 2025 June 30, 2026 December 31, 2025 (In thousands) (In thousands) December 31, 2025 December 31, 2027 $ 3,000 9.0% 9.0% $ 3,000 $ — $ 3,000 $ — February 2022(2) December 31, 2026 750 7.0% 7.0% 607 $ 575 607 575 June 9, 2025(3) June 9, 2028 2,500 9.9% 9.0% 2,500 1,750 2,500 1,750 (1)Classified as a Corporate loan and is included in Loans, at fair value on the Consolidated Balance Sheet. (2)Promissory note was amended in December 2025 extending the maturity date. (3)Promissory note was amended subsequent to December 31, 2025 increasing the maximum borrowing from $1.75 million (the "Original Maximum"); the applicable interest rate for borrowings up to the Original Maximum remains 9%; any borrowings exceeding the Original Maximum are subject to an interest rate of 12%. Consumer, Residential, and Commercial Loan Transactions with Affiliates The Company purchased certain of its consumer loans through an affiliate (the "Purchasing Entity") under various purchase agreements. The Company's beneficial interests in the consumer loans purchased through the Purchasing Entity are evidenced by participation certificates issued by trusts that hold legal title to the loans. These trusts are owned by a related party of Ellington and were established to hold such loans. Through its participation certificates, the Company participates in the cash flows of the underlying loans held by each trust. The total amount of consumer loans underlying the Company's participation certificates and held in the related party trust was $0.1 million and $0.2 million as of June 30, 2026 and December 31, 2025, respectively. The Company has beneficial interests in residential mortgage loans and REO held in a trust owned by a related party of Ellington. Through these beneficial interests, the Company participates in the cash flows of the underlying loans held by such trust. The total amount of residential mortgage loans and REO underlying the Company's beneficial interests and held in the related party trust was $2.0 billion and $2.1 billion as of June 30, 2026 and December 31, 2025, respectively. The Company is a co-investor in certain commercial mortgage loans and REO with other investors, including various unrelated third parties and various affiliates of Ellington. Each co-investor in a particular loan has an interest in the limited liability company that owns such loan or REO. As of June 30, 2026 and December 31, 2025, the aggregate fair value of the Company's investments in the jointly owned limited liability companies was approximately $127.3 million and $101.1 million, respectively. Such investments are included in Investments in unconsolidated entities, on the Consolidated Balance Sheet. The consumer, residential mortgage, and certain commercial mortgage loans that are the subject of the foregoing loan transactions are held in trusts, each of which the Company has determined to be a VIE. The Company has evaluated each of these VIEs and determined that the Company has the power to direct the activities of each VIE that most significantly impact such VIE's economic performance and the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. As a result, the Company has determined it is the primary beneficiary of each of these VIEs and has consolidated each VIE. 78 Table of Contents Participation in Multi-Borrower Financing Facilities The Company is a co-participant with certain other entities managed by Ellington or its affiliates (the "Affiliated Entities") in various entities (each, a "Joint Entity"), which were formed in order to facilitate the financing of commercial mortgage loans, residential mortgage loans, and REO (collectively, the "Mortgage Loan and REO Assets"), through repurchase agreements. Each Joint Entity has a master repurchase agreement with a particular financing counterparty. In connection with the financing of the Mortgage Loan and REO Assets under repurchase agreements, each of the Company and the Affiliated Entities transferred certain of their respective Mortgage Loan and REO Assets to one of the Joint Entities in exchange for its pro rata share of the financing proceeds that the respective Joint Entity received from the financing counterparty. While the Company's Mortgage Loan and REO Assets were transferred to the Joint Entity, the Company's Mortgage Loan and REO Assets and the related debt were not derecognized for financial reporting purposes, in accordance with ASC 860-10, because the Company continued to retain the risks and rewards of ownership of its Mortgage Loan and REO Assets. As of June 30, 2026 and December 31, 2025, the Joint Entities had aggregate outstanding issued debt under the repurchase agreements in the amount of $1.005 billion and $872.6 million, respectively. The Company's segregated silo of this debt as of June 30, 2026 and December 31, 2025, was $504.6 million and $383.2 million, respectively, and is included under the caption Repurchase agreements on the Company's Consolidated Balance Sheet. To the extent that there is a default under the repurchase agreements, all of the assets of each respective Joint Entity, including those beneficially owned by any non-defaulting owners of such Joint Entity, could be used to satisfy the outstanding obligations under such repurchase agreement. As of both June 30, 2026 and December 31, 2025, no party to any of the repurchase agreements was in default. Each of the Joint Entities has been determined to be a VIE. The Company has evaluated each of these VIEs and determined that it continued to retain the risks and rewards of ownership of certain of the Mortgage Loan and REO Assets, where such Mortgage Loan and REO Assets and the related debt are segregated for the Company and each of the Affiliated Entities. On account of the segregation of certain of each co-participant's assets and liabilities within each of the Joint Entities, as well as the retention by each co-participant of control over its segregated Mortgage Loan and REO Assets within the Joint Entities, the Company has determined that it is the primary beneficiary of, and has consolidated its segregated silo of assets and liabilities within, each of the Joint Entities. See Note 12 and Note 14 for additional information. Participation in CLO Transactions As discussed in Note 13, the Company participated in the Ellington-sponsored CLO Securitizations. The CLO Manager is entitled to receive management and incentive fees in accordance with the respective management agreements between the CLO Manager and the respective CLO Issuers. In accordance with the Management Agreement, the Manager rebates to the Company the portion of the management fees payable by each CLO Issuer to the CLO Manager that are allocable to the Company's participating interest in the unsecured subordinated notes issued by such CLO Issuer. For the three-month periods ended June 30, 2026 and 2025, the amount of such management fee rebates was $24 thousand and $43 thousand, respectively. For the six-month periods ended June 30, 2026 and 2025, the amount of such management fee rebates was $51 thousand and $0.1 million, respectively. During the three- and six-month periods ended June 30, 2026, the Company purchased $0.9 million and $3.2 million, respectively, of various underperforming corporate debt securities from certain of the Ellington-sponsored CLO Securitizations. During each of the three- and six-month periods ended June 30, 2025, the Company purchased $0.9 million of various underperforming corporate debt securities from certain of the Ellington-sponsored CLO Securitizations. Such purchases are effected at market prices determined through the procedures set forth in the indentures of the respective Ellington-sponsored CLO Securitizations. Investment in Affiliate The Company has an investment in the common shares of Ellington Real Estate Income Trust, Inc. (the "Affiliated REIT"), which is an affiliate of the Company managed by an affiliate of Ellington (the "Affiliate REIT Manager"). The Company, Ellington, and various unrelated third parties (collectively, the "Affiliated REIT Founding Investors") entered into various agreements committing to invest in the common stock of the Affiliated REIT. The Company has contributed $25.0 million and has no remaining commitment to fund any additional capital calls of the Affiliated REIT. As of June 30, 2026 and December 31, 2025, the fair value of the Company's investment in the Affiliated REIT was $27.8 million and $26.5 million, respectively. In accordance with the management agreement between the Affiliated REIT and the Affiliate REIT Manager (the "REIT Management Agreement"), investors pay a quarterly base management fee and, if certain performance hurdles are met, a performance fee. In accordance with the Management Agreement, the Manager rebates to the Company the applicable portion of the management fee and performance fee payable to the Affiliated REIT Manager. For the three-month periods ended June 30, 2026 and 2025, the amount of such management fee rebates was $0.1 million and $15 thousand, respectively. For the six-month periods ended June 30, 2026 and 2025, the amount of such management fee rebates was $0.4 million and $25 thousand, respectively. 79 Table of Contents In connection with the commitment to contribute capital to the Affiliated REIT, each of the Affiliated REIT Founding Investors entered into an agreement with the Affiliate REIT Manager whereby each of the Affiliated REIT Founding Investors participates in a net revenue share arrangement based on each Affiliated REIT Founding Investor's pro rata share of the Affiliate REIT’s initial capital (the "Revenue Share Arrangement"). Under the terms of the Revenue Share Arrangement, each of the Affiliated REIT Founding Investors, including the Company, is entitled to receive from the Affiliate REIT Manager an amount equal to the product of (i) a fixed percentage and (ii) the management and performance fees earned by, less certain expenses incurred by, the Affiliate REIT Manager. The Revenue Share Arrangement will continue in perpetuity for each Affiliated REIT Founding Investor given (i) such Affiliate REIT Founding Investor has not defaulted on its obligation to fund its capital calls, and (ii) the REIT Management Agreement has not been terminated or is not renewed. To the extent that the net revenue share received by the Company is less than the management fees and performance fees incurred by the Company with respect to its investment in the Affiliated REIT, the Manager will rebate to the Company such difference. The directors of the Affiliated REIT include: Michael Vranos, the Company's Co-Chief Investment Officer; Laurence Penn, the Company's Chief Executive Officer and President and a member of the Board of Directors; and Mark Tecotzky, the Company's Co-Chief Investment Officer. The Company has evaluated its interests in the Affiliated REIT, which is a VIE. Because the Company does not have the power to direct the activities that most significantly impact the Affiliated REIT's economic performance, the Company determined that it is not the primary beneficiary of the Affiliated REIT. 17. Long-Term Incentive Plan Units OP LTIP Units issued under the Company's incentive plans are generally exercisable by the holder at any time after vesting. Each OP LTIP Unit is convertible into an OP Unit on a one-for-one basis. Subject to certain conditions, the OP Units are redeemable by the holder for an equivalent number of shares of common stock of the Company or for the cash value of such shares of common stock, at the Company's election. Costs associated with the OP LTIP Units issued under the Company's incentive plans are measured as of the grant date and expensed ratably over the vesting period. Total expense associated with OP LTIP Units issued under the Company's incentive plans is presented in Compensation and benefits, on the Consolidated Statement of Operations. Total expense associated with OP LTIP Units issued under the Company's incentive plans for the three-month periods ended June 30, 2026 and 2025 was $1.5 million and $1.0 million, respectively. Total expense associated with OP LTIP Units issued under the Company's incentive plans for the six-month periods ended June 30, 2026 and 2025 was $2.5 million and $1.3 million, respectively. The below table details unvested OP LTIP Units as of June 30, 2026: Grant Recipient Number of Unvested OP LTIP Units Grant Date Vesting Date(1) Directors: 18,396 September 10, 2025 September 9, 2026 Dedicated or partially dedicated personnel: 18,383 December 12, 2024 December 12, 2026 62,172 March 19, 2025 December 31, 2026 33,506 December 17, 2025 December 16, 2026 28,405 December 17, 2025 December 16, 2027 95,598 March 16, 2026 December 31, 2027 320,039 March 18, 2026 March 18, 2027 Total unvested OP LTIP Units at June 30, 2026 576,499 (1)Date at which such OP LTIP Units will vest and become non-forfeitable. 80 Table of Contents The following table summarizes activity related to OP LTIP Units for the three- and six-month periods ended June 30, 2026 and 2025: Three-Month Period Ended June 30, 2026 June 30, 2025 Manager Director/ Employee Total Manager Director/ Employee Total OP LTIP Units outstanding—Beginning balance 365,518 1,209,791 1,575,309 365,518 721,504 1,087,022 Issued — — — — — — OP LTIP Units outstanding—Ending balance 365,518 1,209,791 1,575,309 365,518 721,504 1,087,022 OP LTIP Units unvested and outstanding — 576,499 576,499 — 363,262 363,262 OP LTIP Units vested and outstanding 365,518 633,292 998,810 365,518 358,242 723,760 Six-Month Period Ended June 30, 2026 June 30, 2025 Manager Director/ Employee Total Manager Director/ Employee Total OP LTIP Units outstanding—Beginning balance 365,518 794,154 1,159,672 365,518 481,102 846,620 Issued — 415,637 415,637 — 240,402 240,402 OP LTIP Units outstanding—Ending balance 365,518 1,209,791 1,575,309 365,518 721,504 1,087,022 OP LTIP Units unvested and outstanding — 576,499 576,499 — 363,262 363,262 OP LTIP Units vested and outstanding 365,518 633,292 998,810 365,518 358,242 723,760 As of June 30, 2026, there were an aggregate of 11,838,066 shares of common stock of the Company underlying awards, including OP LTIP Units, available for future issuance under the Company's 2026 Equity Incentive Plan as of June 30, 2026. As of December 31, 2025, there were an aggregate of 944,120 shares of common stock of the Company underlying awards, including OP LTIP Units, available for future issuance under the Company's 2017 Equity Incentive Plan. 18. Non-controlling Interests Operating Partnership Non-controlling interests include the Convertible Non-controlling Interests in the Operating Partnership owned by an affiliate of the Manager, members of the Board of Directors, and certain current and former Ellington employees and their related parties in the form of OP LTIP Units. Income allocated to Convertible Non-controlling Interests is based on the non-controlling interest owners' ownership percentage of the Operating Partnership during the period, calculated using a daily weighted average of all shares of common stock of the Company and Convertible Non-controlling Interests outstanding during the period. Holders of Convertible Non-controlling Interests are entitled to receive the same distributions that holders of shares of common stock of the Company receive. Convertible Non-controlling Interests are non-voting with respect to matters as to which holders of common stock of the Company are entitled to vote. As of June 30, 2026, the Convertible Non-controlling Interests consisted of the outstanding 1,575,309 OP LTIP Units and 46,360 OP Units, and represented an interest of approximately 1.1% in the Operating Partnership. As of December 31, 2025, the Convertible Non-controlling Interests consisted of the outstanding 1,159,672 OP LTIP Units and 46,360 OP Units, and represented an interest of approximately 0.9% in the Operating Partnership. As of June 30, 2026 and December 31, 2025, non-controlling interests related to all outstanding Convertible Non-controlling Interests was $22.2 million and $16.0 million, respectively. Joint Venture Interests Non-controlling interests also include the interests of joint venture partners in various consolidated subsidiaries of the Company. These subsidiaries hold the Company's investments in certain commercial mortgage loans and REO. The joint venture partners participate in the income, expense, gains and losses of such subsidiaries as set forth in the related operating agreements of the subsidiaries. The joint venture partners make capital contributions to the subsidiaries as new approved investments are purchased by the subsidiaries, and are generally entitled to distributions when investments are sold or otherwise disposed of. As of June 30, 2026 and December 31, 2025, the joint venture partners' interests in subsidiaries of the Company were $11.0 million and $20.8 million, respectively. The joint venture partners' interests are not convertible into shares of common stock of the Company or OP Units, nor are the joint venture partners entitled to receive distributions that holders of shares of common stock of the Company receive. 81 Table of Contents 19. Equity Preferred Stock The Company has authorized 100,000,000 shares of preferred stock, $0.001 par value per share. As of June 30, 2026 and December 31, 2025, the total amount of cumulative preferred dividends in arrears was $2.7 million and $4.6 million, respectively. As of December 31, 2025, there were 4,600,000 shares of 6.750% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, $0.001 par value per share ("Series A Preferred Stock") outstanding. On February 27, 2026 (the "Redemption Date"), the Company redeemed all 4,600,000 outstanding shares of Series A Preferred Stock at a price of $115.8 million, or $25.17742 per share, based on the liquidation preference of $25.00 per share, plus accrued and unpaid dividends up to, but not including, the Redemption Date; any rights of the holders of the Series A Preferred Stock have ceased. The Series A Preferred Stock was subsequently delisted from the NYSE. As of June 30, 2026 and December 31, 2025, there were 4,820,421 shares of 6.250% Series B Fixed-Rate Reset Cumulative Redeemable Preferred Stock, $0.001 par value per share ("Series B Preferred Stock") outstanding. As of June 30, 2026 and December 31, 2025, there were 4,000,000 shares of 8.625% Series C Fixed-Rate Reset Cumulative Redeemable Preferred Stock, $0.001 par value per share ("Series C Preferred Stock") outstanding. As of June 30, 2026 and December 31, 2025, there were 379,668 shares of 7.00% Series D Cumulative Perpetual Redeemable Preferred Stock, $0.001 par value per share ("Series D Preferred Stock") outstanding. The Company has commenced an "at-the-market" offering for the Series B Preferred Stock (the "Preferred ATM Program"), in connection with which it has entered into equity distribution agreements with sales agents under which it is authorized to offer and sell up to $100.0 million of Series B Preferred Stock from time to time. The Company did not issue any shares of preferred stock under the Preferred ATM Program during either of the three-month periods ended June 30, 2026 or 2025. As of June 30, 2026, the Company had remaining authorization under the Preferred ATM Program of $99.5 million. The Company's Series A Preferred Stock (for periods when it was outstanding), Series B Preferred Stock, Series C Preferred Stock, and Series D Preferred Stock (collectively the "Series Preferred Stock") rank senior to its common stock and Convertible Non-controlling Interests. Each Series Preferred Stock ranks on a parity with all other Series Preferred Stock with respect to the payment of dividends and the distribution of assets upon a voluntary or involuntary liquidation, dissolution, or winding up of the Company. Series B The Company's Series B Preferred Stock has no stated maturity and is not subject to any sinking fund or mandatory redemption. The Series B Preferred Stock is not redeemable by the Company prior to January 30, 2027, except under circumstances where it is necessary to allow the Company to maintain its qualification as a REIT for U.S. federal income tax purposes and except in certain instances upon the occurrence of a change of control. Holders of the Company's Series B Preferred Stock generally do not have any voting rights. Holders of the Series B Preferred Stock are entitled to receive cumulative cash dividends from and including the original issue date to, but excluding, January 30, 2027 (the "Series B First Reset Date"), at a fixed rate equal to 6.250% per annum of the $25.00 per share liquidation preference. The applicable fixed rate resets on the First Reset Date and again on the fifth anniversary of the preceding reset date (each a "Series B Reset Date"), at a rate equal to the five-year treasury rate as measured three business days prior to the Series B Reset Date plus 4.99% per annum of the $25.00 per share liquidation preference. Dividends are payable quarterly in arrears on or about the 30th day of each January, April, July, and October. Series C The Company's Series C Preferred Stock has no stated maturity and is not subject to any sinking fund or mandatory redemption. The Series C Preferred Stock is not redeemable by the Company prior to April 30, 2028, except under circumstances where it is necessary to allow the Company to maintain its qualification as a REIT for U.S. federal income tax purposes and except in certain instances upon the occurrence of a change of control. Holders of the Company's Series C Preferred Stock generally do not have any voting rights. Holders of the Series C Preferred Stock are entitled to receive cumulative cash dividends from and including the original issue date to, but excluding, April 30, 2028 (the "Series C First Reset Date"), at a fixed rate equal to 8.625% per annum of the $25.00 per share liquidation preference. The applicable fixed rate resets on the First Reset Date and again on the fifth anniversary of the preceding reset date (each a "Series C Reset Date"), at a rate equal to the five-year treasury rate as measured 82 Table of Contents three business days prior to the Series C Reset Date plus 5.13% per annum of the $25.00 per share liquidation preference. Dividends are payable quarterly in arrears on or about the 30th day of each January, April, July, and October. Series D The Company's Series D Preferred Stock has no stated maturity and is not subject to any sinking fund. The Series D Preferred Stock is redeemable by the Company at its discretion upon not less than 30 nor more than 60 days’ notice. Holders of the Company's Series D Preferred Stock generally do not have any voting rights. Holders of the Series D Preferred Stock are entitled to receive cumulative cash dividends from and including September 30, 2023, at a fixed rate equal to 7.000% per annum of the $25.00 per share liquidation preference. Dividends are payable quarterly in arrears on or about the 30th day of each March, June, September, and December. Common Stock The Company has authorized 300,000,000 shares of common stock, $0.001 par value per share as of June 30, 2026. The Board of Directors may authorize the issuance of additional shares, subject to the approval of the holders of at least a majority of the shares of common stock then outstanding. As of June 30, 2026 and December 31, 2025, there were 127,593,315 and 113,138,860 shares of common stock outstanding, respectively. Included in shares of common stock outstanding as of both June 30, 2026 and December 31, 2025, are 18,396 of unvested restricted shares of common stock that are subject to forfeiture restrictions. Such common shares were issued to certain of the Company's directors in accordance with the Company's 2017 Equity Incentive Plan. Costs associated with restricted common stock issued under the Company's incentive plans are measured as of the grant date and expensed ratably over the vesting period. Such expenses are presented in Compensation and benefits, on the Consolidated Statement of Operations. Total expense associated with restricted common stock issued under the Company's incentive plans for the three-month periods ended June 30, 2026 and 2025 was $63 thousand and $55 thousand, respectively. Total expense associated with restricted common stock issued under the Company's incentive plans for each of the six-month periods ended June 30, 2026 and 2025 was $0.1 million. The below table details unvested restricted common stock as of June 30, 2026: Grant Recipient Number of Shares of Unvested Restricted Common Stock Grant Date Vesting Date(1) Directors: 18,396 September 10, 2025 September 9, 2026 Total unvested restricted shares of common stock at June 30, 2026 18,396 (1)Date at which such common shares will vest and become non-forfeitable. On January 28, 2026, the Company completed a follow-on offering of 8,775,000 shares of our common stock. The issuance and sale of such shares of common stock generated net proceeds, after underwriters' discounts and commissions and offering costs, of $117.2 million. The Company has an "at-the-market" offering program for shares of its common stock (the "Common ATM Program"), in connection with which it has entered into equity distribution agreements with sales agents. Under the current equity distribution agreements the Company is authorized to offer and sell up to $500.0 million of common stock from time to time. During the three-month period ended June 30, 2026, the Company issued 2,782,358 shares of common stock under the Common ATM Program which provided $37.4 million of net proceeds after $0.3 million of agent commissions and offering costs. During the three-month period ended June 30, 2025, the Company issued 3,428,400 shares of common stock under the Common ATM Program which provided $44.5 million of net proceeds after $0.4 million of agent commissions and offering costs. During the six-month period ended June 30, 2026, the Company issued 5,517,521 shares of common stock under the Common ATM Program which provided $74.8 million of net proceeds after $0.6 million of agent commissions and offering costs. During the six-month period ended June 30, 2025, the Company issued 7,178,788 shares of common stock under the Common ATM Program which provided $95.3 million of net proceeds after $0.9 million of agent commissions and offering costs. As of June 30, 2026, the Company had a remaining authorization to issue $419.9 million of common shares. 83 Table of Contents The following table summarizes issuance, repurchase, and other activity with respect to the Company's common stock for the three- and six-month periods ended June 30, 2026 and 2025: Three-Month Period Ended Six-Month Period Ended June 30, 2026 June 30, 2025 June 30, 2026 June 30, 2025 Shares of Common Stock Outstanding—Beginning Balance 124,649,023 94,428,880 113,138,860 90,678,492 Share Activity: Shares of common stock issued 2,782,358 3,428,400 14,292,521 7,178,788 Shares of common stock issued in connection with incentive fee payment 161,934 33,877 161,934 33,877 Shares of Common Stock Outstanding—Ending Balance 127,593,315 97,891,157 127,593,315 97,891,157 If all Convertible Non-controlling Interests that have been previously issued were to become fully vested and exchanged for shares of common stock as of June 30, 2026 and December 31, 2025, the Company's issued and outstanding shares of common stock would increase to 129,214,984 and 114,344,892 shares, respectively. In March 2023, the Board of Directors approved the adoption of a share repurchase program under which the Company is authorized to repurchase up to $50 million of the Company's common stock (the "2023 Repurchase Plan"), which extended the Company’s ability to repurchase common stock beyond the 1.55 million shares authorized under the previous plan. The 2023 Repurchase Plan is open-ended in duration and allows the Company to make repurchases from time to time on the open market or in negotiated transactions, including under Rule 10b5-1 plans. Repurchases under the 2023 Repurchase Plan are at the Company's discretion, subject to applicable law, share availability, price and financial performance, among other considerations. No shares were repurchased during either of the three-month periods ended June 30, 2026 and 2025. As of June 30, 2026, the Company has authorization to repurchase an additional $45.1 million of the Company's common stock under the 2023 Repurchase Plan. Distributions to Stockholders The following table summarizes cash dividends accrued by the Company on its common and preferred stock during the three- and six-month periods ended June 30, 2026 and 2025: (In thousands, except per share amounts) Three-Month Period Ended June 30, Six-Month Period Ended June 30, 2026 2025 2026 2025 Class of Stock Amount Per Share Amount Per Share Amount Per Share Amount Per Share Series A Preferred Stock $ — $ — $ 2,831 $ 0.62 $ 1,678 $ 0.36 $ 5,661 $ 1.22 Series B Preferred Stock 1,883 0.39 1,883 0.39 3,766 0.78 3,766 0.78 Series C Preferred Stock 2,156 0.54 2,156 0.54 4,312 1.08 4,312 1.08 Series D Preferred Stock 166 0.44 166 0.44 332 0.88 332 0.88 Common Stock 49,858 0.39 38,096 0.39 98,995 0.78 74,328 0.78 84 Table of Contents 20. Earnings Per Share The components of the computation of basic and diluted EPS are as follows: Three-Month Period Ended Six-Month Period Ended (In thousands except share amounts) June 30, 2026 June 30, 2025 June 30, 2026 June 30, 2025 Net income (loss) attributable to common stockholders $ 54,403 $ 42,923 $ 149,870 $ 74,572 Add: Net income (loss) attributable to Convertible Non-controlling Interests(1) 702 507 1,700 828 Net income (loss) attributable to common stockholders and Convertible Non-controlling Interests 55,105 43,430 151,570 75,400 Dividends declared: Common stockholders (49,226) (37,655) (97,839) (73,507) Convertible Non-controlling Interests (632) (441) (1,156) (821) Total dividends declared to common stockholders and Convertible Non-controlling Interests (49,858) (38,096) (98,995) (74,328) Undistributed (Distributed in excess of) earnings: Common stockholders 5,177 5,268 52,031 1,065 Convertible Non-controlling Interests 70 66 544 7 Total undistributed (distributed in excess of) earnings attributable to common stockholders and Convertible Non-controlling Interests $ 5,247 $ 5,334 $ 52,575 $ 1,072 Weighted average shares outstanding (basic and diluted): Weighted average shares of common stock outstanding 125,637,213 95,861,993 123,685,172 93,743,500 Weighted average Convertible Non-controlling Interest Units outstanding 1,621,669 1,133,382 1,448,204 1,031,111 Weighted average shares of common stock and Convertible Non-controlling Interest Units outstanding 127,258,882 96,995,375 125,133,376 94,774,611 Basic earnings per share of common stock and Convertible Non-controlling Interest Unit: Distributed $ 0.39 $ 0.39 $ 0.78 $ 0.78 Undistributed (Distributed in excess of) 0.04 0.06 0.43 0.02 $ 0.43 $ 0.45 $ 1.21 $ 0.80 Diluted earnings per share of common stock and Convertible Non-controlling Interest Unit: Distributed $ 0.39 $ 0.39 $ 0.78 $ 0.78 Undistributed (Distributed in excess of) 0.04 0.06 0.43 0.02 $ 0.43 $ 0.45 $ 1.21 $ 0.80 (1)For the three-month periods ended June 30, 2026 and 2025, excludes net income (loss) of $1.3 million and $0.6 million, respectively, attributable to non-participating interests held by joint venture partners; see Note 18 for additional details. For the six-month periods ended June 30, 2026 and 2025, excludes net income (loss) of $0.1 million and $0.9 million, respectively, attributable to non-participating interests held by joint venture partners; see Note 18 for additional details. 21. Restricted Cash Restricted cash represents cash that the Company can use only for specific purposes. As of June 30, 2026 and December 31, 2025, the Company had $42.4 million and $136.3 million of restricted cash including cash balances that are restricted under a warehouse line of credit agreement and cash held in securitization reserve and loan accumulation funds. 22. Offsetting of Assets and Liabilities The Company generally records financial instruments at fair value as described in Note 2. Financial instruments are generally recorded on a gross basis on the Consolidated Balance Sheet. In connection with the vast majority of its derivative, reverse repurchase and repurchase agreements, and the related trading agreements, the Company and its counterparties are required to pledge collateral. Cash or other collateral is exchanged as required with each of the Company's counterparties in connection with open derivative positions, and reverse repurchase and repurchase agreements. The Company has not entered into master netting agreements with any of its counterparties. Certain of the Company's reverse repurchase and repurchase agreements and financial derivative transactions are governed by underlying agreements that 85 Table of Contents generally provide a right of net settlement, as well as a right of offset in the event of default or in the event of a bankruptcy of either party to the transaction. The following tables present information about certain assets and liabilities representing financial instruments as of June 30, 2026 and December 31, 2025. June 30, 2026: Description Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet(1) Financial Instruments Available for Offset Financial Instruments Transferred or Pledged as Collateral(2)(3) Cash Collateral (Received) Pledged(2)(3) Net Amount (In thousands) Assets Financial derivatives–assets $ 174,889 $ (70,408) $ — $ (45,509) $ 58,972 Reverse repurchase agreements 577,691 (144,609) (433,082) — — Liabilities Financial derivatives–liabilities (80,793) 70,408 — 7,061 (3,324) Repurchase agreements (3,064,277) 144,609 2,906,365 13,303 — (1)In the Company's Consolidated Balance Sheet, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. (2)For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of June 30, 2026 was $3.7 billion. As of June 30, 2026, total cash collateral on financial derivative assets and liabilities excludes excess net cash collateral pledged (received) of $4.6 million and $6.3 million, respectively. (3)When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a particular asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows. December 31, 2025: Description Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet(1) Financial Instruments Available for Offset Financial Instruments Transferred or Pledged as Collateral(2)(3) Cash Collateral (Received) Pledged(2)(3) Net Amount (In thousands) Assets Financial derivatives–assets $ 142,723 $ (42,709) $ — $ (37,843) $ 62,171 Reverse repurchase agreements 453,037 (24,349) (428,688) — — Liabilities Financial derivatives–liabilities (53,073) 42,709 — 9,976 (388) Repurchase agreements (2,655,444) 24,349 2,624,163 6,932 — (1)In the Company's Consolidated Balance Sheet, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. (2)For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of December 31, 2025 was $3.3 billion. As of December 31, 2025, total cash collateral on financial derivative assets and liabilities excludes excess net cash collateral pledged of $3.2 million and $5.4 million, respectively. (3)When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a particular asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows. 86 Table of Contents 23. Counterparty Risk The Company is exposed to concentrations of counterparty risk. It seeks to mitigate such risk by diversifying its exposure among various counterparties, when appropriate. The following table summarizes the Company's exposure to counterparty risk as of June 30, 2026 and December 31, 2025. June 30, 2026: Amount of Exposure Number of Counterparties with Exposure Maximum Percentage of Exposure to a Single Counterparty(1) (In thousands) Cash and cash equivalents $ 247,473 10 30.8 % Collateral on repurchase agreements held by dealers(2) 3,739,759 23 15.4 % Due from brokers 59,396 17 21.3 % Receivable for securities sold(3) 3,252 2 84.2 % (1)Each counterparty is a financial institution that the Company believes to be creditworthy as of June 30, 2026. (2)Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements. (3)Included in Investment related receivables on the Consolidated Balance Sheet. December 31, 2025: Amount of Exposure Number of Counterparties with Exposure Maximum Percentage of Exposure to a Single Counterparty (In thousands) Cash and cash equivalents $ 201,893 10 48.9 % Collateral on repurchase agreements held by dealers(1) 3,271,751 21 17.7 % Due from brokers 35,919 18 38.1 % Receivable for securities sold(2) 1,474 2 84.2 % (1)Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements. (2)Included in Investment related receivables on the Consolidated Balance Sheet. 24. Commitments and Contingencies The Company provides current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Company. In the normal course of business, the Company may also enter into contracts that contain a variety of representations, warranties, and general indemnifications. The Company's maximum exposure under these arrangements, including future claims that may be made against the Company that have not yet occurred, is unknown. The Company has not incurred any costs to defend lawsuits or settle claims related to these indemnification agreements. As of both June 30, 2026 and December 31, 2025, the Company has no liabilities recorded for these agreements. The Company's maximum risk of loss from credit events on its securities (excluding Agency securities, which are guaranteed by the issuing government agency or government-sponsored enterprise), loans, and investments in unconsolidated entities is limited to the amount paid for such investment. Commitments and Contingencies Related to Investments in Residential Mortgage Loans In connection with certain of the Company's investments in residential mortgage loans, the Company has unfunded commitments in the amount of $411.5 million and $267.9 million as of June 30, 2026 and December 31, 2025, respectively. Loan Purchase Commitments The Company is party to mortgage loan purchase and sale flow agreements with various loan originators ("MLPAs"). As of June 30, 2026, the Company had commitments, with a fair value of $0.5 million, to purchase residential mortgage loans with a principal balance of $573.8 million, subject to completion of satisfactory due diligence and other terms of the respective MLPAs. This includes commitments, with a fair value of $(39) thousand, to purchase residential mortgage loans with a principal balance of $80.5 million, from loan originators in which the Company holds an equity interest. This compares to total commitments as of December 31, 2025, with a fair value of $(41) thousand, to purchase residential mortgage loans with a principal balance of $648.9 million, which includes commitments, with a fair value of $(78) thousand, to purchase residential mortgage loans with a principal balance of $147.5 million, from loan originators in which the Company holds an equity interest. The Company's loan purchase commitments are included in Other Assets or Accrued expenses and other liabilities, on the 87 Table of Contents Condensed Consolidated Balance Sheet. Commitments and Contingencies Related to Investments in Loan Originators In connection with certain of its investments in mortgage and consumer loan originators, the Company has outstanding commitments and contingencies as described below. As described above in —Loan Purchase Commitments, the Company has entered into various MLPAs, including the Related-Party MLPA, as described in Note 16, under which it commits to purchase non-QM loans from a certain mortgage loan originator. As of June 30, 2026 and December 31, 2025, the Company had commitments, subject to the terms of the Related-Party MLPA, to purchase non-QM loans with a principal balance of $40.3 million and $67.0 million, respectively. As of June 30, 2026 and December 31, 2025, the fair value of such loan purchase commitments was $(53) thousand and $(63) thousand, respectively, which is included in Accrued expenses and other liabilities on the Consolidated Balance Sheet. The Company has also entered into agreements whereby it guarantees the performance of this mortgage loan originator under master repurchase agreements. The Company's maximum guarantees were capped at $15.0 million as of both June 30, 2026 and December 31, 2025 and there were no such borrowings outstanding as of either date. The Company's obligations under these arrangements are deemed to be guarantees under ASC 460-10. The Company has elected the FVO for its guarantees, which are included in Accrued expenses and other liabilities on the Consolidated Balance Sheet. As of June 30, 2026 and December 31, 2025, the estimated fair value of such guarantee was insignificant. As described above in —Loan Purchase Commitments, the Company has entered into various MLPAs, including the Related Party Loan Purchase Agreement, as described in Note 16, under which it commits to purchase RTL and non-QM loans from a certain mortgage loan originator. As of June 30, 2026 and December 31, 2025, the Company had commitments, subject to the terms of the Related Party Loan Purchase Agreement, to purchase non-QM loans with a principal balance of $8.1 million and $20.0 million, respectively. As of June 30, 2026 and December 31, 2025, the fair value of such loan purchase commitments was $2 thousand and $(13) thousand, respectively, which is included in Accrued expenses and other liabilities on the Consolidated Balance Sheet. As described in Note 16, the Company entered into various secured promissory notes with certain mortgage loan originators in which it also holds equity interests. As of June 30, 2026 and December 31, 2025, the Company had unfunded commitments related to such secured promissory notes of $7.4 million and $25.0 million, respectively. Commitments and Contingencies Related to Investments in Unconsolidated Entities The Company has entered into agreements whereby it guarantees the performance of a securitization-related risk retention vehicle, in which it has an equity investment, under a promissory note. The Company's maximum guarantees are capped at $15.5 million. No such amounts were outstanding as of June 30, 2026 or December 31, 2025. As discussed in Note 16, under the terms of the RTL Commitment Agreement, the Company committed to purchase at least $500 million of eligible loans originated by the RTL Originator. As of June 30, 2026 and December 31, 2025, the Company has unfunded commitments under the RTL Commitment Agreement of $291.4 million and $334.4 million, respectively. Commitments and Contingencies Related to Corporate Loans The Company has investments in certain corporate loans (including a loan to an entity accumulating U.K. residential mortgages) whereby the borrowers can request additional funds under the respective agreements. As of June 30, 2026 and December 31, 2025, the Company had unfunded commitments related to such investments in the amount of $24.2 million and $37.7 million, respectively. As detailed in Note 16, the Company had extended a line of credit to the Consumer Loan Originator whereby the borrower can draw funds up to $1.0 million. As of June 30, 2026 and December 31, 2025, the Company had unfunded commitments related to such line of credit in the amount of $0.2 million and $0.8 million, respectively. Commitments to Extend Credit The Company enters into loan commitment arrangements with borrowers and other third parties who have applied for reverse mortgage loans that have not yet closed. As of June 30, 2026 and December 31, 2025, the fair value of such commitments was $10.2 million and $9.1 million, respectively, which is reflected in Loan commitments on the Consolidated Balance Sheet. The Company is required to fund further borrower advances for loans where the borrower has not fully drawn down all of the reverse mortgage loan proceeds available to them. As of June 30, 2026 and December 31, 2025, the Company had unfunded commitments related to such reverse mortgage loans of $2.5 billion and $2.3 billion, respectively. Additionally, the Company 88 Table of Contents has the obligation to advance various other reverse mortgage loan-related amounts such as the borrowers' property taxes and, in the case of HECM reverse mortgage loans, monthly insurance premiums to FHA. Mandatory Repurchase Obligations As detailed in Note 13, the Company is required to purchase from HMBS pools any HECM loan that has reached 98% of the MCA. For active loans, the Company subsequently assigns such loan to HUD, which then reimburses the Company up to the MCA. For inactive loans, following resolution of the loan, the Company files a claim with HUD for any recoverable remaining principal and advance balances. Lease Commitments Longbridge, a consolidated subsidiary of the Company, leases office space and office equipment, under various operating lease arrangements, which expire on various dates through January 2035. As discussed in Note 2, the Company makes various assumptions and estimates in recognizing the operating lease ROU assets and corresponding lease liabilities, including the expected lease term, incremental borrowing rate, and identifying lease and non-lease components. Total expense under all operating leases amounted to $0.3 million, for each of the three-month periods ended June 30, 2026 and 2025 and $0.6 million for each of the six-month periods ended June 30, 2026 and 2025. Such expense is included in Other expenses on the Consolidated Statement of Operations. The following table provides details of the Company's outstanding leases as of June 30, 2026 and December 31, 2025: ($ in thousands) June 30, 2026 December 31, 2025 ROU assets $ 3,749 $ 3,992 Lease liabilities $ 4,248 $ 4,502 Weighted average remaining term (in years) 6.7 7.0 Weighted average discount rate 9.27 % 9.22 % The following table details contractual future minimum lease payments as of June 30, 2026: Minimum Payments (In thousands) Year ended December 31, 2026 $ 484 Year ended December 31, 2027 971 Year ended December 31, 2028 964 Year ended December 31, 2029 950 Year ended December 31, 2030 479 Thereafter 2,039 Total 5,888 Less: implied interest payments (1,640) Lease Liability $ 4,248 25. Segment Reporting An operating segment is defined as a component of an entity that (i) engages in business activities from which revenues are recognized and expenses incurred, (ii) has discrete financial information available, and (iii) is evaluated on a regular basis by the Chief Operating Decision Maker (the "CODM") for decision-making purposes, including investment and operating decisions, such as capital and resource allocation decisions; and communicates results, strategy, and other relevant information to the Board of Directors and shareholders. The Company's CODM is, collectively, its Chief Executive Officer and President and its Co-Chief Investment Officers. The Company has determined that it has two reportable segments, the Investment Portfolio Segment and the Longbridge Segment. The Company’s CODM assesses each segment’s performance and makes investment and operating decisions, based on each segment's contribution of net income, among other metrics. As discussed in Note 1, the Investment Portfolio Segment includes a diverse array of the Company's financial assets, as well as associated financing, hedging, and various allocable expenses. The Longbridge Segment is primarily focused on the origination and servicing of, and investment in, reverse mortgage loans, including associated financial assets, financing, hedging, and allocated expenses. 89 Table of Contents Income and expense items that are not directly allocable to either segment are included in Corporate/Other as reconciling items to the Company's consolidated financial statements. These unallocable items include: (i) all income and expense items related to the Company's Unsecured borrowings, at fair value and preferred stock outstanding, including any hedges related thereto; (ii) management and incentive fees; (iii) income tax expense (benefit); (iv) certain compensation and benefits expenses and various other expenses; and (v) interest income (expense) on cash margin. The following tables present the Company's results of operations by reportable segment for the three- and six-month periods ended June 30, 2026 and 2025, and various reconciling items to the Company's results of operations overall. Other segment expenses may include professional, administrative and custody fees, technology- and data-related expenses, marketing expenses, licensing fees, rent and miscellaneous office expenses, and non-cash equity compensation. Three-Month Period Ended June 30, 2026 (In thousands) Investment Portfolio Segment Longbridge Segment Corporate/ Other Total Interest income $ 120,664 $ 48,642 $ 1,531 $ 170,837 Total other income (loss) 6,461 65,305 (20,918) 50,848 Significant expenses: Interest expense (54,876) (32,449) (11,226) (98,551) Base management fee to affiliate (net of fee rebates) — — (7,356) (7,356) Incentive fee to affiliate — — (919) (919) Investment and transaction related expenses—Servicing expense (1,638) (6,295) — (7,933) Investment and transaction related expenses—Other (5,326) (13,342) — (18,668) Compensation and benefits (3,353) (22,838) (2,207) (28,398) Other expenses — (8,775) (3,973) (12,748) Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities 61,932 30,248 (45,068) 47,112 Income tax expense (benefit) — — 52 52 Earnings (losses) from investments in unconsolidated entities 10,975 — — 10,975 Net Income (Loss) 72,907 30,248 (45,120) 58,035 Net income (loss) attributable to non-controlling interests (1,279) — 706 (573) Dividends on preferred stock — — 4,205 4,205 Net Income (Loss) Attributable to Common Stockholders $ 74,186 $ 30,248 $ (50,031) $ 54,403 Non-cash items: Amortization and depreciation expense $ — $ 111 $ — $ 111 90 Table of Contents Three-Month Period Ended June 30, 2025 (In thousands) Investment Portfolio Segment Longbridge Segment Corporate/ Other Total Interest income $ 89,669 $ 24,134 $ 1,668 $ 115,471 Total other income (loss) 7,017 44,008 (1,826) 49,199 Significant expenses: Interest expense (48,819) (19,338) (3,971) (72,128) Base management fee to affiliate (net of fee rebates) — — (6,270) (6,270) Investment related expenses—Servicing expense (1,524) (5,696) — (7,220) Investment related expenses—Other (3,944) (7,483) — (11,427) Compensation and benefits (2,038) (17,611) (1,683) (21,332) Other expenses — (7,333) (3,484) (10,817) Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities 40,361 10,681 (15,566) 35,476 Income tax expense (benefit) — — 1,475 1,475 Earnings (losses) from investments in unconsolidated entities 17,072 — — 17,072 Net Income (Loss) 57,433 10,681 (17,041) 51,073 Net income (loss) attributable to non-controlling interests 602 — 512 1,114 Dividends on preferred stock — — 7,036 7,036 Net Income (Loss) Attributable to Common Stockholders $ 56,831 $ 10,681 $ (24,589) $ 42,923 Non-cash items: Amortization and depreciation expense $ — $ 292 $ — $ 292 Six-Month Period Ended June 30, 2026 (In thousands) Investment Portfolio Segment Longbridge Segment Corporate/ Other Total Interest income $ 227,845 $ 89,622 $ 2,873 $ 320,340 Total other income (loss)(1) 13,945 152,344 (5,427) 160,862 Significant expenses: Interest expense (102,956) (61,228) (22,616) (186,800) Base management fee to affiliate (net of fee rebates) — — (14,457) (14,457) Incentive fee to affiliate — — (20,141) (20,141) Investment and transaction related expenses—Servicing expense (3,392) (12,341) — (15,733) Investment and transaction related expenses—Other (7,599) (23,096) — (30,695) Compensation and benefits (5,928) (40,756) (3,520) (50,204) Other expenses — (16,820) (8,345) (25,165) Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities 121,915 87,725 (71,633) 138,007 Income tax expense (benefit) — — 1,018 1,018 Earnings (losses) from investments in unconsolidated entities 28,539 — — 28,539 Net Income (Loss) 150,454 87,725 (72,651) 165,528 Net income (loss) attributable to non-controlling interests (104) — 1,708 1,604 Dividends on preferred stock — — 10,088 10,088 Issuance costs of redeemed preferred stock — — 3,966 3,966 Net Income (Loss) Attributable to Common Stockholders $ 150,558 $ 87,725 $ (88,413) $ 149,870 Non-cash items: Amortization and depreciation expense $ — $ 213 $ — $ 213 (1)Included in the Longbridge segment is $17.0 million of other income received pursuant to a settlement agreement executed between Longbridge and a third party. 91 Table of Contents Six-Month Period Ended June 30, 2025 (In thousands) Investment Portfolio Segment Longbridge Segment Corporate/ Other Total Interest income $ 183,016 $ 44,987 $ 3,381 $ 231,384 Total other income (loss) 19,409 70,341 (900) 88,850 Significant expenses: Interest expense (100,382) (35,951) (8,451) (144,784) Base management fee to affiliate (net of fee rebates) — — (12,362) (12,362) Incentive fee to affiliate — — (4,533) (4,533) Investment and transaction related expenses—Servicing expense (3,087) (11,152) — (14,239) Investment and transaction related expenses—Other (5,198) (12,838) — (18,036) Compensation and benefits (4,297) (31,371) (2,606) (38,274) Other expenses — (14,329) (7,277) (21,606) Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities 89,461 9,687 (32,748) 66,400 Income tax expense (benefit) — — 1,379 1,379 Earnings (losses) from investments in unconsolidated entities 25,376 — — 25,376 Net Income (Loss) 114,837 9,687 (34,127) 90,397 Net income (loss) attributable to non-controlling interests 918 — 836 1,754 Dividends on preferred stock — — 14,071 14,071 Net Income (Loss) Attributable to Common Stockholders $ 113,919 $ 9,687 $ (49,034) $ 74,572 Non-cash items: Amortization and depreciation expense $ — $ 595 $ — $ 595 The following tables present the Company's balance sheet by reportable segment as of June 30, 2026 and December 31, 2025, which reconciles to the Company's financial position overall. June 30, 2026 (In thousands) Investment Portfolio Segment Longbridge Segment Corporate/ Other Total Total Assets $ 6,705,713 $ 14,076,121 $ 247,713 $ 21,029,547 Total Liabilities 4,557,998 13,700,409 771,704 19,030,111 Total Equity 2,147,715 375,712 (523,991) 1,999,436 December 31, 2025 (In thousands) Investment Portfolio Segment Longbridge Segment Corporate/ Other Total Total Assets $ 6,382,070 $ 12,782,482 $ 188,358 $ 19,352,910 Total Liabilities 4,228,911 12,500,150 752,694 17,481,755 Total Equity 2,153,159 282,332 (564,336) 1,871,155 92 Table of Contents 26. Subsequent Events Dividends Declared On July 8, 2026, the Board of Directors approved a dividend in the amount of $0.13 per share of common stock payable on August 31, 2026 to stockholders of record as of July 31, 2026. On August 10, 2026, the Board of Directors approved a dividend in the amount of $0.13 per share of common stock payable on September 30, 2026 to stockholders of record as of August 31, 2026. Issuance of Common Shares Subsequent to June 30, 2026, the Company issued 1,294,071 shares of common stock under the Common ATM Program which provided $17.5 million of net proceeds after $0.2 million of agent commissions and offering costs. Repayment of Unsecured borrowings On August 3, 2026, the Company redeemed all $37.8 million of its 6.00% Senior Notes at par plus accrued interest. 93 Table of Contents